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

2026

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AI-generated summary

1) This paper introduces a novel method for classifying macroeconomic news by analyzing asset co-movements, offering real-time economic signals crucial for market behavior and policy decisions.
2) * Introduces CLONE, a model-free approach to decompose asset price movements into four types of macroeconomic news: aggregate demand, productivity, inflation, and monetary policy.
* Demonstrates CLONE's effectiveness by analyzing U.S. macroeconomic data from 2004-2024, showing shifts in the dominance of different news types over time.
* Validates the method against traditional sign-restricted VAR models and discusses its benefits, including simplicity and a forward-looking focus.
3) Macroeconomic news, asset co-movements, CLONE, financial markets, policy decisions

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