Using a unique high-frequency futures dataset, we characterize the
response of U.S., German and British stock, bond and foreign
exchange markets to real-time U.S. macroeconomic news. We find that
news produces conditional mean jumps; hence high-frequency stock,
bond and exchange rate dynamics are linked to fundamentals. Equity
markets, moreover, react differently to news depending on the stage
of the business cycle, which explains the low correlation between
stock and bond returns when averaged over the cycle. Hence our
results qualify earlier work suggesting that bond markets react
most strongly to macroeconomic news; in particular, when
conditioning on the state of the economy, the equity and foreign
exchange markets appear equally responsive. Finally, we also
document important contemporaneous links across all markets and
countries, even after controlling for the effects of macroeconomic
news.
General
| Imprint: |
Bibliogov
|
| Country of origin: |
United States |
| Release date: |
February 2013 |
| First published: |
February 2013 |
| Authors: |
Torben G Andersen
|
| Dimensions: |
246 x 189 x 2mm (L x W x T) |
| Format: |
Paperback - Trade
|
| Pages: |
38 |
| ISBN-13: |
978-1-288-72777-3 |
| Categories: |
Books >
Social sciences >
Politics & government >
General
|
| LSN: |
1-288-72777-1 |
| Barcode: |
9781288727773 |
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