Which News Moves the Euro Area Bond Market?
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Which News Moves the Euro Area Bond Market? / Andersson, Magnus; Overby, Lars Jul; Sebestyén, Szabolcs.
In: German Economic Review, Vol. 10, No. 1, 2009, p. 1-31.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Which News Moves the Euro Area Bond Market?
AU - Andersson, Magnus
AU - Overby, Lars Jul
AU - Sebestyén, Szabolcs
N1 - JEL classification: E43, E44, E58
PY - 2009
Y1 - 2009
N2 - This 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.
AB - This 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.
KW - Faculty of Social Sciences
KW - monetary policy
KW - high-frequency data
KW - macroeconomic announcements
U2 - 10.1111/j.1468-0475.2008.00439.x
DO - 10.1111/j.1468-0475.2008.00439.x
M3 - Journal article
VL - 10
SP - 1
EP - 31
JO - German Economic Review
JF - German Economic Review
SN - 1465-6485
IS - 1
ER -
ID: 10113933