Suchergebnisse
Filter
320 Ergebnisse
Sortierung:
SSRN
Macro News and Micro News: Complements or Substitutes?
In: Journal of Financial Economics (JFE), Forthcoming
SSRN
Macro News and Exchange Rates in the BRICS
In: CESifo Working Paper Series No. 5748
SSRN
Macro News and Exchange Rates in the BRICS
In: DIW Berlin Discussion Paper No. 1545
SSRN
Working paper
Exchange Rates and Macro News in Emerging Markets
In: CESifo Working Paper Series No. 5816
SSRN
Exchange Rates and Macro News in Emerging Markets
In: DIW Berlin Discussion Paper No. 1558
SSRN
Working paper
Macro News and Micro News: Complements or Substitutes?
In: NBER Working Paper No. w28931
SSRN
How is macro news transmitted to exchange rates?
In: NBER working paper series 9433
Macro news and bond yield spreads in the Euro area
In: CESifo working paper series 5008
In: Monetary policy and international finance
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999 - 2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility, the effects being more pronounced in the case of negative news and bigger in the most recent crisis period, especially in the PIIGS countries. Further, the conditional correlations between yield spreads and negative news are significant and positive, and their increase in absolute value during the financial crisis (especially in the PIIGS countries) indicates a higher sensitivity of yield spreads to negative releases.
Macro News and Bond Yield Spreads in the Euro Area
In: CESifo Working Paper Series No. 5008
SSRN
Working paper
Macro News and Bond Yield Spreads in the Euro Area
In: DIW Berlin Discussion Paper No. 1413
SSRN
Working paper
The Impact of Macro News on Volatility of Stock Exchanges
In: Dynamic econometric models, Band 11, Heft 0
ISSN: 2450-7067
Can information be locked up? Informed trading ahead of macro-news announcements
Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high-frequency data, we find evidence consistent with informed trading during embargoes of Federal Open Market Committee (FOMC) scheduled announcements. The E-mini Standard & Poor's 500 futures' abnormal order imbalances are in the direction of subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated informed trades' profits are arguably large. Notably, we find no evidence of informed trading prior to the start of FOMC news embargoes or during lockups ahead of nonfarm payroll, US Producer Price Index, and gross domestic product data releases.
BASE
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
In: CESifo Working Paper Series No. 4912
SSRN
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements
In: Journal of Financial Economics (JFE), Forthcoming
SSRN