Economic News and Bond Prices: Evidence from the U.S. Treasury Market
利用美国国债市场日内数据，研究宏观经济公告对债券价格、交易量和买卖价差的影响，发现17种公告的意外成分显著影响不同期限债券价格，调整在一分钟内完成，对收益率曲线建模和债券市场微观结构有启示。
This paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find that 17 public news releases, as measured by the surprise in the announced quantity, have a significant impact on the price of at least one of the following instruments: a three-month bill, a two-year note, a 10-year note, and a 30-year bond. These effects vary significantly according to maturity. Public news can explain a substantial fraction of price volatility in the aftermath of announcements, and the adjustment to news generally occurs within one minute after the announcement. We document significant and persistent increases in volatility and trading volume after the announcements. Bidask spreads, on the other hand, widen at the time of the announcements, but then revert to normal values after five to 15 minutes. The effects that we document have relevant implications for yield curve modeling and for the microstructure of bond markets.