Research considers why macroeconomic announcements impact asset prices

Federal Reserve
The Federal Reserve's eagle. Copyright Dan Hinge

The timing of a macroeconomic news announcement is "more important" than its relation to fundamentals in explaining its impact on asset prices, according to a working paper published by the European Central Bank (ECB).

In the paper, Is the intrinsic value of macroeconomic news announcements related to their asset price impact?, Thomas Gilbert, Chiara Scotti, Georg Strasser and Clara Vega analyse 36 closely watched US announcements from 1990 onwards.

The "intrinsic value" of an announcement is

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