Macroeconomic News and Asset Prices Before and after the Zero Lower Bound

32 Pages Posted: 28 Oct 2016

See all articles by Christoffer Koch

Christoffer Koch

Federal Reserve Bank of Dallas

Julieta Yung

Bates College

Date Written: 2016-10-01


With short-term policy interest rates constrained by their effective zero lower bound (ZLB), monetary policy relied on communicating the future path of policy conditional on incoming macroeconomic data. Motivated by this, we exploit intra-day prices to investigate how updates on the state of the U.S. economy affect interest rates and exchange rates before and after the ZLB. We find that releases reflecting the dual mandate of the Fed rose in importance and – as an ex-post acknowledgement of the sources of the Great Recession – additional housing market indicators and GDP revisions, that hitherto left markets unaffected, became market movers.

JEL Classification: F42, F44, G14

Suggested Citation

Koch, Christoffer and Yung, Julieta, Macroeconomic News and Asset Prices Before and after the Zero Lower Bound (2016-10-01). Globalization and Monetary Policy Institute Working Paper No. 287. Available at SSRN: or

Christoffer Koch (Contact Author)

Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX Texas 75265-5906
United States


Julieta Yung

Bates College ( email )

204 Lane Hall
2 Andrews Road
Lewiston, ME 04240
United States

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