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Determinants of the Relative Price Impact of Non-anticipated Information in U.S. Macroeconomic Releases

36 Pages Posted: 1 Mar 2002  

Dieter Hess

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

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Date Written: February 2002

Abstract

This paper investigates the intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports. Analyzing the time series properties and the information content of the macroeconomic news flow, the paper seeks an answer to the question what determines the relative price impact of releases. 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 (February 2002). Available at SSRN: https://ssrn.com/abstract=302148 or http://dx.doi.org/10.2139/ssrn.302148

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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