Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

31 Pages Posted: 25 Aug 2008 Last revised: 25 Sep 2009

See all articles by Sylwia Barbara Nowak

Sylwia Barbara Nowak

International Monetary Fund (IMF)

Jochen R. Andritzky

German Council of Economic Experts; International Monetary Fund (IMF)

Andreas (Andy) Jobst

International Monetary Fund (IMF) - European Department

Natalia T. Tamirisa

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: July 2009

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 a¤ect 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.

Keywords: emerging markets, bond pricing, macroeconomic news, announcements, survey data, news spillovers, high-frequency data

JEL Classification: E44, G14

Suggested Citation

Nowak, Sylwia Barbara and Andritzky, Jochen and Jobst, Andreas A. and Tamirisa, Natalia T., Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets (July 2009). International Monetary Fund WP No. 09/147, 2009, 21st Australasian Finance and Banking Conference 2008 Paper, Time-Varying Correlation and Volatility Symposium 2008, Available at SSRN: https://ssrn.com/abstract=1253003 or http://dx.doi.org/10.2139/ssrn.1253003

Sylwia Barbara Nowak (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Jochen Andritzky

German Council of Economic Experts ( email )

Federal Statistical Office
Gustav-Stresemann-Ring 11
Wiesbaden, Hessen 65180
Germany

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Andreas A. Jobst

International Monetary Fund (IMF) - European Department ( email )

700 19th Street NW
Washington, DC 20431
United States
+1-202-538-2898 (Phone)

Natalia T. Tamirisa

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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