{
  "title": "Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets",
  "publication": "IMF Working Papers, July 1, 2009",
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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.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals.\n- Macroeconomic surprises in external emerging bond markets affect both conditional returns and volatility.\n- The effects on volatility are more pronounced and longer lasting than those on prices.\n- The process of information absorption in external emerging bond markets is more drawn out than in mature bond markets.\n- 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."
    },
    {
      "heading": "Key findings and analysis",
      "content": "- Volatility dynamics in external emerging bond markets mirror mature bond markets in that macroeconomic surprises affect both returns and volatility.\n- The impact on volatility:\n  - Is more pronounced than the impact on prices.\n  - Lasts longer than the impact on prices.\n- Information absorption:\n  - Occurs more slowly in external emerging bond markets compared with mature bond markets.\n- News importance:\n  - International and regional macroeconomic news matters at least as much as local news for asset valuation and volatility dynamics in these markets."
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subject:\n  - Bonds\n  - Consumer price indexes\n  - Emerging and frontier financial markets\n  - Financial crises\n  - Financial institutions\n  - Financial markets\n  - Prices\n  - Securities markets\n- Keywords:\n  - announcements\n  - asset class\n  - bond pricing\n  - Bonds\n  - Consumer price indexes\n  - Emerging and frontier financial markets\n  - emerging market\n  - emerging markets\n  - Global\n  - high-frequency data\n  - interest rate\n  - macroeconomic news\n  - market expectation\n  - market microstructure literature\n  - market reaction\n  - mature market\n  - news spillovers\n  - Securities markets\n  - survey data\n  - treasury note\n  - WP\n\n---\n\n Content in this bundle\n\n- wp09147\n  - wp09147 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp09147 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/macroeconomic-fundamentals-price-discovery-and-volatility-dynamics-in-emerging-markets-23073"
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    "Published: July 1, 2009",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451872941.001",
    "This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals.",
    "Macroeconomic surprises in external emerging bond markets affect both conditional returns and volatility.",
    "The effects on volatility are more pronounced and longer lasting than those on prices.",
    "The process of information absorption in external emerging bond markets is 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.",
    "Volatility dynamics in external emerging bond markets mirror mature bond markets in that macroeconomic surprises affect both returns and volatility.",
    "The impact on volatility:",
    "Information absorption:",
    "News importance:",
    "Subject:",
    "Keywords:",
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