IMANE EL OUADGHIRI

Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis

Imane El Ouadghiri

Résumé

The aim of this paper is to investigate heterogeneity in macroeconomic news forecasts using disaggregate data of monthly expectation surveys conducted by Bloomberg
on macroeconomic indicators from January 1999 to February 2013. We find three major results. First, we show that macroeconomic indicator forecasters are mostly heterogeneous and their expectations are found to violate the rational expectation hypothesis. Second, the use of the expectation mixed model –combining extrapolative, regressive and adaptive components– reveals a large dominance of the chartist profile among forecasters with a systematical persistence over time despite all the structural breaks determined endogenously by the Bai-Perron estimation method. Third, we find that forecasters whose forecasting models combine at least two or three anticipatory components (extrapolative, and regressive or/and adaptive) and display high temporal flexibility, thus adapting to different structural breaks, are those which provide the most accurate forecasts.

Mot(s) clé(s)

Announcements, heterogeneity, survey data, expectation formation.

Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets

Imane El Ouadghiri, Remzi Uctum

Résumé

In this paper we examine the intraday effects of surprises from scheduled and
unscheduled announcements on six major exchange rate returns (jumps) using an
extension of the standard Tobit model with heteroskedastic and asymmetric errors.
Since observed volatility at high frequency often contains microstructure noise, we use
a recently proposed non parametric test to filter out noise and extract jumps from
noise-free FX returns (Lee and Mykland (2012)). We found that the most influential
scheduled macroeconomic news are globally related to job markets, output growth
indicators and public debt. These surprises impact FX jumps rather in the form of
good news, as a result of pessimistic forecasts from traders during the crisis period
analyzed. We reconfirmed for most of the currencies the hypothesis that negative
volatility shocks have a greater impact on volatility than positive shocks of the same
magnitude, reflecting markets' concern about the cost of stabilization policies.

Mot(s) clé(s)

Forex market, announcements, jump detection test, high frequency data, microstructure noise, asymmetric GARCH.

On the impact of macroeconomic news surprises on Treasury-bond yields

Nicolas Boitout, Imane El Ouadghiri, Valérie Mignon

Résumé

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond yields, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (i) the main bond market movers are based on economic activity and in ation indicators, (ii) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (iii) the bond market is more sensitive to bad news than to good announcements. Finally, we evidence an empirical monotonic relationship between the surprises' impact and their corresponding news' publication date and/or their sign.

Mot(s) clé(s)

bond market, event study, macroeconomic news.