What moves markets?

Mark Kerssenfischer and Maik Schmeling

Journal of Monetary Economics, 2024, vol. 145, issue C

Abstract: What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

Keywords: Macro news; Asset prices; High-frequency identification; Event database; Monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E44 G12 G14 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138

DOI: 10.1016/j.jmoneco.2024.103560

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