IDEAS home Printed from https://ideas.repec.org/a/bpj/germec/v10y2009i1p1-31.html
   My bibliography  Save this article

Which News Moves the Euro Area Bond Market?

Author

Listed:
  • Andersson Magnus

    (European Central Bank, Frankfurt, Germany)

  • Sebestyén Szabolcs

    (Catholic University of Portugal, Porto, Portugal)

  • Overby Lars Jul

    (University of Copenhagen, Nørregade 10, København, Denmark)

Abstract

This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

Suggested Citation

  • Andersson Magnus & Sebestyén Szabolcs & Overby Lars Jul, 2009. "Which News Moves the Euro Area Bond Market?," German Economic Review, De Gruyter, vol. 10(1), pages 1-31, February.
    • Handle: RePEc:bpj:germec:v:10:y:2009:i:1:p:1-31
    DOI: 10.1111/j.1468-0475.2008.00439.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1468-0475.2008.00439.x
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1111/j.1468-0475.2008.00439.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
    2. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:germec:v:10:y:2009:i:1:p:1-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.