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Macroeconomic surprises and short-term behaviour in bond futures

David Veredas (UGent)
(2006) EMPIRICAL ECONOMICS. 30(4). p.843-866
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Abstract
This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data for 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant.
Keywords
Economics and Econometrics, Statistics and Probability, Social Sciences (miscellaneous), Mathematics (miscellaneous), US bonds, PDL model, business cycle, macroeconomic announcements, INTEREST-RATES, BAD-NEWS, ANNOUNCEMENTS, EXPECTATIONS, INFORMATION, EXCHANGE, PRICES, MODEL

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MLA
Veredas, David. “Macroeconomic Surprises and Short-Term Behaviour in Bond Futures.” EMPIRICAL ECONOMICS, vol. 30, no. 4, 2006, pp. 843–66, doi:10.1007/s00181-005-0002-y.
APA
Veredas, D. (2006). Macroeconomic surprises and short-term behaviour in bond futures. EMPIRICAL ECONOMICS, 30(4), 843–866. https://doi.org/10.1007/s00181-005-0002-y
Chicago author-date
Veredas, David. 2006. “Macroeconomic Surprises and Short-Term Behaviour in Bond Futures.” EMPIRICAL ECONOMICS 30 (4): 843–66. https://doi.org/10.1007/s00181-005-0002-y.
Chicago author-date (all authors)
Veredas, David. 2006. “Macroeconomic Surprises and Short-Term Behaviour in Bond Futures.” EMPIRICAL ECONOMICS 30 (4): 843–866. doi:10.1007/s00181-005-0002-y.
Vancouver
1.
Veredas D. Macroeconomic surprises and short-term behaviour in bond futures. EMPIRICAL ECONOMICS. 2006;30(4):843–66.
IEEE
[1]
D. Veredas, “Macroeconomic surprises and short-term behaviour in bond futures,” EMPIRICAL ECONOMICS, vol. 30, no. 4, pp. 843–866, 2006.
@article{8649404,
  abstract     = {{This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data for 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant.}},
  author       = {{Veredas, David}},
  issn         = {{0377-7332}},
  journal      = {{EMPIRICAL ECONOMICS}},
  keywords     = {{Economics and Econometrics,Statistics and Probability,Social Sciences (miscellaneous),Mathematics (miscellaneous),US bonds,PDL model,business cycle,macroeconomic announcements,INTEREST-RATES,BAD-NEWS,ANNOUNCEMENTS,EXPECTATIONS,INFORMATION,EXCHANGE,PRICES,MODEL}},
  language     = {{eng}},
  number       = {{4}},
  pages        = {{843--866}},
  title        = {{Macroeconomic surprises and short-term behaviour in bond futures}},
  url          = {{http://doi.org/10.1007/s00181-005-0002-y}},
  volume       = {{30}},
  year         = {{2006}},
}

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