Public Information and the Persistence of Bond Market Volatility

Jones, Charles M.; Lamont, Owen A.; Lumsdaine, Robin L.

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Public Information and the Persistence of Bond Market Volatility

NBER Working Paper No. w5446

28 Pages Posted: 13 Jul 2000 Last revised: 20 Nov 2022

See all articles by Charles M. Jones

Owen A. Lamont

Harvard University - Department of Economics

Robin L. Lumsdaine

American University - Department of Finance and Real Estate; Erasmus University Rotterdam (EUR) - Department of Econometrics; National Bureau of Economic Research (NBER); Tinbergen Institute

Date Written: January 1996

Abstract

We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.

Suggested Citation: Suggested Citation

Jones, Charles M. and Lamont, Owen A. and Lumsdaine, Robin L., Public Information and the Persistence of Bond Market Volatility (January 1996). NBER Working Paper No. w5446, Available at SSRN: https://ssrn.com/abstract=225503