Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153065 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 631
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. In general, adjustments in prices are quick and new information is usually incorporated into prices within five minutes of announcements. The volatility adjustment is more long-lasting than that in the conditional mean, and excess volatility can be observed up to 30 minutes after the releases. Overall, German bond markets tend to react more strongly to the surprise component in US macro releases compared to euro area and domestic releases, and the strength of those reactions to US releases has increased over the period considered. The paper also provides evidence that the outcome of German unemployment figures has been known to investors ahead of the prescheduled release.
Schlagwörter: 
intraday data
macroeconomic announcements
monetary policy
JEL: 
E43
E44
E58
Dokumentart: 
Working Paper

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