| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19523 |
| 来源ID | Working Paper 19523 |
| Time Variation in Asset Price Responses to Macro Announcements | |
| Linda S. Goldberg; Christian Grisse | |
| 发表日期 | 2013-10-10 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Although the effects of economic news announcements on asset prices are well established, these relationships are 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 the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability objectives of central banks, and the effect of news announcements on the risk premium. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w19523 |
| 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/577196 |
| 推荐引用方式 GB/T 7714 | Linda S. Goldberg,Christian Grisse. Time Variation in Asset Price Responses to Macro Announcements. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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