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Low frequency effects of macroeconomic news on government bond yields · Study

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ArticleLow frequency effects of macroeconomic news on government bond yields

Carlo Altavilla2017

Article2017

Low frequency effects of macroeconomic news on government bond yields

Carlo Altavilla · Domenico Giannone · Michèle Modugno

81 citations·0/0 files stored·Journal of Monetary Economics

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

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References

2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2007The U.S. Treasury yield curve: 1961 to the present 1988How Big Is the Random Walk in GNP?2008Nowcasting: The real-time informational content of macroeconomic data 2007Real-time price discovery in global stock, bond and foreign exchange markets 2009Macro Factors in Bond Risk Premia

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2020Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises 2020Monetary policy uncertainty and monetary policy surprises 2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility 2017Macro news and bond yield spreads in the euro area 2022What moves treasury yields?2021

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Year2017

Typearticle

Published2017-09-02

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations81

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jmoneco.2017.08.004

openalex_workW3124139482

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Reprint: Monetary policy uncertainty and monetary policy surprises

2020A Fundamental Connection: Exchange Rates and Macroeconomic Expectations

2024Risk Premia at the ZLB: A Macroeconomic Interpretation