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Low frequency effects of macroeconomic news on government bond yields
16 references·11 citing·44 second hop
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this work references cited by second hop

References

  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2005The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models1,004 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2005An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates490 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 2002The Fed and Interest Rates—A High-Frequency Identification477 cited

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  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets414 cited
  • Cited by

    • 2020Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises80 cited
    • 2020Monetary policy uncertainty and monetary policy surprises40 cited
    • 2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility39 cited
    • 2017Macro news and bond yield spreads in the euro area34 cited
    • 2022What moves treasury yields?31 cited
    • 2021Reprint: Monetary policy uncertainty and monetary policy surprises27 cited
    • 2024What moves markets?22 cited
    • 2020A Fundamental Connection: Exchange Rates and Macroeconomic Expectations17 cited
    • 2024Risk Premia at the ZLB: A Macroeconomic Interpretation16 cited
    • 2024A Fundamental Connection: Exchange Rates and Macroeconomic Expectations14 cited
    • 2019Choice with Limited Capacity1 cited