Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154315
Authors: 
Gilbert, Thomas
Scotti, Chiara
Strasser, Georg
Vega, Clara
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1882
Abstract: 
The literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement, which we define as the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate. Using the same nowcasting framework, we then decompose this intrinsic value into the announcement's characteristics: its relation to fundamentals, timing, and revision noise. We find that in the 1998–2013 period, a significant fraction of the variation in the announcements' price impact on the Treasury bond futures market can be explained by differences in intrinsic value. Furthermore, our novel measure of timing explains significantly more of this variation than the announcements' relation to fundamentals, reporting lag (which previous studies have used as a measure of timing), or revision noise.
Subjects: 
coordination role of public information
learning
macroeconomic announcements
macroeconomic forecasting
price discovery
JEL: 
G14
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1695-0
Document Type: 
Working Paper

Files in This Item:
File
Size
827.99 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.