What moves markets?

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-07-01 DOI:10.1016/j.jmoneco.2024.103560

Mark Kerssenfischer , Maik Schmeling

引用次数: 0

Abstract

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

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是什么推动了市场？

新闻在资产价格变动中所占的比例是多少？我们建立了一个大型、有时间戳的事件数据库，涵盖了计划内的宏观新闻和计划外的事件，并发现自 2002 年以来，新闻占美国和欧元区债券和股票价格变动的比例高达 35%。这表明，可追溯到可观察到的新闻的收益率变化所占的比例比以前想象的要大得多。此外，我们还提供了关于对资产价格影响最大的新闻、美国和欧元区之间的溢出效应以及货币政策冲击的可预测性的典型事实。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.