| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11312 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w11312 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568951 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11312.pdf（835KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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