Which News Moves the Euro Area Bond Market?

被引：40

作者：

Andersson, Magnus ^{[1
]}

Overby, Lars Jul ^{[2
]}

Sebestyen, Szabolcs

机构：

[1] European Cent Bank, D-60066 Frankfurt, Germany

[2] Univ Copenhagen, Danmarks Natl Bank, DK-1168 Copenhagen, Denmark

来源：

GERMAN ECONOMIC REVIEW | 2009年 / 10卷 / 01期

关键词：

E43; E44; E58; Monetary policy; high-frequency data; macroeconomic announcements; TIME PRICE DISCOVERY; ANNOUNCEMENTS;

D O I：

10.1111/j.1468-0475.2008.00439.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

引用

页码：1 / 31

页数：31

共 25 条

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Andersen T. G., 1997, J EMPIR FINANC, V4, P115, DOI DOI 10.1016/S0927-5398(97)00004-2

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