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literature has made tremendous progress estimating monetary policy rules that account for these systematic responses in terms of low-frequency data (such as quar- terly data). If monetary policy is so systematic, one would expect to see evidence of it also in the higher-frequency movements in interest rates and 335 8 Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices Roberto Rigobon and Brian Sack Roberto Rigobon is an associate professor with tenure at the Sloan School of Management, Massachusetts Institute of Technology, and a research associate of the

Which News Moves the Euro Area Bond Market? Magnus Andersson European Central Bank Lars Jul Overby University of Copenhagen/ Danmarks Nationalbank Szabolcs Sebestyén Catholic University of Portugal Abstract. This paper explores a long dataset (1999–2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases

growth and focus instead on the trend rate of monetary expansion over the medium term. JEL classification: E43, E44, E52, E58. Keywords: High-frequency data; macroeconomic announcements; money growth. 1. INTRODUCTION The monetary policy strategy of the European Central Bank (ECB) assigns a prominent role to money. This strategy differentiates monetary analysis from economic analysis, and refers to each of them as a ‘pillar’ for the overall assessment of risks to price stability. However, many observers have failed to detect any relationship between the growth rate of M

intraday FX trading using popular technical indicators. IEEE Transactions on Neural Networks , 12 (4), 744–754. Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics. Journal of Political Economy , 84 (6), 1161–1176. Faust, J., Rogers, J.H., Wang, S.Y.B. & Wright, J.H. (2007). The high-frequency response of exchange rates and interest rates to macroeconomic announcements. Journal of Monetary Economics , 54, 1051–1068. Frenkel, J.A. (1976). A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence. Scandinavian Journal of Economics


: Markus K. Brunnermeier Discussion Summary 5. Learning, Macroeconomic Dynamics, and the Term Structure of Interest Rates 191 Hans Dewachter and Marco Lyrio Comment: Jordi Galí Discussion Summary 6. Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections 247 Glenn D. Rudebusch and John C. Williams Comment: Marvin Goodfriend Discussion Summary 7. The Effect of Monetary Policy on Real Commodity Prices 291 Jeffrey A. Frankel Comment: Lars E.O. Svensson Discussion Summary 8. Noisy Macroeconomic Announcements, Monetary Policy, and

approach[J]. Economic Modelling, 2014, (36): 455-465 [8] Christiane Baumeister, Lutz Kilian. Do oil price increases cause higher food prices[J]. Econ Policy, 2014, 80(29): 691-747 [9] Aymen Belgacem, Anna Creti, Khaled Guesmi & Amine Lahiani. Volatility spillovers and macroeconomic announcements: evidence from crude oil markets[J]. Applied Economics, 2015, (13): 2974-2984 [10] Nikanor I. Volkov, Ky-hyang Yuhn. Oil price shocks and exchange rate movements[J]. Global Finance Journal, 2016, (31): 18-30 [11] Angham Ben Brayek, Saber Sebai, Kamel Naoui. A study of the

Economy , 23, 124-145. 12. Ehrmann, M. & Fratzscher, M. (2007b). Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness? Journal of Money, Credit and Banking , 39(2-3), 509-541. 13. Ehrmann, M. & Fratzscher, M. (2009). Purdah - On the Rationale for Central Bank Silence around Policy Meetings. Journal of Money, Credit and Banking , 41(2-3), 517-528. 14. Ehrmann, M. & Sondermann, D. (2012). The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale? International Journal of Central Banking , 8

inflation. Journal of Financial Economics , 5 (2), 115–146. Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic Factors Do Influence Aggregate Stock Returns. Review of Financial Studies , 15 (3), 751–782. Gilbert, T. (2011). Information aggregation around macroeconomic announcements: Revisions matter. Journal of Financial Economics , 101 (1), 114–131. Gjerde, Ø., & Sættem, F. (1999). Causal relations among stock returns and


3.1 Industry–Country Component Models 61 3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks 73 3.3 Sector–Currency Models of Corporate Bond Returns 77 4 Statistical Factor Analysis 79 4.1 Types of Factor Models 79 4.2 Approximate Factor Models 82 4.3 The Arbitrage Pricing Theory 86 4.4 Small-n Estimation Methods 88 4.5 Large-n Estimation Methods 93 4.6 Number of Factors 98 5 The Macroeconomy and Portfolio Risk 101 5.1 Estimating Macroeconomic Factor Models 101 5.2 Event Studies of Macroeconomic Announcements 110 viii Contents 5

. Our study contributes to the literature in several aspects. First of all, our data set is much richer than the ones used in the previous literature. We use a new 5-minute frequency EUR/USD (euro against United States dollar) exchange rate data set from 1 January 1999 to 31 December 2004 and a macro news data set that is more comprehensive than those used in earlier studies. In particular, the news data set includes all the macroeconomic announcements from the US and all the euro countries published in the Bloomberg WECO (World economic calendar). Furthermore