TY  - CHAP
AB  - Abstract 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.
VL  - 96
SN  - 978-1-78441-027-8, 978-1-78441-026-1/1569-3759
DO  - 10.1108/S1569-375920140000096000
UR  - https://doi.org/10.1108/S1569-375920140000096000
AU  - Abad Pilar
AU  - Chuliá Helena
PY  - 2014
Y1  - 2014/01/01
TI  - The Effects of Macroeconomic News Announcements during the Global Financial Crisis
T2  - Risk Management Post Financial Crisis: A Period of Monetary Easing
T3  - Contemporary Studies in Economic and Financial Analysis
PB  - Emerald Group Publishing Limited
SP  - 41
EP  - 56
Y2  - 2024/09/20
ER  -