Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

31 Pages Posted: 4 Aug 2009  

Sylwia Barbara Nowak

International Monetary Fund (IMF)

Jochen R. Andritzky

Universität St. Gallen

Andreas (Andy) Jobst

World Bank Group

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 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.

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

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: https://ssrn.com/abstract=1442249

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

World Bank Group ( email )

1818 H Street, NW
Washington, DC 20433
United States
+1-202-473-0626 (Phone)

Natalia T. Tamirisa

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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