IDEAS home Printed from https://ideas.repec.org/p/zbw/cofedp/0101.html
   My bibliography  Save this paper

Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures

Author

Listed:
  • Hess, Dieter

Abstract

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.

Suggested Citation

  • Hess, Dieter, 2001. "Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures," CoFE Discussion Papers 01/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0101
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/85199/1/dp01-01.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
    2. 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.
    3. Michael Schroder & Robert Dornau, 2002. "Do forecasters use monetary models? an empirical analysis of exchange rate expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 535-543.
    4. 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 923-950, July.
    5. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    6. 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-.
    7. Hess, Dieter E., 2000. "Surprises in scheduled releases: why do they move the bond market?," ZEW Discussion Papers 00-61, ZEW - Leibniz Centre for European Economic Research.
    8. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, October.
    9. 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, March.
    10. 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 1161-1191, September.
    11. Gerald P. Dwyer & Rik Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
    12. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models 2 volume set," Cambridge Books, Cambridge University Press, number 9780521478373, July.
    13. McElroy, Marjorie B., 1977. "Goodness of fit for seemingly unrelated regressions : Glahn's R2y.x and Hooper's r2," Journal of Econometrics, Elsevier, vol. 6(3), pages 381-387, November.
    14. Susan J. Craln & Jae Ha Lee, 1995. "Intraday volatility in interest rate and foreign exchange spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(4), pages 395-421, June.
    15. 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 1063-1072, December.
    16. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nikolaus Hautsch & Dieter Hess, 2002. "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, vol. 6(2), pages 133-161.
    2. Tuysuz, Sukriye, 2007. "The effects of a greater central bank credibility on interest rates level and volatility response to news in the U.K," MPRA Paper 5263, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hess, Dieter E., 2003. "Determinants of the relative price impact of unanticipated information in US macroeconomic releases," Frankfurt School - Working Paper Series 46, Frankfurt School of Finance and Management.
    2. Nikolaus Hautsch & Dieter Hess, 2002. "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, vol. 6(2), pages 133-161.
    3. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
    4. Hess, Dieter E., 2000. "Surprises in scheduled releases: why do they move the bond market?," ZEW Discussion Papers 00-61, ZEW - Leibniz Centre for European Economic Research.
    5. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 85-101, March.
    6. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    7. Michael J. Fleming & Eli M. Remolona, 1999. "The term structure of announcement effects," Staff Reports 76, Federal Reserve Bank of New York.
    8. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
    9. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
    10. Hautsch, Nikolaus & Hess, Dieter, 2007. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 189-208, March.
    11. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
    12. Suk-Joong Kim & Michael D. McKenzie & Robert W. Faff, 2018. "Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 5, pages 151-174, World Scientific Publishing Co. Pte. Ltd..
    13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    14. Tanner, Glenn, 1997. "A note on economic news and intraday exchange rates," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 573-585, April.
    15. Fair, Ray C., 2003. "Shock effects on stocks, bonds, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 307-341, June.
    16. Ramchander, Sanjay & Simpson, Marc W. & Thiewes, Harold, 2008. "The effect of macroeconomic news on German closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 708-724, November.
    17. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    18. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    19. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
    20. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cofedp:0101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zfkonde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.