What Moves the Bond Market?

20 Pages Posted: 24 Sep 2007

See all articles by Michael J. Fleming

Michael J. Fleming

Federal Reserve Bank of New York

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract

In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of informational content in and among the varying announcements under changing market conditions.

Keywords: bonds, U.S. Treasury Market

JEL Classification: G14, E43, E52

Suggested Citation

Fleming, Michael J. and Remolona, Eli M., What Moves the Bond Market?. Economic Policy Review, Vol. 3, No. 4, December 1997. Available at SSRN: https://ssrn.com/abstract=1016154

Michael J. Fleming (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6372 (Phone)
212-720-1582 (Fax)

HOME PAGE: http://www.newyorkfed.org/research/economists/fleming/

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

IFC 2 Bldg, 78/F
Central
Hong Kong
Hong Kong
+852 2982 7150 (Phone)
+852 2982 7123 (Fax)

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