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Which News Moves the Euro Area Bond Market?Magnus AnderssonEuropean Central Bank (ECB) Lars Jul OverbyNykredit Bank; University of Copenhagen - Department of Economics Szabolcs SebestyenEuropean Central Bank (ECB) May 2006 ECB Working Paper No. 631 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. In general, adjustments in prices are quick and new information is usually incorporated into prices within five minutes of announcements. The volatility adjustment is more long-lasting than that in the conditional mean, and excess volatility can be observed up to 30 minutes after the releases. Overall, German bond markets tend to react more strongly to the surprise component in US macro releases compared to euro area and domestic releases, and the strength of those reactions to US releases has increased over the period considered. The paper also provides evidence that the outcome of German unemployment figures has been known to investors ahead of the prescheduled release.
Number of Pages in PDF File: 50 Keywords: Monetary policy, intraday data, macroeconomic announcements JEL Classification: E43, E44, E58 working papers seriesDate posted: June 1, 2006Suggested CitationContact Information
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