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Information about this author at RePEc
NBER Working Papers and Publications
|May 2005||Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets|
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w11312
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 U.S. 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 competing "cash flow" and "discount rate" effects fo...
Published: Andersen, Torben, Tim Bollerslev, Francis Diebold, and Clara Vega. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets." Journal of International Economics 73 (2007): 251-277.
|May 2002||Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange|
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w8959
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical...
Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Clara Vega. "Micro Effects Of Macro Announcements: Real-Time Price Discovery In Foreign Exchange," American Economic Review, 2003, v93(1,Mar), 38-62. citation courtesy of