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La réaction des taux européens aux nouvelles économiques


  • Charlotte Lespagnol
  • Jérôme Teïletche


[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.

Suggested Citation

  • Charlotte Lespagnol & Jérôme Teïletche, 2004. "La réaction des taux européens aux nouvelles économiques," Revue Française d'Économie, Programme National Persée, vol. 19(2), pages 121-161.
  • Handle: RePEc:prs:rfreco:rfeco_0769-0479_2004_num_19_2_1549
    Note: DOI:10.3406/rfeco.2004.1549

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    References listed on IDEAS

    1. Arora Seema & Cason Timothy N., 1995. "An Experiment in Voluntary Environmental Regulation: Participation in EPA's 33/50 Program," Journal of Environmental Economics and Management, Elsevier, vol. 28(3), pages 271-286, May.
    2. Anna Alberini & Kathleen Segerson, 2002. "Assessing Voluntary Programs to Improve Environmental Quality," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 22(1), pages 157-184, June.
    3. Seema Arora & Timothy N. Cason, 1996. "Why Do Firms Volunteer to Exceed Environmental Regulations? Understanding Participation in EPA's 33/50 Program," Land Economics, University of Wisconsin Press, vol. 72(4), pages 413-432.
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