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Which News Moves the Euro Area Bond Market?Szabolcs SebestyénISCTE-IUL Magnus AnderssonEuropean Central Bank (ECB) Lars Jul OverbyNykredit Bank; University of Copenhagen - Department of Economics May 27, 2008 German Economic Review, Vol. 10, No. 1, pp. 1-31, 2009 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.
Number of Pages in PDF File: 31 Keywords: Monetary policy, high-frequency data, macroeconomic announcements JEL Classification: E43, E44, E58 Accepted Paper SeriesDate posted: June 17, 2011Suggested CitationContact Information
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