haku: @author Jones, C. M. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Jones, C. M. Lamont, O. Lumsdaine, R. L. |
| Otsikko: | Macroeconomic news and bond market volatility. |
| Lehti: | Journal of Financial Economics
1998 : MAR, VOL. 47:3, p. 315-337 |
| Asiasana: | BOND MARKETS VOLATILITY ARCH MODELS RISK NEWS REPORTING USA |
| Vapaa asiasana: | treasure bonds, GARCH |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the reaction of daily treasury bond prices to the release of U. S. macroeconomic news. These news releases (of employment and producer price index data) are of interest because they are released on periodic, preannounced dates and because they are associated with substantial bond market volatility. They investigate whether these nonautocorrelated announcements give rise to autocorrelated volatility. The find that announcement-day volatility does not persist at all, consistent with the immediate incorporation of information into prices. They also find a risk premium on these release dates. |
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