Report
What moves the bond market?
Abstract: We take a close look at a year in the U.S. Treasury market and try to explain the sharpest price changes and most active trading episodes. The virtue of our analysis lies in its use of high-frequency data on market movements and accurate release times for a comprehensive set of economic announcements. For the period August 1993 to August 1994, we attribute the 25 largest price moves and 25 greatest trading surges to just-released announcements. The bond market's response to announcements in general is consistent with the way we would expect it to react to new information.
Keywords: Bonds; Government securities; Economic indicators; Information theory;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Research Paper
Publication Date: 1997
Number: 9706