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

Author

Listed:
  • Imane El Ouadghiri
  • Valerie Mignon
  • Nicolas Boitout

Abstract

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond yields, 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 (i) the main bond market movers are based on economic activity and in ation indicators, (ii) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (iii) the bond market is more sensitive to bad news than to good announcements. Finally, we evidence an empirical monotonic relationship between the surprises' impact and their corresponding news' publication date and/or their sign.

Suggested Citation

  • Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2014-20
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    References listed on IDEAS

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    Cited by:

    1. Sreejata Banerjee & Divya Sinha, 2015. "Effect of Macroeconomic News Releases on Bond Yields in India China and Japan," Working Papers 2015-125, Madras School of Economics,Chennai,India.

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    More about this item

    Keywords

    bond market; event study; macroeconomic news.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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