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The Impact Of Fresh Releases On The Yield Curve

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Author Info
Vladimir Pikora
Abstract

The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures. The sharpest moves have never been caused by a new number, but developments abroad and unexpected statements of central bankers. Scheduled central bank decisions on the interest rates did not affect yields as much as these two factors. The main message of this text for short term investors is, that in contrast to the USA, it is better for them to follow trading abroad than the Czech fundamentals.

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Publisher Info
Article provided by University of Economics, Prague in its journal Politická ekonomie.

Volume (Year): 2007 (2007)
Issue (Month): 6 ()
Pages: 809-828
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Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:625:p:809-828

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Related research
Keywords: yield curve; market reaction; information release; expectations; central bank; analysts;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-12-2.

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