Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/70120 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
CFR Working Paper No. 08-04 [rev.]
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy estimates of news' precision. It is shown that the efficiency of a precision estimate drives the the slope and the shape of price response functions to news. Increasing estimation errors induce stronger nonlinearities in price responses. Analyzing high-frequency reactions of Treasury bond futures prices to employment releases, we find strong empirical support for the model's predictions and show that the consideration of precision uncertainty is statistically and economically important.
Schlagwörter: 
Bayesian learning
macroeconomic announcements
information quality
precision signals
JEL: 
E44
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
487.22 kB





Publikationen in EconStor sind urheberrechtlich geschützt.