Yield drifts when issuance comes before macro news

• 成果类型: Article
• 署名作者: Lou, Dong; Pinter, Gabor; Uslu, Semih; Walker, Danny
• 署名单位: Hong Kong University of Science & Technology; University of London; London School Economics & Political Science; Bank for International Settlements (BIS); Johns Hopkins University; Bank of England
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.103993
• 发表日期: 2025
• 关键词: Macro news; Yield drift; Bond supply; liquidity provision

摘要

UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints playa role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news windows, but more passive investors - such as foreign central banks and pension funds - provide liquidity in pre-news windows. We outline a simple model to rationalize these findings.