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NBER: economic news announcements and bond yields
Subject: economic news announcements and bond yields
From: Linda.Goldberg@ny.frb.org
Date: Thu Oct 09 2003 - 11:28:17 EDT
Greetings all.
This piece just published in the FRBNY Current Issues series is not
written for academic audiences, but still might interest many of you. I
am planning on doing work using a longer sample of data (this uses hourly
data, Jan 2000-June 2002) to ask related questions about the implications
of news spillovers across markets. The research relates to the Faust,
Rogers et al (2003) paper presented at the last Summer institute, and the
Andersen, Diebold, and Vega (2003) paper presented at the previous Summer
Institute.
See you soon,
Linda
***Federal Reserve Bank of New York***
Electronic Research Alert
October 8, 2003
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"What Moves Sovereign Bond Markets? The Effects of Economic News on U.S.
and German Yields," by Linda Goldberg and Deborah Leonard (Current Issues
in Economics and Finance, September 2003)
Economic announcements are an important source of information, containing
news that spills over internationally across markets, affecting yields. An
analysis of the U.S. and German sovereign bond markets finds that the
largest moves in yields are associated with U.S. announcements on labor
market conditions, real GDP growth, and consumer sentiment.
Read the full article at:
http://www.newyorkfed.org/research/current_issues/ci9-9.html
Read the press release at:
http://www.newyorkfed.org/newsevents/news/research/2003/rp031007.html
Linda Goldberg's web page:
http://www.newyorkfed.org/research/economists/goldberg/index.html
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