What Moves Sovereign Bond Markets? The Effects of Economic News on U.S. And German Yields

7 Pages Posted: 14 Mar 2005

See all articles by Linda S. Goldberg

Linda S. Goldberg

Federal Reserve Bank of New York; National Bureau of Economic Research (NBER)

Deborah Leonard

Federal Reserve Banks - Federal Reserve Bank of New York

Abstract

Economic announcements are an important source of information, containing news that spills over internationally across markets, affecting yields. An analysis of the U.S. and German sovereign bond markets finds that the largest moves in yields are associated with U.S. announcements on labor market conditions, real GDP growth, and consumer sentiment.

Keywords: economic news, announcements, U.S. Treasuries, bonds. soverign bonds, microstructure, data releases

JEL Classification: G1, F3, E4

Suggested Citation

Goldberg, Linda S. and Leonard, Deborah, What Moves Sovereign Bond Markets? The Effects of Economic News on U.S. And German Yields. Available at SSRN: https://ssrn.com/abstract=683269

Linda S. Goldberg (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
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212-720-2836 (Phone)
212-720-6831 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Deborah Leonard

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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