The Impact of Macroeconomic Announcements on Emerging Market Bonds
By Jochen R. Andritzky, Geoffrey J. Bannister, Natalia T. Tamirisa. Social Science Research Network, 2005
136 citations recorded by the source corpus.
Abstract This paper examines how emerging market bonds react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in U.S. interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Macroeconomic data and policy announcements reduce uncertainty and stabilize spreads, while rating actions cause greater volatility. Results are robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus on simple and timely indicators.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f52978186f634399b4d03617913d395dee96e3f4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Axel Dreher
- Christoph Moser
- Niklas Potrafke
- Muhammad Shahbaz
- J. Vreeland
- Mantu Kumar Mahalik
- Nuno Carlos Leitão
- Andreas Bergh
In Finance
Citations in the corpus
- Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets (2010, methodology): “…of the following US financial market indicators available on a daily basis that might affect emerging market financial indicators, namely the volatility index (VIX) and U.S. interest rates (10-year U.S. 16Kaminsky and Schmukler (2002) and Andritzky et al. (2007) employ a similar empirical strategy.”