Macroeconomic News Announcements And The Role Of Expectations
DOWNLOAD
Download Macroeconomic News Announcements And The Role Of Expectations PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Macroeconomic News Announcements And The Role Of Expectations book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Macroeconomic News Announcements And The Role Of Expectations
DOWNLOAD
Author : Suk-Joong Kim
language : en
Publisher:
Release Date : 2005
Macroeconomic News Announcements And The Role Of Expectations written by Suk-Joong Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
We investigate the impact of scheduled government announcements relating to six different macroeconomic variables on the risk and return of three major US financial markets. Our results suggest that these markets do not respond in any meaningful way, to the act of releasing information by the government. Rather, it is the news content of these announcements which cause the market to react. For the three markets tested, unexpected balance of trade news was found to have the greatest impact on the mean return in the foreign exchange market. In the bond market, news related to the internal economy was found to be important. For the US stock market, consumer and producer price information was found to be important. Finally, financial market volatility was found to have increased in response to some classes of announcement and fallen for others. In part, this result can be explained by differential policy feedback effects.
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States
DOWNLOAD
Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1998-05-01
Responses Of The Stock Market To Macroeconomic Announcements Across Economic States written by Zuliu Hu and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-05-01 with Business & Economics categories.
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money supply, inflation, employment, housing starts, and trade balances, etc. Several announcements concerning real economic activity that have received little attention in previous research are shown to have a significant impact on stock prices. The paper also presents preliminary evidence for the different reaction to macroeconomic news by small cap stocks and large cap stocks.
The Real Time Information Content Of Macroeconomic News
DOWNLOAD
Author : Jose M. Carabias
language : en
Publisher:
Release Date : 2017
The Real Time Information Content Of Macroeconomic News written by Jose M. Carabias and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper investigates the usefulness of the real-time macroeconomic news-flow as a leading indicator of firm-level end-of-quarter realized earnings. Using recent advances in macroeconomics, I develop a nowcasting model for quarterly earnings and provide two main findings. First, I show that my model provides out-of-sample expectations that are as accurate as analysts' forecasts. Second, macroeconomic news embedded in my nowcasts is not fully incorporated into investors' earnings expectations and predicts future abnormal returns around earnings announcements. These findings have three main implications for capital markets research. First, real-time macroeconomic news can be used to update earnings expectations in real-time. Second, there are economic benefits of doing so, as evidenced by the magnitude of risk-adjusted returns around earnings announcements. Third, after three decades of almost nonexistent research on time-series models for quarterly earnings, the door is open again for fruitful research in this area.
Noisy Macroeconomic Announcements Monetary Policy And Asset Prices
DOWNLOAD
Author : Roberto Rigobón
language : en
Publisher:
Release Date : 2006
Noisy Macroeconomic Announcements Monetary Policy And Asset Prices written by Roberto Rigobón and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Assets (Accounting) categories.
"The current literature has provided a number of important insights about the effects of macroeconomic data releases on monetary policy expectations and asset prices. However, one puzzling aspect of that literature is that the estimated responses are quite small. Indeed, these studies typically find that the major economic releases, taken together, account for only a small amount of the variation in asset prices even those closely tied to near-term policy expectations. In this paper we argue that this apparent detachment arises in part from the difficulties associated with measuring macroeconomic news. We propose two new econometric approaches that allow us to account for the noise in measured data surprises. Using these estimators, we find that asset prices and monetary policy expectations are much more responsive to incoming news than previously believed. Our results also clarify the set of facts that should be captured by any model attempting to understand the interactions between economic data, monetary policy, and asset prices"--National Bureau of Economic Research web site.
Rethinking Expectations
DOWNLOAD
Author : Roman Frydman
language : en
Publisher: Princeton University Press
Release Date : 2013-01-23
Rethinking Expectations written by Roman Frydman and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-23 with Business & Economics categories.
This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Inflation Expectations
DOWNLOAD
Author : Peter J. N. Sinclair
language : en
Publisher: Routledge
Release Date : 2009-12-16
Inflation Expectations written by Peter J. N. Sinclair and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-16 with Business & Economics categories.
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Inflation News And Euro Area Inflation Expectations
DOWNLOAD
Author : Juan Angel Garcia
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-19
Inflation News And Euro Area Inflation Expectations written by Juan Angel Garcia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-19 with Business & Economics categories.
Do euro area inflation expectations remain well-anchored? This paper finds that the protracted period of low (and below-target) inflation in the euro area since 2013 has weakened their anchoring. Testing their sensitivity to inflation and macroeconomic news, this paper expands existing results in two key dimensions. First, by analyzing all available (advanced) inflation releases. Second, the reactions of expectations are investigated at daily, time-varying and intraday frequency regressions to add robustness to our conclusions. Results point to a significant impact of inflation news over recent years that had not been observed before in the euro area.
The Oxford Handbook Of Economic Forecasting
DOWNLOAD
Author : Michael P. Clements
language : en
Publisher: OUP USA
Release Date : 2011-07-08
The Oxford Handbook Of Economic Forecasting written by Michael P. Clements and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-08 with Business & Economics categories.
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Macroeconomic News And Real Interest Rates
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2006
Macroeconomic News And Real Interest Rates written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Cf.: http://dx.doi.org/10.3886/ICPSR01330.v1.
Learning And Expectations In Macroeconomics
DOWNLOAD
Author : George W. Evans
language : en
Publisher: Princeton University Press
Release Date : 2012-01-06
Learning And Expectations In Macroeconomics written by George W. Evans and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-06 with Business & Economics categories.
A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
