Which News Moves the Euro Area Bond Market?-Reference-Cited by-同舟云学术

Which News Moves the Euro Area Bond Market?

Published:2009-02-01 Issue:1 Volume:10 Page:1-31
ISSN:1468-0475
Container-title:German Economic Review
language:en
Short-container-title:

Author:

Andersson Magnus¹,Sebestyén Szabolcs²,Overby Lars Jul³⁴

Affiliation:

1. European Central Bank, Frankfurt , Germany

2. Catholic University of Portugal, Porto , Portugal

3. University of Copenhagen, Nørregade 10, København , Denmark

4. Danmarks Nationalbank,Havnegade 5, København K , Denmark

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics

Link

https://www.degruyter.com/document/doi/10.1111/j.1468-0475.2008.00439.x/pdf

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5. Andersson, M. , L. J. Overby and S. Sebestyén (2006), ‘Which News Moves the Euro Area Bond Market?’, ECB Working Paper No. 631.

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