We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competi...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
US interest rates’ overnight reaction to macroeconomic announcements is of tremendous importance whe...
The joint movements of exchange rates and U.S. and foreign term structures over short-time windows a...
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and Brit...
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and Brit...
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to...
The objective of this paper is to provide a deeper insight into the links between financial markets ...
The objective of this paper is to provide a deeper insight into the links between financial markets ...
Although there is an extensive literature on the impact of macroeconomic announcements on asset pric...
The interdependence between financial markets and economic fundamentals has formed an important part...
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ...
Investigation of the dynamic, short-run response of exchange rate returns to the information surpris...
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ...
It is well known that information arrival has an impact on prices volatility, and trading volume in ...
This paper examines the price discovery processes before and during the 2007–2009 subprime and finan...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
US interest rates’ overnight reaction to macroeconomic announcements is of tremendous importance whe...
The joint movements of exchange rates and U.S. and foreign term structures over short-time windows a...
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and Brit...
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and Brit...
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to...
The objective of this paper is to provide a deeper insight into the links between financial markets ...
The objective of this paper is to provide a deeper insight into the links between financial markets ...
Although there is an extensive literature on the impact of macroeconomic announcements on asset pric...
The interdependence between financial markets and economic fundamentals has formed an important part...
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ...
Investigation of the dynamic, short-run response of exchange rate returns to the information surpris...
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ...
It is well known that information arrival has an impact on prices volatility, and trading volume in ...
This paper examines the price discovery processes before and during the 2007–2009 subprime and finan...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
US interest rates’ overnight reaction to macroeconomic announcements is of tremendous importance whe...
The joint movements of exchange rates and U.S. and foreign term structures over short-time windows a...