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[期刊论文][article]
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Macroeconomic news announcements, systemic risk, financial market volatility, and jumps
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出版年:2018
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页 码:513 - 534
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出版社:John Wiley & Sons, Ltd.
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摘 要:
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I study the second‐moment response to macroeconomic news announcements in financial markets. Responses can be decomposed into contributions from continuous volatility and discrete jumps. Disagreement and uncertainty are introduced to measure the second moments of market forecasts. Two decades of high frequency equity and bond futures data are examined including the global financial crisis. I report evidence that uncertainty has a stronger effect on the second‐moment response than disagreement and the second‐moment response is influenced by the level of financial stress and monetary policy regime. The zero‐lower‐bound interest rate policy constrains second‐moment responses in the bond market.
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关键字:
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disagreement and uncertainty;financial systemic risk;jumps;macroeconomic news announcements;realized variance
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所属期刊
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ISSN: 0270-7314
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来自:John Wiley & Sons, Ltd.
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