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

共 50 条

[31] Dynamics of bond returns in the emerging markets: A study of the Thai bond market
Pinvanichkul, T
Gupta, JP
[J]. CURRENT TOPICS IN QUANTITATIVE FINANCE, 1999, : 70 - 79
[32] Financial market Volatility, macroeconomic fundamentals and investor Sentiment
Chin, Ching-wai
Harris, Richard D. F.
Stoja, Evarist
Chin, Michael
[J]. JOURNAL OF BANKING & FINANCE, 2018, 92 : 130 - 145
[33] Wholesale spreads and the dynamics of retail price volatility in Indian rice markets
Jha, R
Nagarajan, HK
[J]. APPLIED ECONOMICS LETTERS, 2002, 9 (06) : 387 - 390
[34] MEASURING BOND PRICE VOLATILITY
LIVINGSTON, M
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1979, 14 (02) : 343 - 349
[35] The volatility effect in emerging markets
Blitz, David
Pang, Juan
van Vliet, Pim
[J]. EMERGING MARKETS REVIEW, 2013, 16 : 31 - 45
[36] Volatility in emerging stock markets
Aggarwal, R
Inclan, C
Leal, R
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1999, 34 (01) : 33 - 55
[37] The macroeconomic determinants of volatility in precious metals markets
Batten, Jonathan A.
Ciner, Cetin
Lucey, Brian M.
[J]. RESOURCES POLICY, 2010, 35 (02) : 65 - 71
[38] Volatility discovery in cryptocurrency markets
Dimpfl, Thomas
Elshiaty, Dalia
[J]. JOURNAL OF RISK FINANCE, 2021, 22 (05) : 313 - 331
[39] Macroeconomic effects of grain price volatility in Morocco
Jouamaa, Mohammed Adil
Mekki, Abdelkader Ait El
[J]. NEW MEDIT, 2023, 22 (01): : 3 - 18
[40] Institutional and regulatory influences on price discovery in cash and futures bond markets
Singleton, KJ
[J]. INDUSTRIAL ORGANIZATION AND REGULATION OF THE SECURITIES INDUSTRY, 1996, : 243 - 273

← 1 2 3 4 5 →