Which News Moves the Euro Area Bond Market?

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Standard

Which News Moves the Euro Area Bond Market? / Andersson, Magnus; Overby, Lars Jul; Sebestyén, Szabolcs.

I: German Economic Review, Bind 10, Nr. 1, 2009, s. 1-31.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Andersson, M, Overby, LJ & Sebestyén, S 2009, 'Which News Moves the Euro Area Bond Market?', German Economic Review, bind 10, nr. 1, s. 1-31. https://doi.org/10.1111/j.1468-0475.2008.00439.x

APA

Andersson, M., Overby, L. J., & Sebestyén, S. (2009). Which News Moves the Euro Area Bond Market? German Economic Review, 10(1), 1-31. https://doi.org/10.1111/j.1468-0475.2008.00439.x

Vancouver

Andersson M, Overby LJ, Sebestyén S. Which News Moves the Euro Area Bond Market? German Economic Review. 2009;10(1):1-31. https://doi.org/10.1111/j.1468-0475.2008.00439.x

Author

Andersson, Magnus ; Overby, Lars Jul ; Sebestyén, Szabolcs. / Which News Moves the Euro Area Bond Market?. I: German Economic Review. 2009 ; Bind 10, Nr. 1. s. 1-31.

Bibtex

@article{9dda43e0f1d811ddbf70000ea68e967b,
title = "Which News Moves the Euro Area Bond Market?",
abstract = "This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.",
keywords = "Faculty of Social Sciences, monetary policy, high-frequency data, macroeconomic announcements",
author = "Magnus Andersson and Overby, {Lars Jul} and Szabolcs Sebesty{\'e}n",
note = "JEL classification: E43, E44, E58",
year = "2009",
doi = "10.1111/j.1468-0475.2008.00439.x",
language = "English",
volume = "10",
pages = "1--31",
journal = "German Economic Review",
issn = "1465-6485",
publisher = "Wiley-Blackwell",
number = "1",

}

RIS

TY - JOUR

T1 - Which News Moves the Euro Area Bond Market?

AU - Andersson, Magnus

AU - Overby, Lars Jul

AU - Sebestyén, Szabolcs

N1 - JEL classification: E43, E44, E58

PY - 2009

Y1 - 2009

N2 - This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

AB - This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

KW - Faculty of Social Sciences

KW - monetary policy

KW - high-frequency data

KW - macroeconomic announcements

U2 - 10.1111/j.1468-0475.2008.00439.x

DO - 10.1111/j.1468-0475.2008.00439.x

M3 - Journal article

VL - 10

SP - 1

EP - 31

JO - German Economic Review

JF - German Economic Review

SN - 1465-6485

IS - 1

ER -

ID: 10113933