Work

What Moves the Bond Market

Year: 1997

Type: article

Abstract: In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of informational content in and among the varying announcements under changing market conditions.

Authors: Michael J. Fleming, Eli M. Remolona

Institutions: Federal Reserve Bank of New York, Bank for International Settlements

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2154279150

FWCI: 4.054

Cites:

Cited by: 149

Related to: 10