Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures
This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial markets, considerably less effort has been devoted to the question what makes some releases important in contrast to others that seem to attract no attention at all. In order to identify the factors determining the relative importance of releases, the time series properties and the information content of the macroeconomic news flow are investigated. In particular, several types of information regarding inflation and economic strength are distinguished. The explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. The results indicate that the value of the information contained in a release decreases with the number of previously released figures highlighting similar aspects. Thus, the price impact of a release decreases as the additional information contained in a release becomes smaller.
|Date of creation:||Mar 2001|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Douglas K. Pearce & V. Vance Roley, 1984.
"Stock Prices and Economic News,"
NBER Working Papers
1296, National Bureau of Economic Research, Inc.
- Rohan Christie-David & Mukesh Chaudhry, 1999. "Liquidity And Maturity Effects Around News Releases," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 47-67, 03.
- Hali J. Edison, 1996.
"The reaction of exchange rates and interest rates to news releases,"
International Finance Discussion Papers
570, Board of Governors of the Federal Reserve System (U.S.).
- Edison, Hali J, 1997. "The Reaction of Exchange Rates and Interest Rates to News Releases," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(2), pages 87-100, April.
- Hess, Dieter E., 2000. "Surprises in scheduled releases: why do they move the bond market?," ZEW Discussion Papers 00-61, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 23-35, March.
- Michael J. Fleming & Eli M. Remolona, 1997.
"What moves the bond market?,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Dec, pages 31-50.
- Dwivedi, T. D. & Srivastava, V. K., 1978. "Optimality of least squares in the seemingly unrelated regression equation model," Journal of Econometrics, Elsevier, vol. 7(3), pages 391-395, April.
- repec:cup:cbooks:9780521477451 is not listed on IDEAS
- Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
- Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
- Gerald P. Dwyer, Jr. & R.W. Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
- Timothy Cook & Steven Korn, 1991. "The reaction of interest rates to the employment report: the role of policy anticipations," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-12.
- repec:cup:cbooks:9780521477444 is not listed on IDEAS
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
- Urich, Thomas & Wachtel, Paul, 1981. "Market Response to the Weekly Money Supply Announcements in the 1970s," Journal of Finance, American Finance Association, vol. 36(5), pages 1063-72, December.
- Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1996.
"Economic News and the Yield Curve: Evidence From the U.S. Treasury Market,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-13, New York University, Leonard N. Stern School of Business-.
- Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1997. "Economic News and the Yield Curve: Evidence from the U.S. Treasury Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-005, New York University, Leonard N. Stern School of Business-.
- repec:cup:cbooks:9780521405515 is not listed on IDEAS
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
- repec:cup:cbooks:9780521471626 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:0101. 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: (Ingmar Nolte)The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.