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Title:The early news catches the attention: On the relative price impact of similar economic indicators PDF Logo
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
Document Type:Working Paper
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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