Demand for Information, Uncertainty, and the Response of US Treasury Securities to News

• 成果类型: Article
• 署名作者: Benamar, Hedi; Foucault, Thierry; Vega, Clara
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa072
• 发表日期: 2021
• 页码: 3403
• 关键词: time price discovery; economic-news; optimal inattention; investor attention; monetary-policy; interest-rates; stock-market; bond; IMPACT; liquidity

摘要

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty.