Macroeconomic surprises and short-term behaviour in bond futures

David Veredas ()
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David Veredas: Université Libre de Bruxelles and CORE

A chapter in High Frequency Financial Econometrics, 2008, pp 269-292 from Springer

Abstract: This paper analyses the effect of macroeconomic news on the price of the ten year USA Treasure bond future.We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data during 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant.

Keywords: US bonds; PDL model; Business cycle; Macroeconomic announcements (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:stecpp:978-3-7908-1992-2_12

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DOI: 10.1007/978-3-7908-1992-2_12

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