纽约联邦储备银行做的调研.pdf

Volume 14, Number 6 August 2008 F E D E R A L R E S E RV E B A N K O F N E W Y O R K Current Issues Current Issues I N E C O N O M I C S A N D F I N A N C E w w w . n e w y o r k f e d . o r g / r e s e a r c h / c u r r e n t _ i s s u e s How Economic News Moves Markets Leonardo Bartolini, Linda Goldberg, and Adam Sacarny Exploring how the release of new economic data affects asset prices in the stock, bond, and foreign exchange markets, the authors find that only a few announcements—the nonfarm payroll numbers, the GDP advance release, and a private sector manufacturing report—generate price responses that are economically significant and measurably persistent. Bond yields show the strongest response and stock prices the weakest. The authors’ analysis of the direction of these effects suggests that news of stronger-than-expected growth and inflation generally prompts a rise in bond yields and the exchange value of the dollar. he U.S. government and some private organiza- review and illustrate some of the key patterns that researchers Ttions regularly issue statistics on the performance have observed in market reactions to economic releases. of the nation’s economy. These data releases can Specifically, we track how announcements of thirteen eco- lead to adjustments in the price of financial assets as market nomic indicators affect prices in three broad asset classes— participants reassess their views of the economy’s current bonds, stocks, and foreign exchange—over a ten-year period condition and