What moves markets?
Kerssenfischer, M. & Schmeling, M. 
ORCID: 0000-0002-4488-6750 (2024).
What moves markets?.
Journal of Monetary Economics,
article number 103560.
doi: 10.1016/j.jmoneco.2024.103560
Abstract
What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.
| Publication Type: | Article |
|---|---|
| Additional Information: | This article is available under the Creative Commons CC-BY-NC-ND license and permits non-commercial use of the work as published, without adaptation or alteration provided the work is fully attributed. |
| Publisher Keywords: | Macro news, Asset prices, High-frequency identification, Event database, Monetary policy |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | Bayes Business School Bayes Business School > Finance |
| SWORD Depositor: |
Available under License Creative Commons Attribution Non-commercial No Derivatives.
Download (750kB) | Preview
Export
Downloads
Downloads per month over past year
Metadata
MetadataActions (login required)
Admin Login