What Moves Markets?
61 Pages Posted: 5 Oct 2021 Last revised: 22 Apr 2022
Date Written: April 21, 2022
What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002, suggesting that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, the persistence of news effects, and spillover effects between the US and euro area.
Keywords: Macro news; Asset prices; High-Frequency Identification; Event Database
JEL Classification: E43; E44; G12; G14
Suggested Citation: Suggested Citation