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

[41] Oil price volatility and US macroeconomic activity
Guo, H
Kliesen, KL
[J]. FEDERAL RESERVE BANK OF ST LOUIS REVIEW, 2005, 87 (06): : 669 - 683
[42] Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
Bouteska, Ahmed
Sharif, Taimur
Abedin, Mohammad Zoynul
[J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2023, 92 : 1 - 13
[43] LOW-FREQUENCY VOLATILITY AND MACROECONOMIC DYNAMICS: CONVENTIONAL VERSUS ISLAMIC STOCK MARKETS
Kim, Hong-Bae
Azad, A. S. M. Sohel
[J]. SINGAPORE ECONOMIC REVIEW, 2022, 67 (01): : 411 - 438
[44] An analysis of stock markets integration and dynamics of volatility spillover in emerging nations
Khan, Imran
[J]. JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2023,
[45] Macroeconomic announcements and asymmetric volatility in bond returns
de Goeij, Peter
Marquering, Wessel
[J]. JOURNAL OF BANKING & FINANCE, 2006, 30 (10) : 2659 - 2680
[46] Land price dynamics and macroeconomic fluctuations with imperfect substitution in real estate markets
Davis, J. Scott
Huang, Kevin X. D.
Sapci, Ayse
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2022, 134
[47] Oil price shocks and yield curve dynamics in emerging markets
Cepni, Oguzhan
Gupta, Rangan
Karahan, Cenk C.
Lucey, Brian
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 80 : 613 - 623
[48] BTC price volatility: Fundamentals versus information
Gbadebo, Adedeji Daniel
Adekunle, Ahmed Oluwatobi
Adedokun, Wole
Lukman, Adebayo-Oke Abdulrauf
Akande, Joseph
[J]. COGENT BUSINESS & MANAGEMENT, 2021, 8 (01):
[49] Peaks and valleys Price discovery in experimental asset markets with non-monotonic fundamentals
Noussair, Charles N.
Powell, Owen
[J]. JOURNAL OF ECONOMIC STUDIES, 2010, 37 (02) : 152 - +
[50] PRICE VOLATILITY WITHOUT NEWS ABOUT FUNDAMENTALS
WEI, SJ
[J]. ECONOMICS LETTERS, 1991, 37 (04) : 453 - 458

← 1 2 3 4 5 →