["International Journal of Finance &Economics, EarlyView. ", "\nABSTRACT\nWe provide evidence regarding how European and US macroeconomic and monetary policy events affect euro area markets. By analysing over 170 macroeconomic indicators from 2002 to 2024, we assess the impacts across different events, countries and time periods. We rely on a high‐frequency impact identification strategy and estimate the effects of releases on market variability and the directional effects of surprises across different markets. We find that, compared to European data releases, US events tend to have a more pronounced effects on euro area markets. On average, monetary and employment events induce the strongest repricing in euro area financial markets. In most of the specifications, exchange rate and long‐term sovereign yields were more sensitive to macroeconomic releases, while short‐term bonds and stock prices were impacted much less frequently.\n"]