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Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets
2024-10-08

Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets

Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets
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We provide evidence regarding how European and U.S. macroeconomic and monetary policy events affect euro area markets. By analyzing over 170 macroeconomic indicators from 2002 to 2024Q1, we assess the impacts across different events, countries, and time periods. We rely on a high-frequency impact identification strategy and estimate the effects of releases on market variability and the directional effects of surprises across different markets. We find that, compared to European data releases, U.S. events tend to have a more pronounced effects on euro area markets. On average, monetary and employment events induce the strongest repricing in euro area financial markets. In most of the specifications, long-term sovereign yields were more sensitive to macroeconomic releases than other instruments, while short-term bonds and stock prices were impacted much less frequently.

Keywords: macroeconomic news, macroeconomic releases, monetary policy, euro area, financial markets.

JEL codes: E43, E44, F40, G12, G14, G15

euro area, Monetary policy, Financial Markets, macroeconomic news, macroeconomic releases