Real-time price discovery in stock, bond and foreign exchange markets

"We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jum...

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Bibliographische Detailangaben

Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. National Bureau of Economic Research 2005
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11312
Schlagworte:	Ökonometrisches Modell Bonds > United States > Econometric models Foreign exchange rates > United States > Econometric models Rate of return > Germany > Econometric models Rate of return > Great Britain > Econometric models Rate of return > United States > Econometric models Stocks > United States > Econometric models Deutschland Großbritannien USA
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