Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

被引：37
作者：
Gilbert, Thomas [1 ]
Scotti, Chiara [2 ]
Strasser, Georg [3 ]
Vega, Clara [2 ]
机构：
[1] Univ Washington, Michael G Foster Sch Business, Seattle, WA 98195 USA
[2] Fed Reserve Syst, Board Governors, 1801 K St NW, Washington, DC 20006 USA
[3] European Cent Bank, Frankfurt, Germany
来源：
JOURNAL OF MONETARY ECONOMICS | 2017年 / 92卷
关键词：
Macroeconomic announcements; Price discovery; Learning; Forecasting; Nowcasting; TERM INTEREST-RATES; US TREASURY MARKET; REAL-TIME DATA; PUBLIC INFORMATION; FOREIGN-EXCHANGE; ECONOMIC-NEWS; MODELS; DISCOVERY; BOND;
D O I：
10.1016/j.jmoneco.2017.09.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The literature documents a heterogeneous asset price response to macroeconomic news announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an announcement-the announcement's ability to nowcast GDP growth, inflation, and the federal funds target rate-and find that differences across the intrinsic values of several U.S. macroeconomic announcements explain a significant fraction of the variation in the impact each of these announcements has on U.S. Treasury yields. We also decompose the intrinsic value into the announcement's relation to fundamentals, a timeliness premium, and a revision premium, and find that the former two characteristics are the most important ones in explaining the heterogeneous response. Published by Elsevier B.V.
引用
收藏
页码：78 / 95
页数：18
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