's traditional role as a safe-haven and store of value. Other commodity prices, where such news is significant, exhibit pro …

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 …

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news … on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on … depend on the state of the economy. In a boom period, bad economic news may be good news for stock prices. For German stock …

We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy … asset price volatility. We show that introducing news shocks in a canonical dynamic stochastic general equilibrium model may …. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces …

This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted …

Peru states that its forex interventions aim only at containing excessive exchange rate volatility, the results of this … also show that forex sales, but not forex purchases, react to volatility, indicating asymmetry in the central bankâ …