The Effect of Macroeconomic Announcements on U.S. Treasury Markets: An Autometric General-to-Specific Analysis of the Greenspan Era

James J. Forest ()
Additional contact information
James J. Forest: School of Business Administration, SUNY New Paltz, New Paltz, NY 12561, USA

Econometrics, 2025, vol. 13, issue 3, 1-31

Abstract: This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan’s tenure as Federal Reserve Chair, addressing the possible limitations of standard static regression (SSR) models, which may suffer from omitted variable bias, parameter instability, and poor mis-specification diagnostics. To complement the SSR framework, an automated general-to-specific (Gets) modeling approach, enhanced with modern indicator saturation methods for robustness, is applied to improve empirical model discovery and mitigate potential biases. By progressively reducing an initially broad set of candidate variables, the Gets methodology steers the model toward congruence, dispenses unstable parameters, and seeks to limit information loss while seeking model congruence and precision. The findings, herein, suggest that U.S. Treasury market responses to macroeconomic news shocks exhibited stability for a core set of announcements that reliably influenced excess returns. In contrast to computationally costless standard static models, the automated Gets-based approach enhances parameter precision and provides a more adaptive structure for identifying relevant predictors. These results demonstrate the potential value of incorporating interpretable automated model selection techniques alongside traditional SSR and Markov switching approaches to improve empirical insights into macroeconomic announcement effects on financial markets.

Keywords: U.S. Treasury Market; general-to-specific modeling; macroeconomic announcements; encompassing; bias correction; model selection; autometrics; market efficiency (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2225-1146/13/3/24/pdf (application/pdf)
https://www.mdpi.com/2225-1146/13/3/24/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:13:y:2025:i:3:p:24-:d:1684581

Access Statistics for this article

Econometrics is currently edited by Ms. Jasmine Liu

More articles in Econometrics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().