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

See all articles by Dieter Hess

Dieter Hess

University of Cologne - Department of Corporate Finance; University of Cologne - Centre for Financial Research (CFR)

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2002

Abstract

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

Hess, Dieter, Determinants of the Relative Price Impact of Non-Anticipated Information in U.S. Macroeconomic Releases (March 1, 2002). Journal of Futures Markets, Vol. 24, No. 7, 2004. Available at SSRN: https://ssrn.com/abstract=1962088

Dieter Hess (Contact Author)

University of Cologne - Department of Corporate Finance ( email )

Corporate Finance Seminar
Albertus-Magnus-Platz
D-50923 Cologne
Germany
+49 221 470 7876 (Phone)
+49 221 470 7466 (Fax)

HOME PAGE: http://cf.uni-koeln.de/

University of Cologne - Centre for Financial Research (CFR)

Germany

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