The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility
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More about this item
Keywords
News announcements; Government bond rate; EGARCH; ARCH Markov Switching; Economic instability; Monetary policy instability; Financial crisis;All these keywords.
JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2007-10-27 (Macroeconomics)
- NEP-MON-2007-10-27 (Monetary Economics)
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