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

• 成果类型: Article
• 署名作者: Gilbert, Thomas; Scotti, Chiara; Strasser, Georg; Vega, Clara
• 署名单位: University of Washington; University of Washington Seattle; Federal Reserve System - USA; European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.09.008
• 发表日期: 2017
• 页码: 78-95
• 关键词: Macroeconomic announcements; Price discovery; learning; forecasting; Nowcasting

摘要

The literature documents a heterogeneous asset price response to macroeconomic news announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an announcement-the announcement's ability to nowcast GDP growth, inflation, and the federal funds target rate-and find that differences across the intrinsic values of several U.S. macroeconomic announcements explain a significant fraction of the variation in the impact each of these announcements has on U.S. Treasury yields. We also decompose the intrinsic value into the announcement's relation to fundamentals, a timeliness premium, and a revision premium, and find that the former two characteristics are the most important ones in explaining the heterogeneous response. Published by Elsevier B.V.