Macroeconomic announcements move markets. The surprise from an announcement will move equity, bond, and FX markets, yet the response will not be same and the announcement that will have the greatest impact will differ. The author of the paper "Economic Surprises: What really moves the markets?", Maria Vieira, looked at 5-minute intervals around the announcements and them measured the different reaction between the positive and negative shocks. She also measured the strength of surprises across a wide set of announcements. The focus of most investor attention is on just a few announcements like non-farm payroll, PMI, retail sales, and inflation.
The Fed is data driven, but given the strong surprise effect, they are forced to be reactive and cannot focus on forecasts.
For investors, they should think of surprises as either trend reinforcing or trend reversing. Does the trend support the trend or is it a reason to adjust exposure down?
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