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Which News Moves the Euro Area Bond Market?

Author

Listed:
  • Andersson Magnus

    (European Central Bank,Frankfurt, Germany)

  • Sebestyén Szabolcs

    (Catholic University of Portugal,Porto, Portugal)

  • Overby Lars Jul

    (University of Copenhagen, Nørregade 10,København, Denmark)

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.

Suggested Citation

  • Andersson Magnus & Sebestyén Szabolcs & Overby Lars Jul, 2009. "Which News Moves the Euro Area Bond Market?," German Economic Review, De Gruyter, vol. 10(1), pages 1-31, February.
    • Handle: RePEc:bpj:germec:v:10:y:2009:i:1:p:1-31
    DOI: 10.1111/j.1468-0475.2008.00439.x
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    Citations

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    Cited by:

    1. Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
    2. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.

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