Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega

Journal of Monetary Economics, 2017, vol. 92, issue C, 78-95

Abstract: The literature documents a heterogeneous asset price response to macroeconomic news announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an announcement—the announcement’s ability to nowcast GDP growth, inflation, and the federal funds target rate—and find that differences across the intrinsic values of several U.S. macroeconomic announcements explain a significant fraction of the variation in the impact each of these announcements has on U.S. Treasury yields. We also decompose the intrinsic value into the announcement’s relation to fundamentals, a timeliness premium, and a revision premium, and find that the former two characteristics are the most important ones in explaining the heterogeneous response.

Keywords: Macroeconomic announcements; Price discovery; Learning; Forecasting; Nowcasting (search for similar items in EconPapers)
JEL-codes: C53 D83 E37 E44 E47 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:92:y:2017:i:c:p:78-95

DOI: 10.1016/j.jmoneco.2017.09.008

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