European Parliament Library

Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets, Sylwia Nowak ... [et al.]

Label
Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets, Sylwia Nowak ... [et al.]
Language
eng
resource.governmentPublication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
Literary Form
non fiction
Main title
Macroeconomic fundamentals, price discovery and volatility dynamics in emerging markets
Medium
electronic resource
Nature of contents
dictionaries
Oclc number
642053830
Responsibility statement
Sylwia Nowak ... [et al.]
Series statement
IMF working paper, WP/09/147
Table Of Contents
Contents; I. Introduction; II. Literature Review; III.Intraday Price Data and Announcements; Tables; Table 1. Summary Statistics for 1- and 10-Minute Bond Returns; IV.Two-Stage Modeling of Returns and Volatility; Table 2. Macroeconomic News Announcements; V. Price Dynamics in Emerging Markets; Figures; Figure 1. Intraday Volatility Patterns Before and During The Subprime Crisis; VI.News Effects in Emerging Bond Markets; Table 3. AR-ARCH Specification; Figure 2. Autocorrelation of Ten-Minute Return Volatility and Volatility Innovations; A. Repricing and RepositioningTable 4. Impact of Surprises in U.S. Macroeconomic News on 1-Minute ReturnsFigure 3. Price Response to Surprises in U.S. Macroeconomic News; Figure 4. Volatility Response to Local News Arrival; Figure 5. Volatility Response to U.S. News Arrival; Table 5. Impact of News Arrival on 10-Minute Return Volatility; B. Asymmetries and Nonlinearities; Table 6. Impact of Positive and Negative News Arrival on 10-Minute Return Volatility; Table 7. Impact of Surprise News in the Upper and Lower 0.70 Quantile on 10-Minute Return VolatilityTable 8. Impact of News Arrival on 10-Minute Return Volatility Before and During the Subprime CrisisVII.Conclusion; References