Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153065
Authors: 
Andersson, Magnus
Hansen, Lars Jul
Sebestyén, Szabolcs
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 631
Abstract: 
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. In general, adjustments in prices are quick and new information is usually incorporated into prices within five minutes of announcements. The volatility adjustment is more long-lasting than that in the conditional mean, and excess volatility can be observed up to 30 minutes after the releases. Overall, German bond markets tend to react more strongly to the surprise component in US macro releases compared to euro area and domestic releases, and the strength of those reactions to US releases has increased over the period considered. The paper also provides evidence that the outcome of German unemployment figures has been known to investors ahead of the prescheduled release.
Subjects: 
intraday data
macroeconomic announcements
monetary policy
JEL: 
E43
E44
E58
Document Type: 
Working Paper

Files in This Item:
File
Size
988.91 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.