Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?
The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with 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 decompose it into the announcement's relation to fundamentals, a timeliness premium, and a revision premium. We find that differences in intrinsic value can explain a significant fraction of the variation in the announcements' price impact on Treasury bond yields. The announcements' timeliness and relation to fundamentals are the most important characteristics in explaining this variation.
Cite this item
Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2015-46, 23 Apr 2015, revised 08 Dec 2016.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Keywords: Macroeconomic announcements; Price discovery; Learning; Forecasting; Now-casting
This item with handle RePEc:fip:fedgfe:2015-46
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