Which News Moves the Euro Area Bond Market?

Andersson Magnus, Sebestyén Szabolcs and Overby Lars Jul
Additional contact information
Andersson Magnus: European Central Bank,Frankfurt, Germany
Sebestyén Szabolcs: Catholic University of Portugal,Porto, Portugal
Overby Lars Jul: University of Copenhagen, Nørregade 10,København, Denmark

German Economic Review, 2009, vol. 10, issue 1, 1-31

Abstract: This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

Keywords: Monetary policy; high-frequency data; macroeconomic announcements (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1111/j.1468-0475.2008.00439.x

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