Economic News and the Yield Curve: Evidence from the U.S. Treasury Market
AbstractThis paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find a total of seventeen economic announcements to have a significant impact on the price of at least on
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Bibliographic InfoPaper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 98-005.
Date of creation: Oct 1997
Date of revision:
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Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
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Other versions of this item:
- Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1996. "Economic News and the Yield Curve: Evidence From the U.S. Treasury Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-13, New York University, Leonard N. Stern School of Business-.
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