Determinants of the Relative Price Impact of Non-Anticipated Information in U.S. Macroeconomic Releases
Journal of Futures Markets, Vol. 24, No. 7, 2004
Posted: 20 Nov 2011
Date Written: March 1, 2002
The intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Analyzing the time series properties and the information content of the macroeconomic news flow, the answer to the question, “What determines the relative price impact of releases?” is sought. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact.
Keywords: Information Processing, Scheduled Macroeconomic Releases, T-bond Futures
JEL Classification: E44, G14
Suggested Citation: Suggested Citation