Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Risk is Not Symmetric: An Intraday Study of the Bond Market Term Premia Around Macroeconomic Announcements

SSRN Electronic Journal ◽

10.2139/ssrn.1343632 ◽

2009 ◽

Author(s):

Lars Jul Overby ◽

Jesper Pedersen

Keyword(s):

Bond Market ◽

Macroeconomic Announcements ◽

Term Premia

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Which News Moves the Euro Area Bond Market?

German Economic Review ◽

10.1111/j.1468-0475.2008.00439.x ◽

2009 ◽

Vol 10 (1) ◽

pp. 1-31 ◽

Cited By ~ 45

Author(s):

Magnus Andersson ◽

Szabolcs Sebestyén ◽

Lars Jul Overby

Keyword(s):

Monetary Policy ◽

Euro Area ◽

Bond Market ◽

Bond Markets ◽

Market Responses ◽

Macroeconomic Announcements ◽

Bond Futures

AbstractThis paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

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Macroeconomic Announcements, Asymmetric Volatility, and IT

Information Technology and Economic Development ◽

10.4018/978-1-59904-579-5.ch005 ◽

2011 ◽

pp. 59-70

Author(s):

Takeo Minaki ◽

Ichihiro Uchida ◽

Hiroshi Kamae

Keyword(s):

Information Technology ◽

Futures Market ◽

Bond Market ◽

Market Volatility ◽

Frequency Data ◽

Asymmetric Volatility ◽

Related Information ◽

Macroeconomic Announcements ◽

The Impact ◽

Bond Market Volatility

This study analyzes the impact of macroeconomic announcements on the conditional volatility of Japanese government bond (JGB) futures returns. As information technology continues to develop, the arrival and the processing of new market-related information becomes more rapid. Using high-frequency data of JGB futures, we find that announcement shocks influence the dynamics of bond market volatility. Our results provide empirical evidence that the JGB futures market does not immediately incorporate implications of macroeconomic announcement news. Volatility of JGB futures returns persists for a while. Moreover, after distinguishing among types of shocks, volatility is asymmetric. Negative shocks have a stronger impact on subsequent volatility than do positive shocks.

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