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Activity Number:
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303
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304488 |
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Title:
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Why Do So Few Macroeconomic News Announcements Have a Significant Price Impact on Asset Prices?
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Author(s):
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Chiara Scotti*+ and Thomas Gilbert and Georg Strasser and Clara Vega
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Companies:
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Federal Reserve Board and University of Washington and Boston College and Federal Reserve Board
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Address:
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, Washington, DC, 20551,
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Keywords:
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Abstract:
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Previous studies have found that the nonfarm payroll announcement has the largest impact on asset prices amongst all macroeconomic news announcements. In this paper, we revisit this finding. We investigate to what extent the timing, intrinsic value, and precision of 47 U.S. macroeconomic news announcements affect short-term domestic and foreign interest rate futures contracts. In particular, to explain why "payroll is king," we test three hypotheses: 1) Timing: Do asset prices respond more strongly to early data releases? 2) Intrinsic value: Do asset prices respond more strongly to data releases that convey the most valuable real-time information about the current and future state of the economy? 3) Precision: Do asset prices respond more strongly to data releases that are the least noisy and undergo only minor revisions?
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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