Macroeconomic News and Bond Market Volatility
AbstractWe examine the reaction of daily Treasury bond prices to the releaseoof U.S. government macroeconomic news. These news releases (of employment and Producer Price Index data) are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. We investigate whether these non-autocorrelated announcements give rise to autocorrelated volatility. We find that announcement-day volatility does not persist at all, consistent with a simple efficient markets model in which information is incorporated immediately into prices. We also find a large risk premium on these release dates. In contrast, excess returns over Treasury bills are zero on non-announcement dates in our 1979-1993 sample.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Princeton University, Department of Economics in its series Home Pages with number _005.
Date of creation: Aug 1996
Date of revision:
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.