What moves markets?

被引：0

作者：

Kerssenfischer, Mark ^{[1
]}

Schmeling, Maik ^{[2
,3
]}

机构：

[1] Deutsch Bundesbank, Mainzer Landstr 46, D-60325 Frankfurt, Germany

[2] Goethe Univ Frankfurt, House Finance, Theodor W Adorno Pl 3, D-60629 Frankfurt, Germany

[3] Ctr Econ Policy Res, 33 Great Sutton St, London EC1V 0DX, England

来源：

JOURNAL OF MONETARY ECONOMICS | 2024年 / 145卷

关键词：

Macro news Asset prices High-frequency identification Event database Monetary policy; HIGH-FREQUENCY IDENTIFICATION; VOLATILITY COMPONENTS; FEDERAL-RESERVE; PRICE DISCOVERY; INTEREST-RATES; NEWS; INFORMATION; RETURNS; POLICY; JUMP;

D O I：

10.1016/j.jmoneco.2024.103560

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

引用

页数：15

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