Time variation in asset price responses to macro announcements

Linda Goldberg and Christian Grisse

No 2013-11, Working Papers from Swiss National Bank

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 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; high-frequency data; bond yields; exchange rates; monetary policy; risk (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 F31 G12 G14 G15 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2013
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mac
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Citations: View citations in EconPapers (43)

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Working Paper: Time variation in asset price responses to macro announcements (2013)
Working Paper: Time Variation in Asset Price Responses to Macro Announcements (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2013-11

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