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

Imane El Ouadghiri (), Valérie Mignon () and Nicolas Boitout
Additional contact information
Imane El Ouadghiri: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond yields, 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 (i) the main bond market movers are based on economic activity and in ation indicators, (ii) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (iii) the bond market is more sensitive to bad news than to good announcements. Finally, we evidence an empirical monotonic relationship between the surprises' impact and their corresponding news' publication date and/or their sign.

Keywords: bond market; event study; macroeconomic news. (search for similar items in EconPapers)
Date: 2014
Note: View the original document on HAL open archive server: https://hal.science/hal-04141345
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04141345/document (application/pdf)

Related works:
Working Paper: On the impact of macroeconomic news surprises on Treasury-bond yields (2014)
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:hal:wpaper:hal-04141345

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().