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The Impact on Interest Rates of Unemployment Announcements and Their Revisions

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  • James E. Gunderson
  • Frederic P. Sterbenz

Abstract

The announced changes in monthly employment reports and in weekly new unemployment claim reports are based on new levels and on revisions to previous levels. We analyze the effect on interest rates of surprises to these two separate components of the changes. We find that for weekly reports the effect on interest rates of the new level is greater than the effect of the revisions. For monthly employment reports, the two components' effects have similar strength. Copyright (c) 2010, The Eastern Finance Association.

Suggested Citation

  • James E. Gunderson & Frederic P. Sterbenz, 2010. "The Impact on Interest Rates of Unemployment Announcements and Their Revisions," The Financial Review, Eastern Finance Association, vol. 45(4), pages 951-971, November.
  • Handle: RePEc:bla:finrev:v:45:y:2010:i:4:p:951-971
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    Cited by:

    1. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, vol. 47(3), pages 565-587, August.

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