Alexandra NiessenThe Price Impact of Macroeconomic News on Capital Markets

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The core question of this book is how macroeconomic information impacts asset prices. Macroeconomic announcements are important for asset prices, because they provide information on current and future economic conditions. They are widely discussed by investors and extensively covered by the public press.

This book shows that a wide range of asset classes strongly reacts to the release of macroeconomic news. It consists of a theoretical part and an empirical part. The theoretical part presents valuation models for the bond market, the stock market, and the market for commodities. The goal is to develop a framework for the analysis of the price response of several asset classes to macroeconomic news releases. The empirical part examines several new determinants of asset price formation around macroeconomic news. It is shown for the first time that early released indicators have a stronger market impact even if they have a lower information quality than later released indicators. The book also provides the first evidence that media coverage is an important determinant of an economic indicator‘s price impact. It is further shown how industry characteristics determine the stock price reaction to macroeconomic news. Finally, the book provides evidence that commodity futures react differently to macroeconomic news depending on whether the economy is in a recession or in an expansion. The results of this book help to understand how macroeconomic information is incorporated into asset prices.