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Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara ; Gilbert, Thomas.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2015-46.

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Cited: 12

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Cites: 42

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  1. Intraday effect of news on emerging European forex markets: An event study analysis. (2018). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even.
    In: Economic Systems.
    RePEc:eee:ecosys:v:42:y:2018:i:4:p:597-615.

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  2. Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Moravcova, Michala ; Kocenda, Evzen.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7239.

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  3. Low frequency effects of macroeconomic news on government bond yields. (2017). Modugno, Michele ; Giannone, Domenico ; Altavilla, Carlo.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:92:y:2017:i:c:p:31-46.

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  4. Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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  5. Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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  6. Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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  7. What determines the impact of macroeconomic news on asset markets?. (2017). Strasser, Georg.
    In: Research Bulletin.
    RePEc:ecb:ecbrbu:2017:0037:.

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  8. Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429.

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  9. THE EFFECTS OF LABOR MARKET NEWS ON INTERNATIONAL FINANCIAL MARKETS. (2016). Lupu, Radu ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir.
    In: Romanian Economic Business Review.
    RePEc:rau:journl:v:11:y:2016:i:2:p:207-215.

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  10. Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises. (2016). Scotti, Chiara.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:82:y:2016:i:c:p:1-19.

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  11. Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR. (2015). Sekhposyan, Tatevik ; Owyang, Michael ; McCracken, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2015-030.

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  12. Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?. (2015). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:881.

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References

References cited by this document

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  39. Our sample starts with 33 macroeconomic announcement series for nowcasting in January 1996, which results in 29 series after consolidation. As our sample period expands, more and more macroeconomic variables become available, and starting in February 2002 we use all 36 series. Because principal component analysis does not allow gaps in individual series, the decision on when to include a new series faces a tradeoff: on the one hand, increasing the number of series by including the new series early on and, on the other hand, shortening the length of the effective sample to the length of the shortest (usually the latest starting) series.
    Paper not yet in RePEc: Add citation now

  40. Rigobon, Roberto, and Brian Sack, 2008, Noisy macroeconomic announcements, monetary policy, and asset prices, in John Y. Campbell, ed., Asset Prices and Monetary Policy, NBER Chapters, chapter 8, 335–370 (NBER).

  41. To account for the discreteness of the FFTR, we round FFTR changes to 0.25% and define as many ordered probit categories as needed at any given time t. We then forecast the FFTR by ordered probit following Hamilton and Jord` a (2002). Repeating this procedure for each announcement time in our sample gives us a sequence of coefficient vectors ˆ βt and of nowcasts ˆ Ak p(t),t, where p(t) is the reference period of the very next announcement of variable k after time t.
    Paper not yet in RePEc: Add citation now

  42. urkaynak, Refet S., Brian P. Sack, and Eric T. Swanson, 2005, The excess sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models, American Economic Review 95, 425–436.

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