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Type: Journal article
Title: Macroeconomic news, business cycles, and Australian financial markets
Author: Fang, V.
Lin, C.
Parbhoo, K.
Citation: Asia-Pacific Financial Markets, 2008; 15(3-4):185-207
Publisher: Kluwer Academic Publishers Group
Issue Date: 2008
ISSN: 1387-2834
Statement of
Victor Fang, Chien-Ting Lin and Kunaal M. Parbhoo
Abstract: This paper examines the effects of news surprises of macroeconomic announcements on Australian financial markets across different business cycles. We find that overall, the news arrivals are influential in both stock and debt markets but in an interesting array of responses across asset classes. Debt markets are more responsive to macroeconomic news surprises compared to the stock market, hence supporting the notion that information revealed from the macroeconomic news is related to interest rates. Specifically, news about CPI is important over the full sample period and especially during expansions for both stock and bond returns while the unemployment rate news is influential to the moneymarket rates. Furthermore, these effects are seemingly asymmetric in nature, with their directions and magnitudes conditional on the state of economy.
Keywords: Asymmetric effect
Macroeconomic news surprises
Financial markets
State of economy
DOI: 10.1007/s10690-009-9078-4
Appears in Collections:Aurora harvest
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