Ramchander, Sanjay; Simpson, Marc; Chaudhry, Mukesh - In: Journal of Economics and Finance 27 (2003) 1, pp. 85-101
This study investigates the impact of surprises in hourly wages, non-farm payroll, unemployment rate, and producer price index on the yields and volatilities of money market securities. The methodology is conducted in a framework that preserves the strong substitutability among the instruments....