Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212312 
Year of Publication: 
2015
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 4/2015
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in times of low macroeconomic, financial and political uncertainty. We also find that investors are more sensitive to the uncertainty in the financial market compared to the macroeconomic and political uncertainties. Our results might partly explain the sudden freeze and low liquidity in some financial markets during the latest financial crisis.
JEL: 
G12
G14
C22
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-017-0
Document Type: 
Working Paper

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