Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/120417
Authors: 
Hausenblas, Václav
Pištora, Vojtěch
Year of Publication: 
2015
Series/Report no.: 
IES Working Paper 12/2015
Abstract: 
We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under different stages of the business cycle. We find that the Polish government bonds prices respond to several domestic indicators in a manner consistent with research from mature markets: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in prices during the first hour since the release time. We could find much fewer systematic patterns for the Czech government bond market where any response was delayed. In both countries, the impact of GDP was found to vary between different stages of the business cycle.
Subjects: 
macroeconomic news
government bond market
intraday data
event study
GARCH
CEE
JEL: 
C22
C82
G12
Document Type: 
Working Paper
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