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Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

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Author Info
Pierluigi Balduzzi
Edwin J. Elton
T. Clifton Green

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Abstract

This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find a total of seventeen economic announcements to have a significant impact on the price of at least on

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Publisher Info
Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 98-005.

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Date of creation: Oct 1997
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Handle: RePEc:fth:nystfi:98-005

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Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Web page: http://w4.stern.nyu.edu/finance/
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This page was last updated on 2009-10-24.

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