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Economic News and Bond Prices: Evidence from the U.S. Treasury Market
Abstract
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find that 17 public news releases, as measured by the surprise in the announcced quantity, have a significant impact on the price of the following instruments: a three-month bill, a two-year note, a 10-year, anda 30-year bond. These effects vary significantly according to maturity. Public news can explain a substantial fraction of price volantility in the after math of announcements, and the adjustment to news generally occurs within one minute after the announcement. We document significant and persistent increases in volatility and trading volume after the announcements. Bidask spreads, on the other hand, widen at the timeof the announcements, but then revert to normal values after five to 15 minutes. The implications for yield curve modeling and for the microstructure of bond markets.
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Cited by
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Anderson, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003) · American Economic Review · doi:10.1257/000282803321455151 · Cited by 1,375
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Savor, P., & Wilson, M. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s002210901300015x · Cited by 409
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Kilian, L., & Hicks, B. (2013) · Journal of Forecasting · doi:10.1002/for.2243 · Cited by 371
Policy uncertainty, investment, and the cost of capital
Drobetz, W., El Ghoul, S., Guedhami, O., & Janzen, M. (2018) · Journal of Financial Stability · doi:10.1016/j.jfs.2018.08.005 · Cited by 341
Threats to central bank independence: High-frequency identification with twitter
Bianchi, F., Gómez-Cram, R., Kind, T., & Kung, H. (2023) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2023.01.001 · Cited by 89
Metadata
- Authors
- Balduzzi, P., Elton, E. J., & Green, T. C.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 2001-12
- Volume
- 36
- Issue
- 4
- Pages
- 523
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2105332353
- Cited by
- 896
- References
- 0
- FWCI
- 29.44
- Type
- journal article
- Language
- en
- Open access
- closed
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- Balduzzi, P., Elton, E. J., & Green, T. C. (2001). Economic News and Bond Prices: Evidence from the U.S. Treasury Market. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2676223
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