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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
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http://hdl.handle.net/10419/57713
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| Title: | | The early news catches the attention: On the relative price impact of similar economic indicators  |
| Authors: | | Hess, Dieter Niessen, Alexandra |
| Issue Date: | | 2007 |
| Series/Report no.: | | CFR Working Paper 07-03 |
| Abstract: | | There is strong evidence that macroeconomic releases influence prices in financial markets. However, why do markets react to some announcements while they ignore others with a similar content? Based on a Bayesian learning model, we show that market impact is mainly determined by information quality and timeliness of a release. To test the model's implications, we analyze the successive introduction of the two largest German business surveys: the well-known IFO index and the recently introduced ZEW economic indicator. In line with the model's prediction, we find a diminishing market impact of the IFO index after the ZEW indicator was introduced. |
| Subjects: | | Bayesian Learning Macroeconomic Announcements Information Processing |
| JEL: | | E44 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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