Abstract
Abstract
We use clickstream data to show that investors’ demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors’ beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors’ uncertainty.
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference92 articles.
1. Optimal inattention to the stock market;Abel,;American Economic Review,2007
2. Optimal inattention to the stock market with information costs and transactions costs;Abel,;Econometrica,2013
3. The measurement and behavior of uncertainty: Evidence from the ECB survey of professional forecasters;Abel,;Journal of Applied Econometrics,2016
4. Deutsche mark-dollar volatility: Intra-day activity patterns, macroeconomic announcements, and longer run dependencies;Andersen,;Journal of Finance,1998
5. Micro effects of macro announcements: Real-time price discovery in foreign exchange;Andersen,;American Economic Review,2003
Cited by
36 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献