Macroeconomic Announcements and Asymmetric Volatility in Bond Returns

CFA Digest ◽  
2007 ◽  
Vol 37 (2) ◽  
pp. 10-12
Author(s):  
Bruce D. Phelps
Keyword(s):  
Asymmetric Volatility ◽  
Macroeconomic Announcements ◽  
Bond Returns

scholarly journals Macroeconomic announcements and asymmetric volatility in bond returns

2006 ◽  
Vol 30 (10) ◽  
pp. 2659-2680 ◽  
Author(s):  
Peter de Goeij ◽  
Wessel Marquering
Keyword(s):  
Asymmetric Volatility ◽  
Macroeconomic Announcements ◽  
Bond Returns

Risk Premia in the 8:30 Economy

2018 ◽  
Vol 08 (03) ◽  
pp. 1850010 ◽  
Author(s):  
Jon Faust ◽  
Jonathan H. Wright
Keyword(s):  
Risk Premia ◽  
Time Varying ◽  
Excess Returns ◽  
Macroeconomic News ◽  
Asset Risk ◽  
Macroeconomic Announcements ◽  
News Announcements ◽  
Bond Returns ◽  
The Times ◽  
Over Time

Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30[Formula: see text]am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.

Macroeconomic Announcements, Asymmetric Volatility, and IT

2011 ◽  
pp. 59-70
Author(s):  
Takeo Minaki ◽  
Ichihiro Uchida ◽  
Hiroshi Kamae
Keyword(s):  
Information Technology ◽  
Futures Market ◽  
Bond Market ◽  
Market Volatility ◽  
Frequency Data ◽  
Asymmetric Volatility ◽  
Related Information ◽  
Macroeconomic Announcements ◽  
The Impact ◽  
Bond Market Volatility

This study analyzes the impact of macroeconomic announcements on the conditional volatility of Japanese government bond (JGB) futures returns. As information technology continues to develop, the arrival and the processing of new market-related information becomes more rapid. Using high-frequency data of JGB futures, we find that announcement shocks influence the dynamics of bond market volatility. Our results provide empirical evidence that the JGB futures market does not immediately incorporate implications of macroeconomic announcement news. Volatility of JGB futures returns persists for a while. Moreover, after distinguishing among types of shocks, volatility is asymmetric. Negative shocks have a stronger impact on subsequent volatility than do positive shocks.

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