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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...
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Collectivité auteur: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
[Washington, DC] :
International Monetary Fund,
2009.
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| Collection: | IMF working paper ;
WP/09/147. |
| Sujets: | |
| Accès en ligne: | Texto completo |
Table des matières:
- 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.
- 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.