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Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases


  • Dieter Hess


The intraday response of T‐bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Analyzing the time series properties and the information content of the macroeconomic news flow, the answer to the question, “What determines the relative price impact of releases?” is sought. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:609–629, 2004

Suggested Citation

  • Dieter Hess, 2004. "Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(7), pages 609-629, July.
  • Handle: RePEc:wly:jfutmk:v:24:y:2004:i:7:p:609-629

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    Cited by:

    1. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
    2. repec:eee:moneco:v:92:y:2017:i:c:p:78-95 is not listed on IDEAS
    3. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.

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