Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News
57 Pages Posted: 27 Apr 2018 Last revised: 16 May 2019
Date Written: April 13, 2018
We propose to use information demand about a source of risk as a measure of investors' uncertainty. Consistent with this idea, we show, using novel data on financial news consumption, that there is a positive correlation between information demand about macroeconomic factors perceived as affecting the path of future interest rates and other measures of uncertainty about future interest rates. Moreover, an increase in information demand about these factors ahead of influential macroeconomic announcements predicts an increase in the reaction of U.S Treasury note yields to these announcements, consistent with our hypothesis that information demand is high when uncertainty is high.
Keywords: Uncertainty, Information Demand, Click Data, Big Data, Macroeconomic Announcements, U.S. Treasury Yields
JEL Classification: G12, G14, D83
Suggested Citation: Suggested Citation