Surprises in scheduled releases: why do they move the bond market?
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References listed on IDEAS
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- 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.
More about this item
KeywordsMacroeconomic news; scheduled announcements; public information; price formation; Treasury bonds; futures market;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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