What Moves the Bond Market

By Michael J. Fleming, Eli M. Remolona. 2007

387 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4ef2dc446464e71baafda1c60280a11bdaaaf9c5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, background): “However, as shown by Forbes and Rigobon (2002), these results need to be carefully interpreted when the overall level of volatility is also changing through time.”
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013, background): “…and Roley (1983), (1985), Hardouvelis (1987), Cutler, Poterba, and Summers (1989), Orphanides (1992), McQueen and Roley (1993), Krueger (1996), Fleming and Remolona (1997), Balduzzi, Elton, and Green (2001), Bomfim (2003), and Gurkaynak, Sack, and Swanson (2005) study the responsiveness β of…”
Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy (2008, unknown): “For example, Fleming and Remolona (1997) show that federal funds”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “This approach of event detection is commonly used to determine whether large price movements are linked to public news releases (see, for example, Cutler et al., 1989; Fleming and Remolona, 1997; Kaminsky and Schmukler, 1999; Fair, 2002, 2003).”
The on-the-run liquidity phenomenon (2009, unknown): “We use the monthly dispersion estimates from these three methodologies to classify days in 18 Detailed discussions of the properties of this database can be found in Fleming and Remolona (1997), Andersen, Bollerslev, Diebold, and Vega (2003), and Pasquariello and Vega (2007).”
Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets (2005, background): “Much of the work in this field has considered the announcement event only – without regard for the actual information revealed to the market by that announcement (see Stone, 1990, Fleming and Remolona, 1997, 1999b, Jones, Lamont and Lumsdaine, 1998, Andersen and Bollerslev, 1998).”
Exchange Rates and Fundamentals: New Evidence from Real-Time Data (2005, background): “exchange markets. While there has been some work on this issue for bond markets ( Fleming and Remolona 1997 ), such analysis is quite novel for foreign exchange markets.8”
How is Macro News Transmitted to Exchange Rates (2008, unknown): “For bond markets, see Fleming and Remolona (1997) and Balduzzi, Elton, and Green (2001).”
Informed and Strategic Order Flow in the Bond Markets (2006, unknown): “Fleming and Remolona (1997) and Andersen, Bollerslev, Diebold, and Vega (2003) discuss the main properties of MMS forecasts; Balduzzi et al. (2001) show that these forecasts are not stale and unbiased.”
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000, background): “Fleming and Remolona 1997 examine the 25 largest price changes in the 5 - year US Treasury note from 1993 to 1994 and conclude that all of them occur on announcement days and all but one come within 15 min of an announcement .”