Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

Publication Date:

July 1, 2009

Electronic Access:

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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 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.

Series:

Working Paper No. 2009/147

Subject:

Bonds Consumer price indexes Emerging and frontier financial markets Financial crises Financial institutions Financial markets Prices Securities markets

English

Publication Date:

July 1, 2009

ISBN/ISSN:

9781451872941/1018-5941

Stock No:

WPIEA2009147

Pages:

31

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