The early news catches the attention: On the relative price impact of similar economic indicators

Hess, Dieter; Niessen, Alexandra

doi:10.1002/fut.20450

Cited by 6 publications

(2 citation statements)

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“…In this section, we briefly discuss the relationship between an announcement's price impact and its intrinsic value, tardiness, revision noise, and relation to fundamentals within the context of a noisy rational expectations model. For more details on these models, we refer the reader to, among many others, Grundy and McNichols (1989), Kim and Verrecchia (1991a,b), Kandel and Pearson (1995), Veronesi (2000), Hautsch and Hess (2007), and Hess and Niessen (2010).…”

Section: A Noisy Rational Expectations Modelmentioning

confidence: 99%

“…Similarly, the University of Michigan (UM) releases a preliminary figure of its consumer confidence index around the middle of the reference month and a final figure just before its end: The preliminary number also has a bigger impact on asset prices than the final number. Hess and Niessen (2010), among others, show that the timeliness of an announcement is important. They show that the impact of the German Ifo business indicator on German bond futures prices diminished substantially when the German ZEW business indicator was created.…”

Section: Asset Price Response To Macroeconomic Announcementsmentioning

confidence: 99%

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Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

et al. 2015

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement, which we define as the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate. Using the same nowcasting framework, we then decompose this intrinsic value into the announcement's characteristics: its relation to fundamentals, timing, and revision noise. We find that in the 1998-2013 period, a significant fraction of the variation in the announcements' price impact on the Treasury bond futures market can be explained by differences in intrinsic value. Furthermore, our novel measure of timing explains significantly more of this variation than the announcements' relation to fundamentals, reporting lag (which previous studies have used as a measure of timing), or revision noise.Keywords: Macroeconomic announcements, price discovery, learning, macroeconomic forecasting, coordination role of public information JEL classification: G14, E44ECB Working Paper Series 1882, February 2016 1 Non-technical SummaryMacroeconomic indicators play an important role in business cycle forecasting and receive a lot of public attention. It is well known that these announcements differ massively in their impact on financial markets. In this paper we study why some macroeconomic news releases have a big impact on asset prices while others do not.We study the determinants of the impact of macroeconomic news announcements on asset prices based on their usefulness for forecasting the next release of GDP and inflation, as well as the next Federal Funds Target Rate decision ("nowcasting"). The information used for forecasting consists of the 36 most closely watched U.S. macroeconomic news announcements starting in 1990.Based on a variant of the Kalman Filter with a monthly state vector, we generate forecasts of the three nowcasting targets shortly before the scheduled release time of an announcement.The observation matrix entering the filter is updated every time a macroeconomic variable is released or revised. The analysis is based on the concept of the intrinsic value of an announcement, which is the forecasting weight placed on the macroeconomic announcement at the time of its release. By counterfactually varying the rel...

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Section: A Noisy Rational Expectations Modelmentioning

confidence: 99%

Section: Asset Price Response To Macroeconomic Announcementsmentioning

confidence: 99%

Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

et al. 2015

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Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

Gilbert

Scotti

Strasser

et al. 2017

Journal of Monetary Economics

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The ZEW Financial Market Survey Panel

Brückbauer

Schröder

2022

Jahrbücher Für Nationalökonomie Und Statistik

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The ZEW Financial Market Survey is a monthly panel survey among financial market experts that was launched in December 1991. The survey focuses on the experts’ expectations about international financial markets and macroeconomic developments. We describe the ZEW Financial Market Survey and the resulting research dataset, which is available for free for academic researchers, is large and includes long individual time series (99,001 responses by 2002 respondents, as of September 2021), and contains rich information on the financial market experts collected over the years and which can be combined with the data on expectations.

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The early news catches the attention: On the relative price impact of similar economic indicators

Cited by 6 publications

References 30 publications

Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?

The ZEW Financial Market Survey Panel

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