메뉴 건너뛰기




Volumn 24, Issue 7, 2004, Pages 609-629

Determinants of the relative price impact of unanticipated information in U.S. Macroeconomic releases

Author keywords

[No Author keywords available]

Indexed keywords


EID: 2942614744     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10134     Document Type: Article
Times cited : (12)

References (36)
  • 2
    • 2942545160 scopus 로고    scopus 로고
    • Micro effects of macro announcements: Real-time price discovery in foreign exchange
    • Cambridge, MA: National Bureau of Economic Research
    • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2002). Micro effects of macro announcements: Real-time price discovery in foreign exchange (Discussion Paper 8959). Cambridge, MA: National Bureau of Economic Research.
    • (2002) Discussion Paper , vol.8959
    • Andersen, T.G.1    Bollerslev, T.2    Diebold, F.X.3    Vega, C.4
  • 5
    • 0030526163 scopus 로고    scopus 로고
    • Macroeconomic news and the efficiency of international bond futures markets
    • Becker, K. G., Finnerty, J. E., & Kopecky, K. J. (1996). Macroeconomic news and the efficiency of international bond futures markets. Journal of Futures Markets, 16(2), 131-145.
    • (1996) Journal of Futures Markets , vol.16 , Issue.2 , pp. 131-145
    • Becker, K.G.1    Finnerty, J.E.2    Kopecky, K.J.3
  • 6
    • 0002600652 scopus 로고
    • On the significance of weekly changes in M 1
    • Berkman, N. G. (1978). On the significance of weekly changes in M 1. New England Economic Review, 78, 5-22.
    • (1978) New England Economic Review , vol.78 , pp. 5-22
    • Berkman, N.G.1
  • 7
    • 0010218351 scopus 로고    scopus 로고
    • Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
    • Bollerslev, T., Cai, J., & Song, F. M. (2000). Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market. Journal of Empirical Finance, 7(1), 37-55.
    • (2000) Journal of Empirical Finance , vol.7 , Issue.1 , pp. 37-55
    • Bollerslev, T.1    Cai, J.2    Song, F.M.3
  • 8
    • 0010637514 scopus 로고    scopus 로고
    • Macroeconomic announcement effects on the covariance structure of government bond returns
    • Christiansen, C. (2000). Macroeconomic announcement effects on the covariance structure of government bond returns. Journal of Empirical Finance, 7(5), 479-507.
    • (2000) Journal of Empirical Finance , vol.7 , Issue.5 , pp. 479-507
    • Christiansen, C.1
  • 9
    • 0005737560 scopus 로고
    • The reaction of interest rates to the employment report: The role of policy anticipations
    • Federal Reserve Bank of Richmond
    • Cook, T., & Korn, S. (1991). The reaction of interest rates to the employment report: The role of policy anticipations. Economic Review, Federal Reserve Bank of Richmond, 77(5), 3-12.
    • (1991) Economic Review , vol.77 , Issue.5 , pp. 3-12
    • Cook, T.1    Korn, S.2
  • 10
    • 84978584547 scopus 로고
    • Intraday volatility in interest rate and foreign exchange spot and futures markets
    • Crain, S. J., & Lee, J. H. (1995). Intraday volatility in interest rate and foreign exchange spot and futures markets. Journal of Futures Markets, 15(4), 395-421.
    • (1995) Journal of Futures Markets , vol.15 , Issue.4 , pp. 395-421
    • Crain, S.J.1    Lee, J.H.2
  • 11
    • 0003629081 scopus 로고    scopus 로고
    • The market microstructure of central bank intervention
    • Cambridge, MA: National Bureau of Economic Research
    • Dominguez, K. M. (1999). The market microstructure of central bank intervention (Discussion Paper 7337). Cambridge, MA: National Bureau of Economic Research.
    • (1999) Discussion Paper , vol.7337
    • Dominguez, K.M.1
  • 12
    • 0036065947 scopus 로고    scopus 로고
    • Do forecasters use monetary models? An empirical analysis of exchange rate expectations
    • Dornau, R., & Schröder, M. (2002). Do forecasters use monetary models? An empirical analysis of exchange rate expectations. Applied Financial Economics, 12(8), 535-543.
    • (2002) Applied Financial Economics , vol.12 , Issue.8 , pp. 535-543
    • Dornau, R.1    Schröder, M.2
  • 13
    • 0010653130 scopus 로고
    • Optimality of least squares in the seemingly unrelated regressions model
    • Dwivedi, T., & Srivastava, K. (1978). Optimality of least squares in the seemingly unrelated regressions model. Journal of Econometrics, 7(3), 391-395.
    • (1978) Journal of Econometrics , vol.7 , Issue.3 , pp. 391-395
    • Dwivedi, T.1    Srivastava, K.2
  • 15
    • 84993867978 scopus 로고
    • How markets process information: News releases and volatility
    • Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. Journal of Finance, 48(4), 1161-1191.
    • (1993) Journal of Finance , vol.48 , Issue.4 , pp. 1161-1191
    • Ederington, L.H.1    Lee, J.H.2
  • 16
    • 0040742380 scopus 로고    scopus 로고
    • The reaction of exchange rates and interest rates to news releases
    • Washington, DC: Board of Governors of the Federal Reserve System
    • Edison, H. J. (1996). The reaction of exchange rates and interest rates to news releases (Discussion Paper 570). Washington, DC: Board of Governors of the Federal Reserve System.
    • (1996) Discussion Paper , vol.570
    • Edison, H.J.1
  • 17
    • 0003001204 scopus 로고    scopus 로고
    • What moves the bond market
    • Federal Reserve Bank of New York
    • Fleming, M. J., & Remolona, E. M. (1997). What moves the bond market. Economic Policy Review, Federal Reserve Bank of New York, 3(4), 31-50.
    • (1997) Economic Policy Review , vol.3 , Issue.4 , pp. 31-50
    • Fleming, M.J.1    Remolona, E.M.2
  • 18
    • 0012267441 scopus 로고    scopus 로고
    • Price formation and liquidity in the U.S. Treasury market: The response to public information
    • Fleming, M. J., & Remolona, E. M. (1999a). Price formation and liquidity in the U.S. Treasury market: The response to public information. Journal of Finance, 54(5), 1901-1915.
    • (1999) Journal of Finance , vol.54 , Issue.5 , pp. 1901-1915
    • Fleming, M.J.1    Remolona, E.M.2
  • 19
    • 0042017725 scopus 로고    scopus 로고
    • The term structure of announcement effects
    • New York. Federal Reserve Bank of New York
    • Fleming, M. J., & Remolona, E. M. (1999b). The term structure of announcement effects (Discussion Paper No. 76). New York. Federal Reserve Bank of New York.
    • (1999) Discussion Paper No. 76 , vol.76
    • Fleming, M.J.1    Remolona, E.M.2
  • 20
    • 2942580017 scopus 로고    scopus 로고
    • The impact of scheduled news announcements on T-bond and Bund futures trading
    • H. J. Vosgerau (Ed.). London: MacMillan
    • Franke, G., & Hess, D. (2000a). The impact of scheduled news announcements on T-bond and Bund futures trading. In H. J. Vosgerau (Ed.), Institutional arrangements for global economic integration (pp. 337-366). London: MacMillan.
    • (2000) Institutional Arrangements for Global Economic Integration , pp. 337-366
    • Franke, G.1    Hess, D.2
  • 21
    • 0043187700 scopus 로고    scopus 로고
    • Information diffusion in electronic and floor trading
    • Franke, G., & Hess, D. (2000b). Information diffusion in electronic and floor trading. Journal of Empirical Finance, 7(5), 455-478.
    • (2000) Journal of Empirical Finance , vol.7 , Issue.5 , pp. 455-478
    • Franke, G.1    Hess, D.2
  • 23
    • 0031161691 scopus 로고    scopus 로고
    • High frequency data in financial markets: Issues and applications
    • Goodhart, C. A. E., & O'Hara, M. (1997). High frequency data in financial markets: Issues and applications. Journal of Empirical Finance, 4(2-3), 73-114.
    • (1997) Journal of Empirical Finance , vol.4 , Issue.2-3 , pp. 73-114
    • Goodhart, C.A.E.1    O'Hara, M.2
  • 26
    • 2942580015 scopus 로고    scopus 로고
    • Surprises in scheduled releases: Why do they move the bond market?
    • Mannheim, Germany: Center for European Economic Research, ZEW
    • Hess, D. (2000). Surprises in scheduled releases: Why do they move the bond market? (Discussion Paper 00-61). Mannheim, Germany: Center for European Economic Research, ZEW.
    • (2000) Discussion Paper , vol.61
    • Hess, D.1
  • 27
    • 2942518573 scopus 로고    scopus 로고
    • Habilitation thesis, Center of Finance and Econometrics, University of Konstanz
    • Hess, D. (2001). Information processing in financial markets. Habilitation thesis, Center of Finance and Econometrics, University of Konstanz.
    • (2001) Information Processing in Financial Markets
    • Hess, D.1
  • 29
    • 0008059235 scopus 로고    scopus 로고
    • Do markets respond more to more reliable labor market data? A test of market rationality
    • Princeton, NJ: Princeton University Industrial Relations Section
    • Krueger, A. B. (1996). Do markets respond more to more reliable labor market data? A test of market rationality (Discussion Paper 367). Princeton, NJ: Princeton University Industrial Relations Section.
    • (1996) Discussion Paper , vol.367
    • Krueger, A.B.1
  • 31
    • 2942541966 scopus 로고    scopus 로고
    • Predicting market movers: A closer look at consensus forecasts
    • Moersch, M. (2001). Predicting market movers: A closer look at consensus forecasts. Business Economics, 36(2), 24-29.
    • (2001) Business Economics , vol.36 , Issue.2 , pp. 24-29
    • Moersch, M.1
  • 32
    • 0002446489 scopus 로고
    • Stock prices and economic news
    • Pearce, D. K., & Roley, V. V. (1985). Stock prices and economic news. Journal of Business, 58(1), 49-67.
    • (1985) Journal of Business , vol.58 , Issue.1 , pp. 49-67
    • Pearce, D.K.1    Roley, V.V.2
  • 33
    • 21344475520 scopus 로고
    • The response of interest rates to unemployment rate announcements: Is there a natural rate of unemployment
    • Prag, J. (1994). The response of interest rates to unemployment rate announcements: Is there a natural rate of unemployment. Journal of Macroeconomics, 16(1), 171-184.
    • (1994) Journal of Macroeconomics , vol.16 , Issue.1 , pp. 171-184
    • Prag, J.1
  • 35
    • 84977344431 scopus 로고
    • Market response to the weekly money supply announcements in the 1970s
    • Urich, T., & Wachtel, P. (1981). Market response to the weekly money supply announcements in the 1970s. Journal of Finance, 36(5), 1063-1072.
    • (1981) Journal of Finance , vol.36 , Issue.5 , pp. 1063-1072
    • Urich, T.1    Wachtel, P.2
  • 36
    • 0001132330 scopus 로고
    • The effects of inflation and money supply announcements on interest rates
    • Urich, T., & Wachtel, P. (1984). The effects of inflation and money supply announcements on interest rates. Journal of Finance, 39(4), 1177-1188.
    • (1984) Journal of Finance , vol.39 , Issue.4 , pp. 1177-1188
    • Urich, T.1    Wachtel, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.