01735cas a2200241 a 4500 AALejournalIMF005903 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451872941 1018-5941 BD-DhAAL BD-DhAAL International Monetary Fund. Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets. Washington, D.C. : International Monetary Fund, 2009. 1 online resource (31 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to affect both conditional returns and volatility, with the effects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2009/147 Full text available on IMF http://elibrary.imf.org/view/journals/001/2009/147/001.2009.issue-147-en.xml IMF e-Library