The literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement,...

My research studies when and by how much the Federal Reserve Bank (Fed) and the European Central Bank (ECB) change their target interest rates. I use a nonlinear bivariate framework, which allows for elaborated dynamics and for the potential interaction between the two central banks. An open...