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来源类型Working Paper
规范类型报告
DOI10.3386/w11312
来源IDWorking Paper 11312
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega
发表日期2005-05-09
出版年2005
语种英语
摘要We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the U.S. economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding also helps explain the apparent time-varying correlation between stock and bond returns, and the relatively small equity market news announcement effect when averaged across expansions and recessions. Hence, while our results confirm previous unconditional rankings suggesting that bond markets almost uniformly react most strongly to macroeconomic news, followed by foreign exchange and then equity markets, importantly when conditioning on the state of the economy the foreign exchange and equity markets appear equally responsive. Lastly, relying on the pronounced heteroskedasticity in the new high-frequency data, we also document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects.
主题International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets ; Econometrics ; Estimation Methods
URLhttps://www.nber.org/papers/w11312
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/568951
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Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. 2005.
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