Economic News and Bond Prices: Evidence from the U.S. Treasury Market
By Pierluigi Balduzzi, Edwin J. Elton, T. C. Green. Journal of Financial and Quantitative Analysis, 2001
895 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9581ef71c070603bdfbfd33f68ccaef19249658e
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In Economics and Econometrics
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In Finance
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Citations in the corpus
- Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, neutral): “…and Roley (1985), French and Roll (1986), Ederington and Lee (1993), Veronesi (1999), Flannery and Protopapadakis (2001), Vega (2006), Tetlock (2010)), and foreign exchange markets (e.g., Urich and Wachtel (1984), Fleming and Remolona (1999), Balduzzi et al. (2001), Pasquariello and Vega (2007)).”
- Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, neutral): “While the volume–return relationship has been extensively covered for equities (Karpoff, 1987; Li et al., 2016; Todorova and Souček, 2014), bonds (Balduzzi et al., 2001), commodities (Chiarella et al., 2016), interest rates and currency futures (Puri and Philippatos, 2008), and real estate (Tsai,…”
- Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, neutral): “Hence, to allow for meaningful comparisons of the estimated news response coefficients across indicators and asset classes, we follow Balduzzi, Elton, and Green (2001) and Andersen et al. (2003b) (2003) in the use of “standardized news.” Specifically, we divide the surprise by its sample standard ”
- Which News Moves the Euro Area Bond Market? (2006, positive): “In order to test for unbiasedness in the expectations data, standard techniques used in the literature are used (see Balduzzi et al., 1998, 2001).”
- On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “According to several studies of their information content (e.g., Urich and Wachtel, 1984; Balduzzi et al., 2001), MMS expectations are generally unbiased and less noisy estimates of the corresponding realized macroeconomic variables than those generated by extrapolative models (e.”
- Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008? (2013, methodology): “3 The link between innovations to global real GDP and the real price of oil is discussed, for example, in Barsky and Kilian (2002). Our econometric methodology is based on the work of Andersen and Bollerslev (1998), Andersen, Bollerslev, Diebold, and Vega (2003, 2007) and Faust, Rogers, Wang, and Wr”
- Macroeconomic news, order flows and exchange rates (2003, neutral): “Note that we have chosen to focus on announcements that, via some individual announcement pre-testing and from inspection of existing literature and previous results 2An identical standardisation is performed in Andersen, Bollerslev, Diebold, and Vega (2001) and Balduzzi, Elton, and Green (2001).”