{"title":"宏观经济新闻对美国利率和股票指数的影响取决于它们的波动性","authors":"C. Lubochinsky, Sukriye Tuysuz","doi":"10.2139/ssrn.2032040","DOIUrl":null,"url":null,"abstract":"This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during \"low\" and \"high\" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during \"low\" and \"high\" volatility periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during \"high\" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility\",\"authors\":\"C. Lubochinsky, Sukriye Tuysuz\",\"doi\":\"10.2139/ssrn.2032040\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during \\\"low\\\" and \\\"high\\\" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during \\\"low\\\" and \\\"high\\\" volatility periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during \\\"high\\\" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.\",\"PeriodicalId\":242545,\"journal\":{\"name\":\"ERN: Econometric Studies of Capital Markets (Topic)\",\"volume\":\"121 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-03-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Econometric Studies of Capital Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2032040\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Econometric Studies of Capital Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2032040","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility
This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during "high" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.
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