Low Frequency Effects of Macroeconomic News on Government Bond Yields

Carlo Altavilla, Domenico Giannone and Michele Modugno

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: We analyze the reaction of the U.S. Treasury bond market to innovations in macroe-economic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic news explain about one-third of the low frequency (quarterly) fluctuations in long-term bond yields. When we focus on the high frequency (daily) movements, this decrease to one-tenth. This is because macroeconomic news have a persistent effect on bond yields, whereas non-fundamental factors have substantial effects on the day-to-day movements of bond yields, although their effects are shorter lived.

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: 2014-08-22
New Economics Papers: this item is included in nep-fmk and nep-mac
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Citations: View citations in EconPapers (15)

Published in Journal of Monetary Economics, vol. 92, December 2017, pp. 31-46

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Related works:
Journal Article: Low frequency effects of macroeconomic news on government bond yields (2017)
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:sef:csefwp:372

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