This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the most important US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we consider a Polynomial Distributed Lag (PDL) model. We conclude that i)fundamentals affect TY for some hours, ii)their effect depends on the sign of the forecast error and iii) it depends on the business cycle. Finally the timeliness of the releases matters.
Cet article discute de l'effet des nouvelles macroéconomiques sur le prix futur des bons du Trésor ayant échéance dans 10 ans, l une des classes d'obligations les plus importantes. On prendra en considération divers facteurs fondamentaux et on analysera l'effet de leurs erreurs de prédiction conditionnellement au signe et au momentum du cycle économique. Pour obenir un effet lisse sur l'arrivée des nouvelles, on prendra un modèle à retard polynomial distribué (PDL) On conclura que i) les facteurs fondamentaux affectent les rendements des obligations du Trésor pendant quelques heures, ii) leurs effets dépendent du signe de l'erreur de prédiction et iii)ils dépendent aussi du cycle économique. Finalement, le ``timing'' de l'arrivée de nouvelles macroéconomiques est important.
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions G1 - Financial Economics - - General Financial Markets
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