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Expectation Dispersion, Uncertainty, and the Reaction to News

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2021

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10013251271

Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis

Kočenda, Evžen - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...

Persistent link: https://www.econbiz.de/10012908658

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012908673

The Impact of Business and Political News on the GCC Stock Markets

Al-Maadid, Alanoud - 2019

This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the...

Persistent link: https://www.econbiz.de/10012892232

The Economic Effects of International Sanctions : An Event Study

Gutmann, Jerg; Neuenkirch, Matthias; Neumeier, Florian - 2021

Although international sanctions are a widely used instrument of coercion, their economic effects are still not fully understood. This study uses a novel dataset and an event study approach to evaluate the economic consequences of international sanctions, thereby accounting for pre-treatment...

Persistent link: https://www.econbiz.de/10013232415

Is There News in Inventories?

Görtz, Christoph - 2020

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic aggregates. We show that the standard theoretical...

Persistent link: https://www.econbiz.de/10012834348

Cryptocurrency Market Reactions to Regulatory News

Auer, Raphael A. - 2020

Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations, transaction volumes and user bases react substantially to news about regulatory actions. The impact depends on the specific regulatory category to which the news relates: events...

Persistent link: https://www.econbiz.de/10012836205

Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect

Gürkaynak, Refet S. - 2019

We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their...

Persistent link: https://www.econbiz.de/10012860569

The Fed's Response to Economic News Explains the 'Fed Information Effect'

Bauer, Michael D. - 2020

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

Persistent link: https://www.econbiz.de/10012839776

Unemployment and Endogenous Reallocation Over the Business Cycle

Carrillo-Tudela, Carlos - 2020

unemployment and its duration distribution. Using the SIPP, we document the relation between workers' (gross and net) occupational … mobility and unemployment duration over the long run and business cycle. To interpret this evidence, we develop an analytically … duration distribution, among others. Our analysis shows that "excess" occupational mobility due to workers' changing career …

Persistent link: https://www.econbiz.de/10012833736