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Publication Detailed Description
Which news moves the euro area bond market?
Journal Title
German Economic Review
Year (definitive publication)
2010
Language
English
Country
United States of America
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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. 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.
Acknowledgements
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Keywords
E43,E44,E58,Monetary policy,high-frequency data,macroeconomic announcements
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
