What moves the bond market?

Michael Fleming and Eli Remolona

No 9706, Research Paper from Federal Reserve Bank of New York

Abstract: We take a close look at a year in the U.S. Treasury market and try to explain the sharpest price changes and most active trading episodes. The virtue of our analysis lies in its use of high-frequency data on market movements and accurate release times for a comprehensive set of economic announcements. For the period August 1993 to August 1994, we attribute the 25 largest price moves and 25 greatest trading surges to just-released announcements. The bond market's response to announcements in general is consistent with the way we would expect it to react to new information.

Keywords: Bonds; Government securities; Economic indicators; Information theory (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (205)

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