Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness-of-fit measure derived from the Kullback-Leibler...

The global economic recession, referred to as the Great Recession, endured by the main industrialized countries during the period 2008-09, in the wake of the financial and banking crisis, has pointed out the current importance of the financial sector in macroeconomics. In this paper, we evaluate...