Work

The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility

Year: 2012

Type: article

Abstract: This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during "high" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.

Source: European Journal of Business Management and Research

DOI: 10.24018/ejbmr.2019.4.4.48

Authors: Catherine Lubochinsky, Sukriye Tuysuz

Institutions: Yeditepe University, Banque de France

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W3123759641

FWCI:

Cites:

Cited by: 1

Related to: 10