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| Tekijä: | Beber, A. Brandt, M.W. |
| Otsikko: | Resolving macroeconomic uncertainty in stock and bond markets |
| Lehti: | Review of finance
2009 : JAN, VOL 13:1 p. 1-45 |
| Asiasana: | financial markets volatility news reporting options data analysis |
| Kieli: | eng |
| Tiivistelmä: | An empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets is established in this article. Macroeconomic uncertainty is measured using prices of economic derivatives and relate this measure to changes in implied volatilities of stock and bond options when the economic data is released. Higher macroeconomic uncertainty is associated with greater reduction in implied volatilities following the news release. It is also associated with increased volume and decreased open interest in option markets after the release, consistent with market participants using financial options to hedge or speculate on macroeconomic news. |
SCIMA