资源描述：
《Economic News and Bond Prices》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、10/31/2001–coded–JFQA#36:4Balduzzi,Elton,andGreenPage523JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVOL.36,NO.4,DECEMBER2001COPYRIGHT2001,SCHOOLOFBUSINESSADMINISTRATION,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195EconomicNewsandBondPrices:EvidencefromtheU.S.TreasuryMa
2、rketPierluigiBalduzzi,EdwinJ.Elton,andT.CliftonGreenAbstractThispaperusesintradaydatafromtheinterdealergovernmentbondmarkettoinvestigatetheeffectsofscheduledmacroeconomicannouncementsonprices,tradingvolume,andbid-askspreads.Wefindthat17publicnewsreleases,asme
3、asuredbythesurpriseintheannouncedquantity,haveasignificantimpactonthepriceofatleastoneofthefollowinginstruments:athree-monthbill,atwo-yearnote,a10-yearnote,anda30-yearbond.Theseeffectsvarysignificantlyaccordingtomaturity.Publicnewscanexplainasubstantialfraction
4、ofpricevolatilityintheaftermathofannouncements,andtheadjustmenttonewsgenerallyoccurswithinoneminuteaftertheannouncement.Wedocumentsignificantandpersistentincreasesinvolatilityandtradingvolumeaftertheannouncements.Bid-askspreads,ontheotherhand,widenatthetimeoft
5、heannouncements,butthenreverttonormalvaluesafterfiveto15minutes.Theeffectsthatwedocumenthaverelevantimplicationsforyieldcurvemodelingandforthemicrostructureofbondmarkets.I.IntroductionThispaperstudiestheresponseofthepricesofU.S.Treasurybondstopub-licannounceme
6、ntsofeconomicnews.Weusedataonscheduledeconomican-nouncementsandconsensusforecaststocalculatethesurprisecomponentintheannouncement.Thesedata,togetherwithintradaypriceinformation,allowustodifferentiatebetweencontemporaneousannouncementsandtodeterminewhichannoun
7、cementssignificantlyaffectpricesandthesizeandsignofthepricere-sponse,aswellashowquicklypublicnewsisincorporatedintoTreasuryprices.Balduzzi,balduzzp@bc.edu,CarrollSchoolofManagement,BostonCollege,ChestnutHill,MA02167;Elton,eelton@stern.nyu.edu,SternSchoolofBus
8、iness,NewYorkUniversity,NewYork,NY10012;andGreen,cliftongreen@bus.emory.edu,GoizuetaBusinessSchool,EmoryUniversity,Atlanta,GA30322.ThisresearchwasinitiatedwhileBalduzziandGreenwereaffiliat
