A0958
Title: What moves markets
Authors: Mark Kerssenfischer - Deutsche Bundesbank (Germany) [presenting]
Abstract: What share of asset price movements is driven by the news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news accounts for about 50\% of all bond and stock price movements in the United States and euro area since 2002, suggesting that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, the persistence of news effects, and spillover effects between the US and euro area.
