Which News Moves the Euro Area Bond Market?
Version of Record online: 22 JAN 2009
© 2009 The Authors. Journal Compilation © Verein für Socialpolitik and Blackwell Publishing Ltd. 2009
German Economic Review
Volume 10, Issue 1, pages 1–31, February 2009
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
- Issue online: 22 JAN 2009
- Version of Record online: 22 JAN 2009
- 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.