Work

Which News Moves the Euro Area Bond Market?

Year: 2009

Type: article

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.

Source: German Economic Review

DOI: 10.1111/j.1468-0475.2008.00439.x

Authors: Magnus Andersson, Szabolcs Sebestyén, Lars Jul Overby

Institutions: European Central Bank, University of Copenhagen, Universidade Católica Portuguesa, Danmarks Nationalbank

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Sveriges Riksbanken

OpenAlex ID: W2085227691

FWCI: 7.327

Cites: 46

Cited by: 37

Related to: 10