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Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets /
This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to affect both conditional returns an...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, DC] :
International Monetary Fund,
2009.
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| Colección: | IMF working paper ;
WP/09/147. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to affect both conditional returns and volatility, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets. |
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| Descripción Física: | 1 online resource (30 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 28-30). |
| ISBN: | 1451872941 9781451872941 1451917236 9781451917239 |
| ISSN: | 1018-5941 ; |