The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Real-time price discovery in global stock, bond and foreign exchange markets
Abstract
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news.
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Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Kilian, L., & Hicks, B. (2013) · Journal of Forecasting · doi:10.1002/for.2243 · Cited by 371
Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises
Scotti, C. (2016) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2016.06.002 · Cited by 339
Bollerslev, T., Li, S. Z., & Todorov, V. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.02.001 · Cited by 180
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Metadata
- Authors
- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C.
- Venue
- Journal of International Economics
- Publisher
- Elsevier BV
- Published
- 2007-11
- Volume
- 73
- Issue
- 2
- Pages
- 251-277
- ISSN
- 0022-1996 (ISSN-L)
- OpenAlex
- W2096669492
- Cited by
- 1,127
- References
- 3
- FWCI
- 118.09
- Type
- journal article
- Language
- en
- Open access
- closed
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- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics. https://doi.org/10.1016/j.jinteco.2007.02.004
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