Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

59 Pages Posted: 27 Apr 2018 Last revised: 3 May 2018

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

Date Written: April 13, 2018

Abstract

We measure demand for information prior to nonfarm payroll announcements using a novel dataset consisting of clicks on news articles. We find that when information demand is high shortly before the release of the nonfarm payroll announcement, the price response of U.S. Treasury note futures to nonfarm payroll news surprises doubles. We argue that this relationship stems from the fact that market participants have more incentive to collect information when uncertainty about asset payoffs is higher, as implied by Bayesian learning models. Thus, high information demand about macroeconomic news is a proxy for high macroeconomic uncertainty.

Keywords: Public information, Macroeconomic News, Uncertainty, U.S. Treasury futures, Investors' Attention, Information Demand, Bitly, Media Coverage

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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