Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the relativeprice impact of releases. Several types of information regarding inflation andeconomic strength are distinguished and the explanatory power of the type ofinformation is tested against the alternative hypothesis that the timeliness ofa release determines its impact.

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Year of publication:	2003-07-01
Authors:	Hess, Dieter
Institutions:	Frankfurt School of Finance & Management
Subject:	Preisbildung \| pricing \| Schuldverschreibung \| defaulted bonds \| Informationsverarbeitung \| Zeitreihenanalyse \| time series analysis

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1 Introduction
2 The impact of information arrival on prices
2.1 T-Bond futures price changes and surprises
2.2 The content of macroeconomic reports
2.3 Determinants of the relative impact of releases
3 Empirical results
3.1 Data
3.2 Estimation of the impact of surprises on price changes
3.3 Tests of hypotheses
4 Summary and conclusions

Persistent link: https://www.econbiz.de/10005865824