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Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

Author/Editor: Nowak, Sylwia Barbara | Andritzky, Jochen R. | Jobst, Andreas | Tamirisa, Natalia T.
Authorized for Distribution: July 1, 2009
Electronic Access: Free Full Text (PDF file size is 909KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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 a¤ect both conditional returns and volatility, with the e¤ects 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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Series: Working Paper No. 09/147
Subject(s): Asset prices | Bond markets | Bonds | Economic models | Emerging markets | Private investment | Public information | Sovereign debt
Author's keyword(s): emerging markets; bond pricing; macroeconomic news; announcements; survey data; news spillovers; high-frequency data
 
English  
    Published:   July 1, 2009        
            Format:   Paper
    Stock No:   WPIEA2009147   Pages:   30
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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