IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

La réaction des taux européens aux nouvelles économiques

Listed author(s):
  • Charlotte Lespagnol
  • Jérôme Teïletche
Registered author(s):

    [eng] The Reaction of European Bond Yields to Economic News Activity on financial markets is driven by the release of new information. Basically, one can distinguish two kinds of information: those which appear at random dates and times, and those which, on the contrary, appear according to a pre-determined calendar. In this article, we study the impact on European rates of the publication of regular economic statistics. The study is based on very high frequency observations on the Euro Notional contract, for a quite long period of time (from 1 July 1999 to 31 May 2001), and covering different orientations of monetary policy and different phases of the cycle. We show that the release of macroeconomic statistics or monetary policy decisions affects market activity, the latter being measured alternatively by returns volatility or exchange volumes. We find, in particular, that these effects feed essentially through ECB announcements and US statistics, while Eurozone macroeconomic announcements do not have a significant effect. We further show that results are broadly the same when we alternatively use the EUREX Euro- Bund contract. [fre] Charlotte Lespagnol Jérôme Tedetche La réaction des taux européens aux nouvelles économiques L'activité sur les marchés financiers est dictée par l'arrivée de nouvelles informations. En pratique, on peut distinguer deux types d'informations : celles qui apparaissent à des dates et heures aléatoires et celles qui, au contraire, apparaissent selon un calendrier prédéfini. Dans cet article, nous étudions l'impact sur les taux européens de la publication de statistiques économiques régulières. L'étude est menée à partir d'observations à très haute fréquence sur le contrat Euro notionnel pour une période de temps relativement longue (du 1er juillet 1999 au 31 mai 2001) et couvrant différentes orientations de la politique monétaire et différentes phases du cycle. Nous montrons que la publication des statistiques macro-économiques ou des décisions de politique monétaire affecte l'activité du marché, activité mesurée alternativement par la volatilité des rendements ou les volumes d'échange. Nous trouvons entre autres que ces effets transitent essentiellement par les annonces de la ВСЕ et les statistiques américaines, très peu par les annonces macro-économiques portant sur la zone euro. Nous montrons en outre que les résultats sont équivalents lorsqu'on retient alternativement le contrat Euro Bund traité sur l'EUREX.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 19 (2004)
    Issue (Month): 2 ()
    Pages: 121-161

    in new window

    Handle: RePEc:prs:rfreco:rfeco_0769-0479_2004_num_19_2_1549
    Note: DOI:10.3406/rfeco.2004.1549
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:prs:rfreco:rfeco_0769-0479_2004_num_19_2_1549. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.