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The Effects of Unanticipated Macroeconomic News on Debt Markets
Author(s) -
ChristieDavid Rohan,
Chaudhry Mukesh,
Lindley James T.
Publication year - 2003
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/1475-6803.00061
Subject(s) - surprise , economics , monetary economics , debt , futures contract , interest rate , financial economics , psychology , macroeconomics , social psychology
We examine the effects of unanticipated macroeconomic news on two interest rate futures using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive or negative) and by their size (large, medium, or small). The results show distinct ex‐post return patterns associated with different categories of news surprises. For example, large surprises have the strongest immediate effects whereas negative surprises have the longest persisting effects. Tests that examine the separate effects of each announcement suggest that debt responses vary with the size and potential effect of the news surprise in each announcement.