Travail de recherche/Working paper
Résumé : Market operators monitor a massive flow of macroeconomic information every day, and react to the nexpected component of the releases. Can we replicate in an automatic way market’s pricing of macroeconomic news? In this paper I show that a "Nowcasting Surprise Index", constructed aggregating forecast errors from a nowcasting model using model-based weights, resembles surprise indexes proposed in the recent literature or constructed by practitioners, which cumulate survey-based forecast errors weighting them using the average news effects on asset prices. This suggests that market operators and a nowcasting model filter the macroeconomic data flow in a similar way, and confirms the link between asset prices and news about macroeconomic indicators. Moreover, the paper shows that a nonnegligible part of asset prices behaviour can be associated to the recent cumulated news in macroeconomic data which carry information about the underlying state of the economy. These results also open a new route for algorithmic trading based on macroeconomic conditions.