What moves markets?

• 成果类型: Article
• 署名作者: Kerssenfischer, Mark; Schmeling, Maik
• 署名单位: Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103560
• 发表日期: 2024
• 关键词: Macro news Asset prices High-frequency identification Event database Monetary policy

摘要

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.