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Which news moves the euro area bond market?

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Author Info

  • Andersson, Magnus
  • Hansen, Lars Jul
  • Sebestyén, Szabolcs

Abstract

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. In general, adjustments in prices are quick and new information is usually incorporated into prices within five minutes of announcements. The volatility adjustment is more long-lasting than that in the conditional mean, and excess volatility can be observed up to 30 minutes after the releases. Overall, German bond markets tend to react more strongly to the surprise component in US macro releases compared to euro area and domestic releases, and the strength of those reactions to US releases has increased over the period considered. The paper also provides evidence that the outcome of German unemployment figures has been known to investors ahead of the prescheduled release. JEL Classification: E43, E44, E58

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0631.

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Date of creation: May 2006
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Handle: RePEc:ecb:ecbwps:20060631

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Keywords: intraday data; macroeconomic announcements; monetary policy;

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