The Federal Reserve Bank of New York today released How Economic News Moves Markets, the latest article in its series Current Issues in Economics and Finance.
the only significant and persistent effects come from just three releases: gross domestic product, nonfarm payrolls and the ISM manufacturing report.
most indicators don’t have a major effect. “The retail sales indicator, the CPI excluding food and energy [or core inflation], and the consumer sentiment index have notable effects, but the effects are mostly confined to interest rates and diminish perceptibly by day’s end. The remaining indicators — the CPI, housing starts, and the components of the personal income and outlays report — elicit weak and generally insignificant responses.”
The researchers also conclude that the true impact of economic news on asset prices may be larger than their study suggests, as it is difficult to quantify market participants’ expectations about upcoming economic releases to determine the degree to which economic news is priced into markets prior to release.
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