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Macro surprises and short-term behaviour in bond futures

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  • DURENARD, Eugene
  • VEREDAS, David

Abstract

This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the mostimportant US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we consider a Polynomial Distributed Lag (PDL) model. We conclude that i)fundamentals affect TY for some hours, ii)their effect depends on the sign of the forecast error and iii) it depends on the business cycle. Finally the timeliness of the releases matters.

Suggested Citation

  • DURENARD, Eugene & VEREDAS, David, 2002. "Macro surprises and short-term behaviour in bond futures," CORE Discussion Papers 2002037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2002037
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    File URL: https://uclouvain.be/en/research-institutes/immaq/core/dp-2002.html
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    References listed on IDEAS

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    Cited by:

    1. Liebermann, Joelle, 2011. "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers 7/RT/11, Central Bank of Ireland.

    More about this item

    Keywords

    US bonds; PDL model; business cycle; macro announcements;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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