How Much Do UK Market Interest Rates Respond to Macroeconomic Data News?

14 Pages Posted: 1 Oct 2015

Date Written: September 18, 2015

Abstract

Macroeconomic data releases receive considerable attention in financial market commentary, suggesting they are an important source of information that investors use to form their views about the economic outlook. This article quantifies the role played by these data releases in explaining observed changes in market interest rates in the United Kingdom. It looks at which data releases — both domestic and foreign — tend to have most effect on UK interest rates. It also examines how the importance of data releases can change over time and considers the factors that may explain changes in the sensitivity of interest rates to data news.

Suggested Citation

Eguren Martin, Fernando and McLaren, Nick, How Much Do UK Market Interest Rates Respond to Macroeconomic Data News? (September 18, 2015). Bank of England Quarterly Bulletin 2015 Q3. Available at SSRN: https://ssrn.com/abstract=2667480

Fernando Eguren Martin (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Nick McLaren

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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