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The impact of economic news on bond prices: Evidence from the MTS platform

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  • Paiardini, Paola

Abstract

Although there is an extensive literature on the impact of macroeconomic announcements on asset prices, the bond market has received less attention than the foreign exchange and equity markets, even less if we consider the European market. This paper uses high-frequency intra-day data over a three-year period to investigate the impact of regularly scheduled macroeconomic news and monetary policy announcements on the returns of the Italian government bond market, the largest one in the Euro-zone. With respect to the previous papers, we use a much broader set of announcements, 68, and a relatively novel dataset (MTS). We find that 25 news have a significant impact on bond returns and that almost all announcements are incorporated into prices within 20min from the release.

Suggested Citation

  • Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
  • Handle: RePEc:eee:jbfina:v:49:y:2014:i:c:p:302-322
    DOI: 10.1016/j.jbankfin.2014.08.007
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    3. Dahlia Ervina, 2015. "Macroeconomic News and Price Discovery in Indonesian Government Bond Market," Information Management and Business Review, AMH International, vol. 7(4), pages 98-107.
    4. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
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    6. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    7. Yang-Chao Wang & Jui-Jung Tsai & Lanxin Lu, 2019. "The impact of Chinese monetary policy on co-movements between money and capital markets," Applied Economics, Taylor & Francis Journals, vol. 51(45), pages 4939-4955, September.

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    More about this item

    Keywords

    Macroeconomic news announcements; Bond returns; MTS;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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