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Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
Author:
International Monetary Fund
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Series:
IMF Working Papers
Volume/Issue:
Volume 2009: Issue 147
Language:
English
Publication Date:
01 Jul 2009
DOI:
https://doi.org/10.5089/9781451872941.001
ISBN:
9781451872941
ISSN:
1018-5941
Pages:
31
Keywords:
WP; emerging market; interest rate; treasury note; emerging markets; bond pricing; macroeconomic news; announcements; survey data; news spillovers; high-frequency data; market expectation; market reaction; asset class; market microstructure literature; mature market; Emerging and frontier financial markets; Securities markets; Bonds; Consumer price indexes; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to affect both conditional returns and volatility, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2009: Issue 147