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On the impact of macroeconomic news surprises on Treasury-bond returns

Imane El Ouadghiri (), Valérie Mignon () and Nicolas Boitout ()
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Nicolas Boitout: MarketScience

Annals of Finance, 2016, vol. 12, issue 1, No 3, 29-53

Abstract: Abstract This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.

Keywords: Bond market; High frequency data; Event study; Macroeconomic news (search for similar items in EconPapers)
JEL-codes: C22 E44 G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Working Paper: On the impact of macroeconomic news surprises on Treasury-bond returns (2016)
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DOI: 10.1007/s10436-015-0271-3

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