[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Further evidence on the impact of economic news on interest rates. (2007). Ielpo, Florian ; GUEGAN, Dominique.
In: MPRA Paper.
RePEc:pra:mprapa:3425.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 40

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Political Economy of the Yield Curve. (2010). Di Maggio, Marco ; Dimaggio, Marco .
    In: MPRA Paper.
    RePEc:pra:mprapa:20697.

    Full description at Econpapers || Download paper

  2. Yield curve reaction to macroeconomic news in Europe :disentangling the US influence. (2007). Ielpo, Florian ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:07-038.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andersen, T. G., Bollerslev, T., Diebold, F. X., and Vega, C. (2003b). Real-time price discovery in stock, bond and foreign exchange markets. PIER Working Paper Archive 04-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  2. Ang, A., Dong, S., and Piazzesi, M. (2005). No-arbitrage taylor rules. Working Paper, Columbia University.

  3. Balduzzi, P., Elton, E. J., and Green, T. C. (2001). Economic News and the Yield Curve: Evidence from the U.S. Treasury Market. Journal of Financial and Quatitative Analysis, 36(4):523-543.

  4. Baumohl, B. (2005). The Secrets of Economic Indicators. Wharton School Publishing, University of Pennsylvania, USA.
    Paper not yet in RePEc: Add citation now

  5. Bernanke, B. S. and Boivin, J. (2001). Monetary Policy in a Data-Rich Environment. NBER Working Papers 8379, National Bureau of Economic Research, Inc.

  6. Blaskowitz, 0., Herwartz, H., and de Cadenas Santiago, G. (2005). Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach. SFB 649 Discussion Papers 5FB649DP2005-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    Paper not yet in RePEc: Add citation now

  7. Bomfim, A. N. (2003). Monetary policy and the yield curve. Finance and Economics Discussion Series 2003-15, Board of Governors of the Federal Reserve System (U.S.).

  8. Campbell, J., Lo, A., and MacKinlay, C. (1997). The econometrics of financial markets. Princeton University Press, New Jersey.
    Paper not yet in RePEc: Add citation now
  9. Chan, K. 5. (1990). Testing for Threshold Autoregression. Ann. Statist., 4:1886-1894.
    Paper not yet in RePEc: Add citation now
  10. Chen, R.-R. and Scott, L. (1993). Maximum Likelihood Estimation of a Muiltifactor Equilibrium Model of the Term Structure of Interest Rates. Journal of Fixed Income, 3:14-31.
    Paper not yet in RePEc: Add citation now

  11. Cox, J., Ingersoll, J., and Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53:385-407.

  12. Davidson, R. and MacKinnon, J. G. (1993). Estimation and Inference in Econometrics. Oxford University Press.

  13. Edison, H. J. (1996). The reaction of exchange rates and interest rates to news releases. International Finance Discussion Papers 570, Board of Governors of the Federal Reserve System (U.S.).

  14. Fleming, M. J. and Remolona, E. M. (1997). What moves the bond market? Research Paper 9706, Federal Reserve Bank of New York.

  15. Fleming, M. J. and Remolona, E. M. (2001). The Term Structure of Announcement Effects. Staff Reports 76, Federal Reserve Bank of New York.

  16. Gourieroux, C. and Jasiak, J. (2001). Econometrics of Finance. Princeton University.
    Paper not yet in RePEc: Add citation now
  17. Greene, W. (2000). Econometric Analysis. Prentice-Hall International.
    Paper not yet in RePEc: Add citation now

  18. Grossman, J. (1981). The `Rationality of Money Supply Expectations and the Short-Run Response of Interest Rates to Monetary Surprises. Journal of Money, Credit and Banking, 13:409-424.

  19. Hans, D. (2001). Surprises in U.S. Macroeconomic Releases: Determinants of Their Relative Impact on T-Bond Futures. Center of Finance and Econometrics, University of Konstanz, (Discussion Paper No. 2001/01).
    Paper not yet in RePEc: Add citation now

  20. Hansen, B. E. (1997). Inference in tar models. Studies in Nonlinear Dynamics and Econometrics, 2:1-14.

  21. Hansen, B. E. (2000). Sample splitting and threshold estimation. Econometrica, 68(3):575-604.

  22. Hardouvelis, G. (1988). Economic News, Exchange Rates and Interest Rates. Journal of International Money and Finance, 7:23-35.

  23. Kishor, N. and Koenig, E. (2005). VAR Estimation and Forecasting when Data Are Subject to Revision. Working Papers 05-0 1, Federal Reserve Bank of Dallas.

  24. Knez, P. J., Litterman, R., and Scheinkman, J. A. (1994). Explorations into factors explaining money market returns. Journal of Finance, 49(5):1861-82.

  25. Lardic, S. and Priaulet, P. (2003). Answers about PCA Methodology on the Yield Curve. Journal of Bond and Management Trading, 4:327-349.
    Paper not yet in RePEc: Add citation now
  26. Lim, K. and Tong, H. (1980). Threshold Autoregression, Limit Cycles and Cyclical Data. J. Roy. Statist. Soc., 42:245-292.
    Paper not yet in RePEc: Add citation now
  27. Lintner, J. (1965). Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets. Review of Economics and Statistics, 47:13-37.
    Paper not yet in RePEc: Add citation now
  28. Litterman, R. and Scheinkman, J. (1991). Common Factors affecting Bond Returns. Journal of Fixed Income, 1:54-61.
    Paper not yet in RePEc: Add citation now
  29. Martellini, L., Priaulet, P., and Priaulet, 5. (2003). Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies. Wiley.
    Paper not yet in RePEc: Add citation now
  30. Molgedey, L. and Galic, E. (2000). Extracting Factors for Interest Rate Scenarios. The European Physical Journal, B20:517-522.
    Paper not yet in RePEc: Add citation now
  31. Mossin, J. (1966). Equilibrium in Capital Asset Market. Econometrica, 35:768-783.
    Paper not yet in RePEc: Add citation now

  32. Orphanides, A. (2001). Monetary Policy Rules Based on Real-Time Data. American Economic Review, 91(4):964-985.

  33. Piazzesi, M. and Swanson, E. (2004). Futures Prices as Risk-adjusted Forecasts of Monetary Policy. NBER Working Papers 10547, National Bureau of Economic Research, Inc.

  34. Prag, J. (1994). The Response of Interest Rates to Unemployment Rate Announcements: Is there a Natural Rate of Unemployment. Journal of Macroeconomics, 16:171-184.
    Paper not yet in RePEc: Add citation now

  35. Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 84:425-442.

  36. Steeley, J. (1990). Modelling the Dynamics of the Term Structure of Interest Rates. Economic and Social Review, Symposium on Finance, 21(4):337-361.
    Paper not yet in RePEc: Add citation now
  37. Stock, J. H. and Watson, M. W. (1998). Diffusion Indexes. NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    Paper not yet in RePEc: Add citation now
  38. Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press, Oxford, UK.
    Paper not yet in RePEc: Add citation now

  39. Vasicek, 0. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5:177-188.

  40. Veredas, D. (2005). Macroeconomic Surprises and Short Term Behavior in Bond Futures. Empirical Economics, 30:791-794.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times. (2008). Laakkonen, Helinä ; Lanne, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:8296.

    Full description at Econpapers || Download paper

  2. Macroeconomic Volatility and Stock Market Volatility, World-Wide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-031.

    Full description at Econpapers || Download paper

  3. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:389.

    Full description at Econpapers || Download paper

  4. Efficient Prediction of Excess Returns. (2008). Wright, Jonathan ; Faust, Jon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14169.

    Full description at Econpapers || Download paper

  5. New Shocks, Exchange Rates and Equity Prices. (2008). Rebucci, Alessandro ; Pisani, Massimiliano ; Matsumoto, Akito ; Cova, Pietro.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/284.

    Full description at Econpapers || Download paper

  6. Policy words and policy deeds: the ECB and the euro. (2008). Siklos, Pierre ; Bohl, Martin T..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:13:y:2008:i:3:p:247-265.

    Full description at Econpapers || Download paper

  7. Stock Market Integration and the Speed of Information Transmission. (2008). Černý, Alexandr ; Koblas, Michal.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:58:y:2008:i:1-2:p:2-20.

    Full description at Econpapers || Download paper

  8. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:08-22.

    Full description at Econpapers || Download paper

  9. Stale information, shocks and volatility. (2007). Gropp, Reint ; Kadareija, Arjan.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5499.

    Full description at Econpapers || Download paper

  10. The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility. (2007). TUYSUZ, Sukriye.
    In: MPRA Paper.
    RePEc:pra:mprapa:5381.

    Full description at Econpapers || Download paper

  11. Further evidence on the impact of economic news on interest rates. (2007). Ielpo, Florian ; GUEGAN, Dominique.
    In: MPRA Paper.
    RePEc:pra:mprapa:3425.

    Full description at Econpapers || Download paper

  12. Why do markets react badly to good news? Evidence from Fed Funds Futures. (2007). .
    In: MPRA Paper.
    RePEc:pra:mprapa:1708.

    Full description at Econpapers || Download paper

  13. Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News. (2007). Ozmen, Erdal ; Ozatay, Fatih ; Şahinbeyoğlu, Gülbin ; Sahinbeyoglu, Gulbin.
    In: ERC Working Papers.
    RePEc:met:wpaper:0707.

    Full description at Econpapers || Download paper

  14. Volatility and Causality in Asia Pacific Financial Markets. (2007). Weber, Enzo.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-004.

    Full description at Econpapers || Download paper

  15. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-052.

    Full description at Econpapers || Download paper

  16. Information shares in the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-070.

    Full description at Econpapers || Download paper

  17. Convergence and anchoring of yield curves in the Euro area. (2007). Swanson, Eric ; Gürkaynak, Refet ; Fratzscher, Marcel ; Ehrmann, Michael ; Gurkaynak, Refet S..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-24.

    Full description at Econpapers || Download paper

  18. Some Benefits of Monetary-Policy Transparency in New Zealand. (2007). Karagedikli, Ozer ; Drew, Aaron.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:57:y:2007:i:11-12:p:521-539.

    Full description at Econpapers || Download paper

  19. Convergence and Anchoring of Yield Curves in the Euro Area. (2007). Swanson, Eric ; Gürkaynak, Refet ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6456.

    Full description at Econpapers || Download paper

  20. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-25.

    Full description at Econpapers || Download paper

  21. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

  22. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

    Full description at Econpapers || Download paper

  23. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-09.

    Full description at Econpapers || Download paper

  24. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

    Full description at Econpapers || Download paper

  25. Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data. (2006). Oikarinen, Elias.
    In: Discussion Papers.
    RePEc:rif:dpaper:1004.

    Full description at Econpapers || Download paper

  26. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. (2006). Beber, Alessandro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12270.

    Full description at Econpapers || Download paper

  27. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2006). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:1:p:1-22.

    Full description at Econpapers || Download paper

  28. Idiosyncratic volatility, economic fundamentals, and foreign exchange rates. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-025.

    Full description at Econpapers || Download paper

  29. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  30. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:886.

    Full description at Econpapers || Download paper

  31. Informed and strategic order flow in the bond markets. (2006). Vega, Clara ; Pasquariello, Paolo.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:874.

    Full description at Econpapers || Download paper

  32. The monetary origins of asymmetric information in international equity markets. (2006). Vega, Clara ; Bauer, Gregory.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:872.

    Full description at Econpapers || Download paper

  33. How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?. (2006). Roush, Jennifer E. ; Robitaille, Patrice .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:868.

    Full description at Econpapers || Download paper

  34. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

  35. Stale information, shocks and volatility. (2006). Gropp, Reint ; Kadareja, Arjan .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006686.

    Full description at Econpapers || Download paper

  36. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  37. Global financial transmission of monetary policy shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006616.

    Full description at Econpapers || Download paper

  38. Global Private Information in International Equity Markets. (2006). Schneider, Martin ; Albuquerque, Rui ; Bauer, Gregor H.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5819.

    Full description at Econpapers || Download paper

  39. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

    Full description at Econpapers || Download paper

  40. Global Financial Transmission of Monetary Policy Shocks. (2006). Fratzscher, Marcel ; Ehrmann, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1710.

    Full description at Econpapers || Download paper

  41. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-007.

    Full description at Econpapers || Download paper

  42. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street. (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11564.

    Full description at Econpapers || Download paper

  43. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11441.

    Full description at Econpapers || Download paper

  44. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

  45. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11069.

    Full description at Econpapers || Download paper

  46. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects. (2005). Ranaldo, Angelo ; Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2005-05.

    Full description at Econpapers || Download paper

  47. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:844.

    Full description at Econpapers || Download paper

  48. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Fratzscher, Marcel ; Ehrmann, Michael ; Rigobon, Roberto.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005452.

    Full description at Econpapers || Download paper

  49. Characterizing Asymmetric Information in International Equity Markets. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: International Finance.
    RePEc:wpa:wuwpif:0405005.

    Full description at Econpapers || Download paper

  50. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2003). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:784.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-13 16:51:46 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.