On the impact of macroeconomic news surprises on Treasury-bond returns

Springer Science and Business Media LLC - Tập 12 - Trang 29-53 - 2015
Imane El Ouadghiri1, Valérie Mignon1,2, Nicolas Boitout3
1EconomiX-CNRS, University of Paris Ouest, Paris, France
2CEPII, Paris, France
3MarketScience, Orléans, France

Tóm tắt

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.

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