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Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures

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    Abstract

    This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial markets, considerably less effort has been devoted to the question what makes some releases important in contrast to others that seem to attract no attention at all. In order to identify the factors determining the relative importance of releases, the time series properties and the information content of the macroeconomic news flow are investigated. In particular, several types of information regarding inflation and economic strength are distinguished. The explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. The results indicate that the value of the information contained in a release decreases with the number of previously released figures highlighting similar aspects. Thus, the price impact of a release decreases as the additional information contained in a release becomes smaller.

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    File URL: http://cofe.uni-konstanz.de/Papers/dp01_01.pdf
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    Bibliographic Info

    Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 01-01.

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    Length: 33 Pages
    Date of creation: Mar 2001
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    Handle: RePEc:knz:cofedp:0101

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    1. Rohan Christie-David & Mukesh Chaudhry, 1999. "Liquidity And Maturity Effects Around News Releases," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 47-67, 03.
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    10. 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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    14. Hess, Dieter E., 2000. "Surprises in scheduled releases: why do they move the bond market?," ZEW Discussion Papers 00-61, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    15. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451.
    16. Gerald P. Dwyer, Jr. & R.W. Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
    17. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    18. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444.
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