Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a variety of macro news surprises, we highlight the importance of Treasury auctions – a news event that has ramifications for interest rates across the economy and which are...

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...

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic 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...

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...

Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...