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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …
Persistent link: https://www.econbiz.de/10009787494
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …
Persistent link: https://www.econbiz.de/10010333621
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Time variation in asset price responses to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Persistent link: https://www.econbiz.de/10010200102
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Time variation in asset price responses to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …
Persistent link: https://www.econbiz.de/10010253514
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …
Persistent link: https://www.econbiz.de/10013074549
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …
Persistent link: https://www.econbiz.de/10012459140
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The diminishing impact of monetary policy on asset prices around non-FOMC macroeconomic announcements
Alam, Zohair - 2021
I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary...
Persistent link: https://www.econbiz.de/10012595426
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Price Drift before U.S. Macroeconomic News : Private Information about Public Announcements?
Kurov, Alexander - 2017
We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements … time. Prices begin to move in the “correct” direction about 30 minutes before the release time. The pre-announcement price …
Persistent link: https://www.econbiz.de/10012971320
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices … begin to move in the "correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts …
Persistent link: https://www.econbiz.de/10012992424
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...
Persistent link: https://www.econbiz.de/10012896694