Macro surprises and short-term behaviour in bond futures

Eugene Durenard and David Veredas

No 2002037, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the mostimportant US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we consider a Polynomial Distributed Lag (PDL) model. We conclude that i)fundamentals affect TY for some hours, ii)their effect depends on the sign of the forecast error and iii) it depends on the business cycle. Finally the timeliness of the releases matters.

Keywords: US bonds; PDL model; business cycle; macro announcements (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2002-06
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Macro Surprises and short-term behavior in bond futures (2007)
Working Paper: Macro surprises and short-term behavior in bond futures (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2002037

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