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

67 Pages Posted: 27 Apr 2018 Last revised: 6 Apr 2020

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

Date Written: April 13, 2018

Abstract

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand covaries positively with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty.

Keywords: Uncertainty, Information Demand, Clickstream 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, 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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