Macro News in Market Moves: Classifying News through Asset Co-movements

CLONE decomposes daily price moves into demand, productivity, inflation, and policy news using stocks, bonds, and inflation swaps; aggregate demand dominated until 2021.

Read the paper PDF

View as Markdown Open in Claude Open in ChatGPT Open in PerplexitySite index for AI (llms.txt)

Featured in No. 134 on 9 Oct 2026 · 9 days after release

Figure 6. Variance Ratios The figure shows the variance ratios from equation 5 for the S&P 500 Index, 2-year U.S. Treasury yield, and 2-year inflation swap rate, decomposed into “Demand News” (blue), “Productivity News” (orange), “Inflation News” (green), and “Monetary News” (red), as defined in Se…

Released: 30 Sep 2026
First featured: No. 134 · 9 Oct 2026
Published in: Not yet, as far as Semantic Scholar knows
Fanfare: 2 of 5
Identifier: RePEc:bca:bocsap:26-7
Authors: Bruno Feunou et al.

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

Related papers

The Federal Reserve’s Response to the Global Financial Crisis and Its Long-Term Impact: An Interrupted Time-Series Natural Experimental Analysis

From Tone to Trajectory: Continuous Sentiment and the Shape of Monetary Policy Communication (Martin Feldkircher, Márton Kardos, Kristoffer Laigaard Nielbo)

Housing Network Connectedness and Policy Spillovers: Evidence from a Time-Varying Parameter VAR Approach

Bayesian Vector Autoregression for Joint Macroeconomic Forecasting: Pseudo-Real-Time Evidence, Density Forecasts, Structural Dynamics, Scenario Analysis, and Practical Macro-Risk Use for the United States

Nonlinear Drivers of Macroeconomic Tail Risk: A Threshold Stochastic Volatility-in-Mean VAR with Regime-Dependent Leverage

TKAN: Temporal Kolmogorov-Arnold Networks