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This paper uses high-frequency intradaily data to estimate the effects of macroeconomic news announcements on yields and forward rates on nominal and index-linked bonds, and on inflation compensation. To the knowledge, it is the first study in the macro announcements literature to use intradaily real yield data, which allows one to parse the effects of news announcements on real rates and inflation compensation far more precisely than one can using daily data. Long-term nominal yields and forward rates are very sensitive to macroeconomic news announcements.
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