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The Impact of Macroeconomic News on Polish and Czech Government Bond Markets

Author

Listed:
  • Vojtech Pistora

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nábreží 6, 111 01 Prague 1, Czech Republic)

  • Vaclav Hausenblas

    (Czech National Bank, Na Prikope 28, 115 03 Prague 1, Czech Republic
    Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nábreží 6, 111 01 Prague 1, Czech Republic)

Abstract

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under different stages of the business cycle. We find that the Polish government bonds prices respond to several domestic indicators in a manner consistent with research from mature markets: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in prices during the first hour since the release time. We could find much fewer systematic patterns for the Czech government bond market where any response was delayed. In both countries, the impact of GDP was found to vary between different stages of the business cycle.

Suggested Citation

  • Vojtech Pistora & Vaclav Hausenblas, 2015. "The Impact of Macroeconomic News on Polish and Czech Government Bond Markets," Working Papers IES 2015/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
    • Handle: RePEc:fau:wpaper:wp2015_12
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    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/5287/lang/cs
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    More about this item

    Keywords

    macroeconomic news; government bond market; intraday data; event study; GARCH; CEE;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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