Which News Moves the Euro Area Bond Market?

By Magnus Andersson, S. Sebestyén, Lars Jul Overby. Social Science Research Network, 2006

145 citations recorded by the source corpus.

Abstract This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6ab1a3d87782a06d68378b3901bd4a22b48f1a4

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In Economics and Econometrics

1. Christiane Nickel
2. Alexandros Kontonikas
3. M. Arghyrou
4. Adrian Alter
5. Y. Schüler

In Finance

1. Alexandros Kontonikas
2. M. Arghyrou
3. Adrian Alter
4. Y. Schüler

Citations in the corpus

• Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2012, unknown): “In addition, we also make use of data from those US announcements which have been shown to affect other European assets prices in previous studies (see, e.g., Andersson, Overby, and Sebestyen (2009)).”
• What Explains the Surge in Euro Area Sovereign Spreads during the Financial Crisis of 2007–09? (2009, background): “To control for the impact of these events, we collected the dates of macroeconomic announcements during the period of our analysis following Andersson et al. (2006). They investigate the intra-day impact on bond yield spreads in the euro area of a series of macro indicators released for the euro are”