Abstract

http://ssrn.com/abstract=1442249
 
 

References (49)



 
 

Citations (5)



 


 



Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets


Sylwia Barbara Nowak


International Monetary Fund (IMF)

Jochen R. Andritzky


Universität St. Gallen

Andreas (Andy) Jobst


International Monetary Fund (IMF) - European Department

Natalia T. Tamirisa


International Monetary Fund (IMF)

July 2009

IMF Working Paper No. 09/147

Abstract:     
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 and volatility, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets.

Number of Pages in PDF File: 31

Keywords: Asset prices, Bond markets, Bonds, Economic models, Emerging markets, Private investment, Public information, Sovereign debt

working papers series


Download This Paper

Date posted: August 4, 2009  

Suggested Citation

Nowak, Sylwia Barbara and Andritzky, Jochen R. and Jobst, Andreas (Andy) and Tamirisa, Natalia T., Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets (July 2009). IMF Working Papers, Vol. , pp. 1-30, 2009. Available at SSRN: http://ssrn.com/abstract=1442249

Contact Information

Sylwia Barbara Nowak
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
Jochen R. Andritzky (Contact Author)
Universität St. Gallen ( email )
Varnbuelstr. 14
Saint Gallen, St. Gallen CH-9000
Switzerland
Andreas A. Jobst
International Monetary Fund (IMF) - European Department ( email )
700 19th Street NW
Washington, DC 20431
United States
+1-202-623-6362 (Phone)
Natalia T. Tamirisa
International Monetary Fund (IMF) ( email )
700 19th Street NW
Washington, DC 20431
United States
Feedback to SSRN


Paper statistics
Abstract Views: 424
Downloads: 71
Download Rank: 106,482
References:  49
Citations:  5

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.312 seconds