On the impact of macroeconomic news surprises on Treasury-bond yields

Imane El Ouadghiri (), Valérie Mignon () and Nicolas Boitout

No 2014-20, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond yields, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (i) the main bond market movers are based on economic activity and in ation indicators, (ii) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (iii) the bond market is more sensitive to bad news than to good announcements. Finally, we evidence an empirical monotonic relationship between the surprises' impact and their corresponding news' publication date and/or their sign.

Keywords: bond market; event study; macroeconomic news. (search for similar items in EconPapers)
JEL-codes: C22 E44 G12 G14 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2014
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: On the impact of macroeconomic news surprises on Treasury-bond yields (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2014-20

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