Is the intrinsic value of macroeconomic news announcements related to their asset price impact?

Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega

No 1882, Working Paper Series from European Central Bank

Abstract: The literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement, which we define as the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate. Using the same nowcasting framework, we then decompose this intrinsic value into the announcement's characteristics: its relation to fundamentals, timing, and revision noise. We find that in the 1998 JEL Classification: G14, E44

Keywords: coordination role of public information; learning; macroeconomic announcements; macroeconomic forecasting; price discovery (search for similar items in EconPapers)
Date: 2016-02
New Economics Papers: this item is included in nep-for, nep-ger, nep-ifn and nep-mac
Note: 1137785
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact? (2015)
Working Paper: Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161882

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