Bond Implied Risks Around Macroeconomic Announcements

2021 ◽  
Author(s):  
Xinyang Li
Keyword(s):  
Macroeconomic Announcements

Currency Jumps, Cojumps and Trading Profits: Role of Macroeconomic Announcements

2011 ◽  
Author(s):  
Arjun Chatrath ◽  
Ryan Dailing ◽  
Hong Miao ◽  
Sanjay Ramchander
Keyword(s):  
Macroeconomic Announcements ◽  
Trading Profits

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

2009 ◽  
Vol 12 (01) ◽  
pp. 63-85 ◽  
Author(s):  
Weihua Shi ◽  
Larry Eisenberg ◽  
Cheng-few Lee
Keyword(s):  
Stock Exchange ◽  
Japanese Government ◽  
Government Bond ◽  
Calendar Effects ◽  
Announcement Effects ◽  
Volatility Persistence ◽  
Macroeconomic Announcements ◽  
The Us ◽  
Treasury Bond ◽  
Bond Futures

Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that, unlike the case for the US Treasury bond futures, only four out of 21 scheduled macroeconomic announcements are found to have a significant impact on volatilities, and their instantaneous and daily influences are rather small. At both instantaneous and daily frequencies, volatility persistence effects have the largest influence on volatility, while macroeconomic announcements have only a negligible impact.

scholarly journals Which News Moves the Euro Area Bond Market?

2009 ◽  
Vol 10 (1) ◽  
pp. 1-31 ◽  
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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