Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information.

This paper investigates the response efficiency of the 10-year Australian Commonwealth bond futures market to the new contents of the Australian scheduled information release from January 1993 to July 1997. Using Money Market Services market expectations data to generate the news component of announcements, we find that the futures price falls in response to higher than expected current account deficit, inflation, GDP and retail sales announcements, whereas an unexpected rise in unemployment raised it.