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March 3, 2026
Open Access
Time-varying macroeconomic announcement risk
MJ
Michael Johannes
Columbia University
NS
Norman Seeger
Ministry of Finance
JS
Jonathan Stroud
Georgetown University
Key Points
Time-varying macroeconomic announcement risks impact financial markets significantly.
This assessment highlights fluctuations in risk around economic indicators, notably during announcement periods.
Analysis of market reactions to macroeconomic announcements showcases dynamic risk patterns.
Understanding these risks supports more effective volatility management strategies in trading.
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Johannes et al. (Tue,) studied this question.
synapsesocial.com/papers/69a760bec6e9836116a2dc91
https://doi.org/https://doi.org/10.1016/j.jeconom.2026.106194
Time-varying macroeconomic announcement risk | Synapse