36 Pages Posted: 1 Mar 2002
Date Written: February 2002
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: 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