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Rafael Romeu

Timing of the Model Canonical Models’ Information Effect: Incoming Order Flow and Price New Information Effect: Cumulative Inventory Shocks and Price Tables Inventory Control: First Five Entries of Lyons (1995) Dataset Descriptive Statistics Observed Incoming Order Flow and Outgoing Trades Information Effect: Daily Correlation of Order Flow Variables with Price System of Estimable Equations Price Formation with Multiple Instruments Canonical Model Estimates The Impact of a Federal Reserve Intervention

Mr. Jochen R. Andritzky, Mr. Geoffrey J Bannister, and Ms. Natalia T. Tamirisa
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.