The Effects of Unanticipated Macroeconomic News on Debt Markets

Rohan Christie‐David · Mukesh K. Chaudhry · James T. Lindley

26 citations0/0 files storedThe Journal of Financial Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

Abstract We examine the effects of unanticipated macroeconomic news on two interest rate futures using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive or negative) and by their size (large, medium, or small). The results show distinct ex‐post return patterns associated with different categories of news surprises. For example, large surprises have the strongest immediate effects whereas negative surprises have the longest persisting effects. Tests that examine the separate effects of each announcement suggest that debt responses vary with the size and potential effect of the news surprise in each announcement.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 26 citations exist upstream.

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy 1993How Markets Process Information: News Releases and Volatility 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 1984Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements 1993Stock Prices, News, and Business Conditions 1985Stock Prices and Economic News 1984Stock Prices and Economic News

Cited by

2007The Microstructure of the U.S. Treasury Market 2019Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?2012U.S. Monetary Policy Surprises and Mortgage Rates 2008U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.