Macro surprises and short-term behaviour in bond futures

Durenard, Eugène;Veredas, David
(2002)

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  • Durenard, Eugène
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  • Veredas, David
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Abstract
This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the most important US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we consider a Polynomial Distributed Lag (PDL) model. We conclude that i)fundamentals affect TY for some hours, ii)their effect depends on the sign of the forecast error and iii) it depends on the business cycle. Finally the timeliness of the releases matters.
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Durenard, E., & Veredas, D. (2002). Macro surprises and short-term behaviour in bond futures (CORE Discussion Papers 2002/37). https://hdl.handle.net/2078.5/128360