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Title:Surprises in scheduled releases: why do they move the bond market? PDF Logo
Authors:Hess, Dieter E.
Issue Date:2000
Series/Report no.:ZEW Discussion Papers 00-61
Abstract:It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady flow of information.1 Several studies (e.g. Fleming and Remolona 1997) show that these releases have a very distinct impact on prices. While most of these studies try to find out which releases are significant, considerably less effort has been devoted to the question what makes some releases so important in contrast to others that seem to attract no attention. Papers addressing this question emphasize the content of releases. For example, Edison (1996) discriminates between news related to unexpected inflation and those related to unexpected changes in economic activity. Investigating intraday T-bond futures price responses to surprises in scheduled macroeconomic releases, this paper presents evidence that the type of information is relevant. More specifically, the results suggest that the sequence of releases within a given content category helps to explain their relative importance. In other words, if market participants have already observed some figures on which they can base their assessment of a particular aspect of the economy, then the additional information of another related report should be small, and thus, its impact on prices.
Subjects:Macroeconomic news
scheduled announcements
public information
price formation
Treasury bonds
futures market
JEL:G14
E44
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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