Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets.
This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to affect both conditional returns an...
| Collectivité auteur: | |
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2009.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2009/147 |
| Accès en ligne: | Full text available on IMF |