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Özgün Başlık The News Content of Macroeconomic Announcements : What If Central Bank Communication Becomes Stale? Yazarlar Michael Ehrmann, David Sondermann Dergi Adı International Journal of Central Banking - IJCB Cilt September 2012, Cilt 8, Sayı 3, ss. 1-53 Özet How do financial markets incorporate news? This paper argues that one piece of news not only has direct effects on asset prices and market volatility, but it can also alter the relative importance of other news. Studying the reaction of UK short-term interest rates to the Bank of England's Inflation Report and to macroeconomic announcements, this paper finds support for the notion of interdependent news effects. With time elapsing since the latest release of an Inflation Report, market volatility increases, suggesting that market uncertainty rises until the central bank updates its communication. At the same time, the price response to other macroeconomic announcements becomes more pronounced, and they play a more important role in reducing uncertainty. |