Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega

No 2015-46, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with 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 decompose it into the announcement's relation to fundamentals, a timeliness premium, and a revision premium. We find that differences in intrinsic value can explain a significant fraction of the variation in the announcements' price impact on Treasury bond yields. The announcements' timeliness and relation to fundamentals are the most important characteristics in explaining this variation.

Keywords: Macroeconomic announcements; Price discovery; Learning; Forecasting; Now-casting (search for similar items in EconPapers)
JEL-codes: C53 D83 E37 E44 E47 G14 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2015-04-23
New Economics Papers: this item is included in nep-for, nep-ifn, nep-mac and nep-mon
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Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Is the intrinsic value of macroeconomic news announcements related to their asset price impact? (2016)
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:fip:fedgfe:2015-46

DOI: 10.17016/FEDS.2015.046r1

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