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What moves sovereign bond markets? The effects of economic news on U.S. and German yields

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  • Linda S. Goldberg
  • Deborah Leonard

Abstract

Economic announcements are an important source of information, containing news that spills over internationally across markets, affecting yields. An analysis of the U.S. and German sovereign bond markets finds that the largest moves in yields are associated with U.S. announcements on labor market conditions, real GDP growth, and consumer sentiment.

Suggested Citation

  • Linda S. Goldberg & Deborah Leonard, 2003. "What moves sovereign bond markets? The effects of economic news on U.S. and German yields," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 9(Sep).
  • Handle: RePEc:fip:fednci:y:2003:i:sep:n:v.9no.9
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    References listed on IDEAS

    as
    1. Michael Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
    2. Donald L. Kohn & Brian P. Sack, 2003. "Central bank talk: does it matter and why?," Finance and Economics Discussion Series 2003-55, Board of Governors of the Federal Reserve System (U.S.).
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    4. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    5. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 9-32.
    6. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 31-50.
    7. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
    8. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
    9. Michael Ehrmann & Marcel Fratzscher, 2003. "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
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