Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets

Rokas Kaminskas () and Linas Jurkšas
Additional contact information
Rokas Kaminskas: Lietuvos bankas, ISM University of Management and Economics
Linas Jurkšas: Lietuvos bankas, Vilnius University

No 38, Bank of Lithuania Discussion Paper Series from Bank of Lithuania

Abstract: We provide evidence regarding how European and U.S. macroeconomic and monetary policy events affect euro area markets. By analyzing over 170 macroeconomic indicators from 2002 to 2024Q1, we assess the impacts across different events, countries, and time periods. We rely on a high-frequency impact identification strategy and estimate the effects of releases on market variability and the directional effects of surprises across different markets. We find that, compared to European data releases, U.S. events tend to have a more pronounced effects on euro area markets. On average, monetary and employment events induce the strongest repricing in euro area financial markets. In most of the specifications, long-term sovereign yields were more sensitive to macroeconomic releases than other instruments, while short-term bonds and stock prices were impacted much less frequently

Keywords: macroeconomic news; macroeconomic releases; monetary policy; euro area; financial markets. (search for similar items in EconPapers)
JEL-codes: E43 E44 F40 G12 G14 G15 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2024-10-08
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.lb.lt/uploads/publications/docs/47600_ ... f3b52e158da4e80d.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

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:lie:dpaper:38

Access Statistics for this paper

More papers in Bank of Lithuania Discussion Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Aurelija Proskute ().