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Public Information and the Persistence of Bond Market Volatility

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  • Charles M. Jones
  • Owen Lamont
  • Robin Lumsdaine

Abstract

We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.

Suggested Citation

  • Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:5446
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    Citations

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    Cited by:

    1. Ganapolsky, Eduardo J. J. & Schmukler, Sergio L., 1998. "The impact of policy announcements and news on capital markets : crisis management in Argentina during the Tequila Effect," Policy Research Working Paper Series 1951, The World Bank.
    2. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    3. Alan B. Krueger & Kenneth N. Fortson, 2003. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 931-957, June.
    4. Alan Krueger, 1996. "Do Markets Respond More To More Reliable Labor Market Data? A Test of Market Rationality," Working Papers 746, Princeton University, Department of Economics, Industrial Relations Section..
    5. Gigante, Gimede & Guarniero, Pieralberto & Pasini, Simona, 2024. "Markovian analysis of U.S. Treasury volatility: Asymmetric responses to macroeconomic announcements," Economics Letters, Elsevier, vol. 239(C).
    6. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
    7. repec:pri:cepsud:88krueger is not listed on IDEAS
    8. Alan B. Krueger & Kenneth N. Fortson, 2003. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 931-957, June.
    9. Alberto Carrasquilla, 1997. "An Exchange Rate Band in Times of Turbulence: Colombia 1991-96," Borradores de Economia 070, Banco de la Republica de Colombia.

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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