Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - Centro Studi di Economia e Finanza (CSEF) - 2014
We analyze the reaction of the U.S. Treasury bond market to innovations in macroe-economic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic news explain...