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

See all articles by Hedi Benamar

Hedi Benamar

Board of Governors of the Federal Reserve System

Thierry Foucault

HEC Paris - Finance Department

Clara Vega

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: April 13, 2018

Abstract

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

Benamar, Hedi and Foucault, Thierry and Vega, Clara, Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News (April 13, 2018). HEC Paris Research Paper No. FIN-2018-1263. Available at SSRN: https://ssrn.com/abstract=3162292 or http://dx.doi.org/10.2139/ssrn.3162292

Hedi Benamar

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://www.hedibenamar.net

Thierry Foucault

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France
(33)139679569 (Phone)
(33)139677085 (Fax)

HOME PAGE: http://thierryfoucault.com/

Clara Vega (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://www.federalreserve.gov/research/staff/vegaclarax.htm

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