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Autoren: 
Hess, Dieter
Niessen, Alexandra
Datum: 
2007
Schriftenreihe/Nr.: 
CFR Working Paper No. 07-03
Zusammenfassung: 
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.
Schlagwörter: 
Bayesian Learning
Macroeconomic Announcements
Information Processing
JEL: 
E44
G14
Dokumentart: 
Working Paper

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