Macro News in Market Moves: Classifying News through Asset Co-movements

Bruno Feunou, Jean-Sébastien Fontaine and Rishi Vala

No 2026-7, Staff Analytical Papers from Bank of Canada

Abstract: This paper introduces CLONE (Classification Of News), a method that decomposes asset price movements into four types of macroeconomic news—aggregate demand, productivity, inflation, and monetary policy—based on joint changes in prices of stocks, bonds, and inflation swaps. CLONE’s simplicity and forward-looking focus enable the identification of real-time economic signals that are critical for understanding market behavior and guiding policy decisions. We show that from 2004 to 2024 aggregate demand news historically dominated daily variation in asset prices, while inflation and monetary policy news have gained importance since 2021. We validate our method against sign-restricted VAR models and apply it to major U.S. macroeconomic data releases, providing insights into how market participants interpret and react to forward-looking information. We discuss several benefits of our approach relative to the standard sign restriction method.

Keywords: Models and tools; Econometric, statistical and computational methods; Monetary policy; Monetary policy framework and transmission (search for similar items in EconPapers)
JEL-codes: E32 E44 G12 G14 (search for similar items in EconPapers)
Date: 2026-03
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.34989/sap-2026-7 Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsap:26-7

Access Statistics for this paper

More papers in Staff Analytical Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().