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How much do UK market interest rates respond to macroeconomic data news?

Author

Listed:
  • Eguren-Martin, Fernando

    (Bank of England)

  • McLaren, Nick

    (Bank of England)

Abstract

Macroeconomic data releases receive considerable attention in financial market commentary, suggesting they are an important source of information that investors use to form their views about the economic outlook. This article quantifies the role played by these data releases in explaining observed changes in market interest rates in the United Kingdom. It looks at which data releases — both domestic and foreign — tend to have most effect on UK interest rates. It also examines how the importance of data releases can change over time and considers the factors that may explain changes in the sensitivity of interest rates to data news.

Suggested Citation

  • Eguren-Martin, Fernando & McLaren, Nick, 2015. "How much do UK market interest rates respond to macroeconomic data news?," Bank of England Quarterly Bulletin, Bank of England, vol. 55(3), pages 259-272.
    • Handle: RePEc:boe:qbullt:0181
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    References listed on IDEAS

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    Cited by:

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    2. Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021. "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers 2114, Centre for Macroeconomics (CFM).
    3. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
    4. Czech, Robert & Pintér, Gábor, 2020. "Informed trading and the dynamics of client-dealer connections in corporate bond markets," Bank of England working papers 895, Bank of England, revised 20 Jan 2022.

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