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Surprises in U.S. macroeconomic releases : determinants of their relative impact on T-bond futures

Hess, Dieter - 2001

This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...

Persistent link: https://www.econbiz.de/10011544325

An empirical study on effects of US treasury futures market on the KTB futures market and its information transfer effect : mainly after the global financial crisis

Kim, Sung-Hyun; Park, Sang-Bum - In: International journal of economics and finance 7 (2015) 12, pp. 262-267

Persistent link: https://www.econbiz.de/10011411841

Quantifying the macroeconomic effects of large-scale asset purchases

Walentin, Karl - In: Quantitative easing : evolution of economic thinking as …, (pp. 59-62). 2016

Persistent link: https://www.econbiz.de/10011498133

Les mesures de politique monétaire non conventionnelles et leur impact sur les marchés

Leppin, Marco; Nagel, Joachim - In: Revue d'économie financière : revue trimestrielle de … 121 (2016), pp. 97-110

Persistent link: https://www.econbiz.de/10011507586

Macroeconomic uncertainty and the distant forward-rate slope

Connolly, Robert A.; Dubofsky, David A.; Stivers, … - In: Journal of empirical finance 48 (2018), pp. 140-161

Persistent link: https://www.econbiz.de/10012109285

US Treasury auction yields before and during quantitative easing : market factors vs. auction-specific factors

Mann, Catherine L.; Klachkin, Oren - 2014

Persistent link: https://www.econbiz.de/10010505337

Low frequency effects of macroeconomic news on government bond yields

Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - 2014

Persistent link: https://www.econbiz.de/10010418996

High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10010441177

High-frequency trading in the U.S. treasury market around macroeconomic news announcements

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018

Persistent link: https://www.econbiz.de/10012202019

Low frequency effects of macroeconomic news on government bond yields

Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - In: Journal of monetary economics 92 (2017), pp. 31-46

Persistent link: https://www.econbiz.de/10011799571