Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David
Veredas, David
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Publication Type
Journal article
Editor
Supervisor
Publication Year
2006-01
Journal
Empirical Economics
Book
Publication Volume
30
Publication Issue
4
Publication Begin page
843
Publication End page
866
Publication Number of pages
Collections
Abstract
This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data for 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant.
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Keywords
38 Economics, 3801 Applied Economics, 3802 Econometrics