Download This PaperDemand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
67 Pages Posted: 1 Jun 2018 Last revised: 13 Nov 2020
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Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
Date Written: May 31, 2018
Abstract
We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand covaries positively with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty.
Keywords: Uncertainty, Information Demand, Clickstream Data, Macroeconomic Announcements, U.S. Treasury Yields
JEL Classification: G12, G14, D83
Suggested Citation: Suggested Citation
Thierry Foucault
HEC Paris - Finance Department ( email )
1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France
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HOME PAGE: http://thierryfoucault.com/
Clara Vega
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
HOME PAGE: http://www.federalreserve.gov/research/staff/vegaclarax.htm