Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996 futures data for commodities and four currencies (Swiss, German,...

We examine the effects of unanticipated macroeconomic news on two interest rate futures using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive/negative) and by their size (large/medium/small). The results show distinct ex-post return...

Using intraday data we examine the responses of futures on the British Long Gilt (Gilt), the German Government bond (Bund), the U.S. Treasury bond (Bond), the Japanese Government bond (JGB), and the Italian Government bond (IGB) to the release of U.S. macroeconomic news. Bond, Gilt, and Bund...

We study the effects of liquidity and term-to-maturity following macroeconomic news announcements. To do this we select five instruments that differ in liquidity, or term-to-maturity, or both, and examine their response to the release of macroeconomic news. The results from this study suggest...