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Time variation in asset price responses to macro announcements

Linda Goldberg () and Christian Grisse ()

No 626, Staff Reports from Federal Reserve Bank of New York

Abstract: Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in response to \\"good news,\\" but less so when risk is elevated. Risk conditions matter since they can capture the effects of uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability objectives of central banks, and the effect of news announcements on the risk premium.

Keywords: macroeconomic news announcements; monetary policy; bond yields; high-frequency data; risk; exchange rates (search for similar items in EconPapers)
JEL-codes: F31 E43 E44 G12 G15 E52 G14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2013-08-01
New Economics Papers: this item is included in nep-ifn
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Related works:
Working Paper: Time Variation in Asset Price Responses to Macro Announcements (2013) Downloads
Working Paper: Time variation in asset price responses to macro announcements (2013) Downloads
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