Low frequency effects of macroeconomic news on government bond yields

Carlo Altavilla, Domenico Giannone and Michele Modugno

Journal of Monetary Economics, 2017, vol. 92, issue C, 31-46

Abstract: Are macroeconomic releases important drivers of Treasury bond yields? We develop a two-step regression strategy that fully exploits the available high-frequency market reaction data to identify the impact of macroeconomic releases and to quantify the effects at lower frequencies. While macroeconomic surprises explain only one tenth of the daily variation in bond yields, their explanatory power improves substantially at lower frequencies, accounting for one third of quarterly variations. The finding is explained by the persistent effects that macroeconomic surprises exert on bond yields, and a less persistent impact of residual factors, which tend to average out when focusing on longer-horizon changes.

Keywords: Macroeconomic announcement; News; Treasury bond yield (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (44)

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Related works:
Working Paper: Low Frequency Effects of Macroeconomic News on Government Bond Yields (2014)
Working Paper: Low Frequency Effects of Macroeconomic News on Government Bond Yields (2014)
Working Paper: Low Frequency Effects of Macroeconomic News on Government Bond Yields (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:92:y:2017:i:c:p:31-46

DOI: 10.1016/j.jmoneco.2017.08.004

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