In this chapter we investigate the response of bond markets to macroeconomic news announcements in the euro area. Specifically, we analyze the impact of (un)expected changes in the interest rate, unemployment rate, consumer confidence index and industrial production index on the returns, volatility and correlations of European government bond markets. Overall, our results suggest that, bond return volatility strongly reacts to news announcements and that the response is asymmetric. However, the influence of macroeconomic news announcements appears insignificant for bond returns. Finally, our results paint a complex picture of the effect of macroeconomic news releases on correlations.
This work has been funded by the Spanish Ministry of Economy and Competitiveness (ECO2011–23959 and ECO2012–35584).
Abad, P. and Chuliá, H. (2014), "The Effects of Macroeconomic News Announcements during the Global Financial Crisis", Risk Management Post Financial Crisis: A Period of Monetary Easing (Contemporary Studies in Economic and Financial Analysis, Vol. 96), Emerald Group Publishing Limited, pp. 41-56. https://doi.org/10.1108/S1569-375920140000096000Download as .RIS
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