Which News Moves the Euro Area Bond Market?

Magnus Andersson, Lars Jul Overby and Szabolcs Sebestyén

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

Abstract: 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.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
https://doi.org/10.1111/j.1468-0475.2008.00439.x

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:bla:germec:v:10:y:2009:i:1:p:1-31

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1465-6485

Access Statistics for this article

German Economic Review is currently edited by Bernhard Felderer, Joseph F. Francois, Ivo Welch, Urs Schweizer and David E. Wildasin

More articles in German Economic Review from Verein für Socialpolitik Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().