Which News Moves the Euro Area Bond Market?

  1. Magnus Andersson1,
  2. Lars Jul Overby2,
  3. Szabolcs Sebestyén3

Article first published online: 22 JAN 2009

DOI: 10.1111/j.1468-0475.2008.00439.x

Issue

German Economic Review

German Economic Review

Volume 10, Issue 1, pages 1–31, February 2009

Additional Information

How to Cite

Andersson, M., Overby, L. J. and Sebestyén, S. (2009), Which News Moves the Euro Area Bond Market?. German Economic Review, 10: 1–31. doi: 10.1111/j.1468-0475.2008.00439.x

Author Information

  1. 1

    European Central Bank

  2. 2

    University of Copenhagen/Danmarks Nationalbank

  3. 3

    Catholic University of Portugal

*Address for correspondence: Magnus Andersson, European Central Bank, Postfach 160319, 60066 Frankfurt am Main, Germany. Tel.: +49 69 1344 7410; fax: +49 69 1344 6514; e-mail: magnus.andersson@ecb.int

Publication History

  1. Issue published online: 22 JAN 2009
  2. Article first published online: 22 JAN 2009

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Keywords:

  • E43;
  • E44;
  • E58
  • Monetary policy;
  • high-frequency data;
  • macroeconomic announcements

Abstract. This paper explores a long dataset (1999–2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

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