| By: |
Linda S. Goldberg;
Christian Grisse |
| Abstract: |
Although the effects of economic news announcements on asset prices are well
established, these relationships are unlikely to be stable. This paper
documents the time variation in the responses of yield curves and exchange
rates using high frequency data from January 2000 through August 2011.
Significant time variation in news effects is present for those announcements
that have the largest effects on asset prices. The time variation in effects
is explained by economic conditions, including the level of policy rates at
the time of the release, and risk conditions: government bond yields increase
in response to "good news", but less so when risk is elevated. Risk conditions
matter since they can capture the effects of uncertainty on the information
content of news announcements, the interaction of monetary policy and
financial stability objectives of central banks, and the effect of news
announcements on the risk premium. |
| Keywords: |
macroeconomic news announcements, high-frequency data, bond yields, exchange rates, monetary policy, risk |
| JEL: |
E43 E44 E52 F31 G12 G14 G15 |
| Date: |
2013 |
| URL: |
http://d.repec.org/n?u=RePEc:snb:snbwpa:2013-11&r=ifn |