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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 |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, DC] :
International Monetary Fund,
2009.
|
| Colección: | IMF working paper ;
WP/09/147. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets / |c prepared by Sylwia Nowak [and others]. |
| 260 | |a [Washington, DC] : |b International Monetary Fund, |c 2009. | ||
| 300 | |a 1 online resource (30 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/09/147 | |
| 504 | |a Includes bibliographical references (pages 28-30). | ||
| 588 | 0 | |a Print version record. | |
| 520 | 3 | |a 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. | |
| 505 | 0 | |a I. Introduction; II. Literature Review; III. Intraday Price Data and Announcements; IV. Two-Stage Modeling of Returns and Volatility; V. Price Dynamics in Emerging Markets; VI. News Effects in Emerging Bond Markets ; A. Repricing and Repositioning; B. Asymmetries and Nonlinearities; VII. Conclusion; References; Tables ; Table 1. Summary Statistics for 1- and 10-Minute Bond Returns ; Table 2. Macroeconomic News Announcements; Table 3. AR-ARCH Specification ; Table 4. Impact of Surprises in U.S. Macroeconomic News on 1-Minute Returns. | |
| 505 | 8 | |a Table 5. Impact of News Arrival on 10-Minute Return VolatilityTable 6. Impact of Positive and Negative News Arrival on 10-Minute Return Volatility; Table 7. Impact of Surprise News in the Upper and Lower 0.70 Quantile on 10-Minute Return Volatility; Table 8. Impact of News Arrival on 10-Minute Return Volatility Before and During the Subprime Crisis; Figures ; Figure 1. Intraday Volatility Patterns Before and During The Subprime Crisis ; Figure 2. Autocorrelation of Ten-Minute Return Volatility and Volatility Innovations; Figure 3. Price Response to Surprises in U.S. Macroeconomic News. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2011. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2011 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Bonds |x Prices |z Developing countries. | |
| 650 | 7 | |a Bonds |x Prices |2 fast | |
| 651 | 7 | |a Developing countries |2 fast | |
| 650 | 7 | |a Aufstrebende Märkte. |2 stw | |
| 650 | 7 | |a Rentenmarkt. |2 stw | |
| 650 | 7 | |a Ankündigungseffekt. |2 stw | |
| 650 | 6 | |a Macroéconomie. | |
| 700 | 1 | |a Nowak, Sylwia Barbara, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. | |
| 758 | |i has work: |a Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGCYTDfQy7cFDg9xdgd6yq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |t Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets. |d [Washington, DC] : International Monetary Fund, 2009 |w (OCoLC)538877809 |
| 830 | 0 | |a IMF working paper ; |v WP/09/147. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1605918 |z Texto completo |
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