The price impact of macroeconomic news on capital markets

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The core question of this book is how macroeconomic information impacts asset prices, as macroeconomic announcements are crucial for understanding current and future economic conditions. These announcements are widely discussed by investors and covered by the media. The book demonstrates that various asset classes significantly react to macroeconomic news releases. It comprises a theoretical part that presents valuation models for bonds, stocks, and commodities, aiming to create a framework for analyzing price responses to macroeconomic news. The empirical part investigates new determinants of asset price formation surrounding these announcements. Notably, it reveals that early-released indicators can have a stronger market impact despite lower information quality compared to later releases. Additionally, the book highlights that media coverage plays a significant role in determining the price impact of economic indicators. It also explores how industry characteristics influence stock price reactions to macroeconomic news. Furthermore, it provides evidence that commodity futures respond differently to macroeconomic news based on whether the economy is in a recession or expansion. Overall, the findings enhance the understanding of how macroeconomic information is integrated into asset prices.