Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets

被引：54

作者：

Nowak, Sylwia ^{[1
]}

Andritzky, Jochen ^{[2
]}

Jobst, Andreas ^{[3
]}

Tamirisa, Natalia ^{[4
]}

机构：

[1] Int Monetary Fund, Asia & Pacific Dept, Washington, DC 20431 USA

[2] Int Monetary Fund, Fiscal Affairs Dept, Washington, DC 20431 USA

[3] Int Monetary Fund, Monetary & Capital Markets Dept, Washington, DC 20431 USA

[4] Int Monetary Fund, Res Dept, Washington, DC 20431 USA

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 10期

关键词：

Emerging markets; Bond pricing; Macroeconomic announcements; News spillovers; High-frequency data; STOCK; ANNOUNCEMENTS; MODEL; NEWS;

D O I：

10.1016/j.jbankfin.2011.02.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to macroeconomic news. As in mature bond markets, surprises about macroeconomic conditions in emerging markets are found to affect both conditional returns and volatility of external bonds, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn-out than in mature bond markets. Global and regional macroeconomic news is at least as important as local news for both price and volatility dynamics. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：2584 / 2597

页数：14

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