Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to a¤ect both conditional returns and volatility, with the e¤ects 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. International and regional macroeconomic news is at least as important as local news for both as

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Year of publication:	2009
Authors:	Fund, International Monetary
Publisher:	Washington : International Monetary Fund
Subject:	Schwellenländer \| Emerging economies \| Volatilität \| Volatility \| Ankündigungseffekt \| Announcement effect \| Rentenmarkt \| Bond market

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Extent:	Online-Ressource (32 p)
Series:	IMF Working Papers IMF working paper ; WP/09/147
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; II. Literature Review; III.Intraday Price Data and Announcements; Tables; Table 1. Summary Statistics for 1- and 10-Minute Bond Returns; IV.Two-Stage Modeling of Returns and Volatility; Table 2. Macroeconomic News Announcements; V. Price Dynamics in Emerging Markets; Figures; Figure 1. Intraday Volatility Patterns Before and During The Subprime Crisis; VI.News Effects in Emerging Bond Markets; Table 3. AR-ARCH Specification; Figure 2. Autocorrelation of Ten-Minute Return Volatility and Volatility Innovations; A. Repricing and Repositioning Table 4. Impact of Surprises in U.S. Macroeconomic News on 1-Minute ReturnsFigure 3. Price Response to Surprises in U.S. Macroeconomic News; Figure 4. Volatility Response to Local News Arrival; Figure 5. Volatility Response to U.S. News Arrival; Table 5. Impact of News Arrival on 10-Minute Return Volatility; B. Asymmetries and Nonlinearities; Table 6. Impact of Positive and Negative News Arrival on 10-Minute Return Volatility; Table 7. Impact of Surprise News in the Upper and Lower 0.70 Quantile on 10-Minute Return Volatility Table 8. Impact of News Arrival on 10-Minute Return Volatility Before and During the Subprime CrisisVII.Conclusion; References
ISBN:	978-1-4518-7294-1 ; 978-1-4519-9735-4 ; 978-1-4518-7294-1
Source:	ECONIS - Online Catalogue of the ZBW

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