Public Information and the Persistence of Bond Market Volatility /
Jones, Charles M.
Public Information and the Persistence of Bond Market Volatility / Charles M. Jones, Owen Lamont, Robin Lumsdaine. - Cambridge, Mass. National Bureau of Economic Research 1996. - 1 online resource: illustrations (black and white); - NBER working paper series no. w5446 . - Working Paper Series (National Bureau of Economic Research) no. w5446. .
January 1996.
We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Public Information and the Persistence of Bond Market Volatility / Charles M. Jones, Owen Lamont, Robin Lumsdaine. - Cambridge, Mass. National Bureau of Economic Research 1996. - 1 online resource: illustrations (black and white); - NBER working paper series no. w5446 . - Working Paper Series (National Bureau of Economic Research) no. w5446. .
January 1996.
We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.