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Macroeconomic surprises and short-term behaviour in bond futures

In: High Frequency Financial Econometrics

Author

Listed:
  • David Veredas

    (Université Libre de Bruxelles and CORE)

Abstract

This paper analyses the effect of macroeconomic news on the price of the ten year USA Treasure bond future.We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data during 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant.

Suggested Citation

  • David Veredas, 2008. "Macroeconomic surprises and short-term behaviour in bond futures," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 269-292, Springer.
    • Handle: RePEc:spr:stecpp:978-3-7908-1992-2_12
    DOI: 10.1007/978-3-7908-1992-2_12
    as

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