Macroeconomic news and bond market volatility

• 成果类型: Article
• 署名作者: Jones, CM; Lamont, O; Lumsdaine, RL
• 署名单位: University of Chicago; Columbia University; Brown University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00047-0
• 发表日期: 1998
• 页码: 315-337
• 关键词: volatility; INFORMATION; news; GARCH; RISK

摘要

We examine the reaction of daily Treasury bond prices to the release of U.S. macroeconomic news. These news releases (of employment and producer price index data) are of interest because they are released on periodic, preannounced dates and because they are associated with substantial bond market volatility. We investigate whether these nonautocorrelated announcements give rise to autocorrelated volatility. We find that announcement-day volatility does not persist at all, consistent with the immediate incorporation of information into prices. We also find a risk premium on these release dates. (C) 1998 Elsevier Science S.A. All rights reserved.