We examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time‐of‐day and day‐of‐the‐week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets.

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JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.. Wiley and American Finance Association are collaborating with JSTOR to digitize, preserve and extend access ABSTRACT We examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time-of-day and day-of-the-week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets. WE EXAMINE THE IMPACT on interest rate and foreign exchange markets ofscheduled macroeconomic news releases such as the employment report, the consumer price index (CPI), and the producer price index (PPI). Many market participants believe that such announcements have a major impact on financial markets. Indeed, a small industry devoted to predicting the figures to be released in upcoming releases has evolved in recent years. With the exception of the weekly money supply figures, however, the impact of such announcements on financial markets has received scant attention.1 This is doubly surprising given the considerable research interest in market volatility since these news releases are a potential source of much of this volatility. Consider, for instance, Figure 1. As shown there, prices in interest rate and foreign exchange futures markets are much more volatile between 8:30 and 8:35 A.M. eastern time (ET) than during any other five-minute trading period including *Ederington and Lee are from the University of Oklahoma. The authors acknowledge the helpful comments of Steve Andrews, Tim Dunne, R. W. Hafer, Scott Linn, participants in the finance workshop at the University of Oklahoma, an anonymous referee, and the editor, Ren6 Stulz. The Center for Financial Studies at the University of Oklahoma provided financial support for data acquisition. Lee was partially supported by a Noble Research Grant from the University of Oklahoma. 1 Exceptions are Dwyer and Hafer (1989), Hakkio and Pearce (1985), Cook and Korn (1991) and recent independent studies by Harvey and Huang (1992) and Savanayana, Schneeweis, and Yau (1992). The first two studies find little evidence that several announcements impact interest or exchange rates respectively but Cook and Korn (1991) find a strong interest rate reaction to the employment report. Harvey and Huang (1992) and Savanayana et al. (1992) observe that returns on interest futures markets ar...

The interaction between Pt and CeO2 under reducing and oxidizing conditions as well as its effect on the thermal stability of Pt/CeO2 were extensively investigated by means of N2 adsorption/desorption, Raman spectroscopy, CO chemisorption, H2 TPR, XRD, and XPS techniques. In situ and ex situ Raman spectroscopy showed that Pt is anchored with the surface oxygen of CeO2 by forming Pt–O–Ce bond during the oxidative treatment of Pt/CeO2. Under the reducing condition, the static CO chemisorption presented that the amount of CO adsorbed on CeO2 is almost equal to that on Pt/CeO2, implying that Pt atom is located on the oxygen vacancy generated on reduced CeO2 surface. Strong Pt–O–Ce bond maintained the textural properties of Pt/CeO2 from oxidative treatment at temperature as high as 800 °C, as evidenced by the XRD patterns and BJH curves of the samples. Selective removal of the surface oxygen of Pt/CeO2 resulted in the decreased thermal stability of Pt/CeO2 due to the loss of Pt–O–Ce bond. Stronger interaction between Pt and CeO2 is observed when the oxidation temperature was increased from 500 to 800 °C, as evidenced by the shift of the surface reduction peak of Pt/CeO2 in H2 TPR to the higher temperature. It is consistent with in situ Raman spectra of Pt/CeO2, which showed that Pt–O–Ce bond became more resistant to the reduction by H2 after the oxidative treatment at 800 °C. Hence, it is concluded that Pt–O–Ce bond plays an important role in improving the thermal stability of Pt/CeO2 upon the oxidative treatment at high temperature. Based on characterization results, the model is proposed to explain the interaction between Pt and CeO2 under the oxidative treatment.

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