Understanding the macrofinance dataflow

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Since the beginning of the twentieth century, the global economic environment has become increasingly interconnected with financial markets. The markets for listed equities and public debt were the main initial drivers of this transition. More recently, the proliferation of derivative products linked to equities and bonds, as well as mortgage-backed securities and credit derivatives, has further increased financial markets' sensitivity to changing macroeconomic conditions and multiplied the speed with which information is transmitted between financial markets and the real economy. Today, all of the traditional macroeconomic variables as well as relatively new indexes and surveys are closely followed by market participants as they are seen to have a significant influence on financial markets. However, finding empirical relationships among financial and macroeconomic variables remains difficult, as these data have complex dynamics