Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Hess, Dieter

doi:10.2139/ssrn.361161

Cited by 2 publications

(3 citation statements)

References 27 publications

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“…But at least, most of the time they outperform commonly used time series models (Hardouvelis 1988, Moersch 2001. Hess (2001) largely confirms these results for the sample used in this paper. On the 1% level, the efficiency of analysts' forecasts can be rejected for only 1 out of the 24 headline figures, i.e.…”

Section: H1: Immediate Responsesupporting

confidence: 85%

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Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Hess

2004

Journal of Futures Markets

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The intraday response of T‐bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Analyzing the time series properties and the information content of the macroeconomic news flow, the answer to the question, “What determines the relative price impact of releases?” is sought. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:609–629, 2004

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Section: H1: Immediate Responsesupporting

confidence: 85%

“…21 The same result is obtained testing whether the β i 's are zero and separately whether the γ i 's are zero (Hess 2000). …”

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confidence: 69%

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Hess

2004

Journal of Futures Markets

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“…Ederington and Lee (1995) use intra-day data from the foreign currency futures market to demonstrate that prices react swiftly to the announcement of U.S. economic data. Moreover, Hess (2000) by studying the impact of scheduled macroeconomic releases on the price reaction of U.S. Treasury bond futures, finds that the type and sequence of releases helps to explain and their relative importance. Galati and Ho (2003) examine the effect of U.S. and Euro area macroeconomic announcements on the daily movements in the Euro-dollar exchange rate.…”

Section: Nonlinear Models For Financial Time Series and Volatilitymentioning

confidence: 99%

Bayesian model determination and nonlinear threshold volatility models

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I would like to thank Petros Dellaportas'. This is the first phrase that comes to mind. I would like to thank him for changing my way of thinking and living. He helped me understand that only through hard work in chorus with an open mind, can one strive forward. He taught me to leave nothing to chance and to intuititively explore and thoroughly investigate every small detail in depth. Moreover he introduced me to the world of Bayesian statistics, that has presented me with the challenges I have always anticipated, thus becoming my preferred field of research. It would require more than just the pages of this Thesis to describe my feelings for Petros, hence I must stop here and solely express my gratitude and the great honor it was for me to be his PhD student.The second person I would like to thank is Ioannis Ntzoufras, for the rather analytical and extensive conversations we had on several aspects of my research. Ioannis also gave me the chance to be a tutor for the courses Data analysis and Biostatistics during my PhD. Moreover Ioannis was always an open person with constant willingness to help and offer knowledge, while I must also say I admire him for his work in the field of Bayesian statistics.A rather special person I would like to thank is Elias Tzavalis. During my PhD he offered me the chance to write with him a book on investments, an experience through which I acquired significant knowledge on several aspects of finance. Furthermore, Elias gave me the chance to a be a tutor for the courses investments appraisal and portfolio management. Our cooperation during all these years was rather productive and enlightening for me.I feel lucky I have had the opportunity to study in the department of Statistics of the Athens University of Economics and Business, where I met and collaborated with many interesting people. Bright examples, among many, are Ioannis Vrontos and Dimitris Karlis who were both an admirable source of inspiration for me. I would like to especially thank Ioannis Vrontos for the very instructive comments during the revision process of the Thesis. Furthermore, I must refer to Tasos Plataniotis, who as a co-student in the PhD programme, was always encouraging me to go on, while we spent endless hours discussing each others problems. The environment in the department was always friendly and research stimulating, while I was given the chance to attend a series of meetings and conferences.Finally I would like to thank the Propondis Foundation for the financial support during my PhD years, as well as the director of the Foundation, Ioannis Baveas for his ethical support.

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Surprises in Scheduled Macroeconomic Announcements: Why Do They Move the Bond Market?

Cited by 2 publications

References 27 publications

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Bayesian model determination and nonlinear threshold volatility models

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