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Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

Pierluigi Balduzzi, Edwin J. Elton and T. Clifton Green

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find a total of seventeen economic announcements to have a significant impact on the price of at least on

Date: 1997-10
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Working Paper: Economic News and the Yield Curve: Evidence From the U.S. Treasury Market (1996)
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