What moves bond prices?: Largely public information about the economy.

This article takes a close look at a year in the U.S. Treasury securities market and tries to explain the sharpest price changes. The authors attribute each of the twenty-five largest price shocks during the August 1993 to August 1994 period to a just-released macroeconomic announcement. They also measure the bond market's average reaction to various announcements and the reaction to surprises in the announcements' headline numbers. The strongest responses are found to come from the employment, producer price index, and fed funds target rate announcements. Significant responses to U.S. Treasury security auctions results are documented for the first time.