## Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

_IMF Working Papers, July 1, 2009_

## Source details

**Canonical URL:** [Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets](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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## Bibliographic details
- Published: July 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451872941.001

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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.
- 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.

### Key findings and analysis
- Volatility dynamics in external emerging bond markets mirror mature bond markets in that macroeconomic surprises affect both returns and volatility.
- The impact on volatility:
  - Is more pronounced than the impact on prices.
  - Lasts longer than the impact on prices.
- Information absorption:
  - Occurs more slowly in external emerging bond markets compared with mature bond markets.
- News importance:
  - International and regional macroeconomic news matters at least as much as local news for asset valuation and volatility dynamics in these markets.

### Subject areas and keywords
- Subject:
  - Bonds
  - Consumer price indexes
  - Emerging and frontier financial markets
  - Financial crises
  - Financial institutions
  - Financial markets
  - Prices
  - Securities markets
- Keywords:
  - announcements
  - asset class
  - bond pricing
  - Bonds
  - Consumer price indexes
  - Emerging and frontier financial markets
  - emerging market
  - emerging markets
  - Global
  - high-frequency data
  - interest rate
  - macroeconomic news
  - market expectation
  - market microstructure literature
  - market reaction
  - mature market
  - news spillovers
  - Securities markets
  - survey data
  - treasury note
  - WP

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/macroeconomic-fundamentals-price-discovery-and-volatility-dynamics-in-emerging-markets-23073_