Economic News
The impact of economic news on asset prices varies with the nature and magnitude of the surprise. For example, a big change in expected inflation may cause bond yields to rise, while a small unexpected change in the growth rate of GDP might not affect interest rates or exchange rates at all. Moreover, some economic announcements have a much more profound effect on one type of asset than another: for example, the response to an announcement of high export or import prices tends to be larger in the stock market than the reaction to an announcement that the Federal Reserve is keeping interest rates steady.
Various methods have been used to try to measure the impact of economic news on asset prices, with different approaches involving surveys, real-time trading data and a variety of other techniques. However, all of these approaches suffer from a number of drawbacks. One is that survey-based measures of market expectations can capture only part of the news, because survey results are typically collected a few days or even weeks ahead of the actual data release. In addition, the responses to a particular piece of economic news might be mixed with signals from other sources and thus may be difficult to distinguish from the signal being captured by the survey. For these reasons, researchers who wish to measure the immediate effects of economic announcements on asset prices should be cautious about using survey-based estimates.