Journal Article
What moves the bond market?
Abstract: In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of informational content in and among the varying announcements under changing market conditions.
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Economic Policy Review
Publication Date: 1997
Volume: 3
Issue: Dec
Pages: 31-50