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We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
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Price stability is widely recognised as the primary goal of modern monetary policy, and the management of private sector inflation expectations has become an essential channel through which this goal is achieved. This evaluation aims to improve the understanding of how the sensitivity of private...
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In this study, we analyse the effect of macroeconomic surprises on inflation compensation data - the sum of inflation expectation, risk and liquidity premia - in the euro area. The empirical analysis is based on a daily data set, which covers a wide spectrum of maturities, stemming from...
Persistent link: https://www.econbiz.de/10008674479
Purpose – The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to various...
Persistent link: https://www.econbiz.de/10010691564
This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended...
Persistent link: https://www.econbiz.de/10010753546
This paper studies the relationship between the arrival of news on macroeconomic performance and the Mexican stock market. We examine the reaction of daily excess returns of the stock price index, “índice de precios y cotizaciones” (IPC), as well as of seven portfolios from the Mexican...
Persistent link: https://www.econbiz.de/10009386240