How Economic News Moves Markets

7 Pages Posted: 10 Sep 2008

See all articles by Leonardo Bartolini

Leonardo Bartolini

Deceased

Linda S. Goldberg

Federal Reserve Bank of New York; National Bureau of Economic Research (NBER)

Adam Sacarny

Columbia University

Date Written: August 2008

Abstract

Exploring how the release of new economic data affects most prices in the stock, bond, and foreign exchange markets, the authors find out that only a few announcements - the nonfarm payroll numbers, the GDP advance release, and a private sector manufacturing report - generate price responses that are economically significant and measurably persistent. Bond yields show the strongest response and stock prices the weakest. The authors' analysis of the direction of these effects suggests that news of stronger-than-expected growth and inflation generally prompts a rise in bond yields and the exchange value of the dollar.

Keywords: economic news, asset price, high frequency rate, macroeconomy

JEL Classification: E00, G00

Suggested Citation

Bartolini (deceased), Leonardo and Goldberg, Linda S. and Sacarny, Adam, How Economic News Moves Markets (August 2008). Current Issues in Economics and Finance, Vol. 14, No. 6, August 2008. Available at SSRN: https://ssrn.com/abstract=1265074

Linda S. Goldberg

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-2836 (Phone)
212-720-6831 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Adam Sacarny

Columbia University ( email )

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