G12 - Asset Pricing; Trading volume; Bond Interest Rates

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

  Staff analytical paper 2026-7 Bruno Feunou, Jean-Sébastien Fontaine, Rishi Vala

  This paper introduces CLONE, a method that decomposes asset price movements into aggregate demand, productivity, inflation, and monetary policy news, using stocks, bonds, and inflation swaps. CLONE simplicity and forward-looking focus helps guide policymakers in determining the economic drivers behind asset price movements.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E3, E32, E4, E44, G, G1, G12, G14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission