What Moves the Bond Market

Abstract

In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of informational content in and among the varying announcements under changing market conditions.

Cite this work

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

Stored only when both papers are in the corpus — 149 citations exist upstream.