caa a22 4500 467895821 CHVBK 20180406152803.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0002-y doi (NATIONALLICENCE)springer-10.1007/s00181-005-0002-y Veredas David ECARES-Université Libre de Bruxelles and CORE, 50, Av Roosevelt CP114, B1050, Brussels, Belgium aut Macroeconomic surprises and short-term behaviour in bond futures [Elektronische Daten] [David Veredas] This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we estimate a Polynomial Distributed Lag model. Using 10 minutes sampled data for 9 years, we conclude that 1) releases affect the bond future for only few hours, 2) their effect depends on the sign of the forecast error, 3) their effect also depends on the business cycle and 4) the timeliness of the releases is significant. Springer-Verlag, 2005 US bonds nationallicence PDL model nationallicence Business cycle nationallicence Macroeconomic announcements nationallicence C22 nationallicence G14 nationallicence Empirical Economics Physica-Verlag 30/4(2006-01-01), 843-866 0377-7332 30:4<843 2006 30 181 https://doi.org/10.1007/s00181-005-0002-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0002-y text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Veredas David ECARES-Université Libre de Bruxelles and CORE, 50, Av Roosevelt CP114, B1050, Brussels, Belgium aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 843-866 0377-7332 30:4<843 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer