Economic News and the Yield Curve: Evidence from the U.S. Treasury Market
Preprint
- 1 January 1998
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on priKeywords
All Related Versions
This publication has 40 references indexed in Scilit:
- Interest Rate Targeting and the Dynamics of Short-Term RatesJournal of Money, Credit and Banking, 1998
- The Central Tendency: A Second Factor in Bond YieldsPublished by National Bureau of Economic Research ,1997
- A model of target changes and the term structure of interest ratesJournal of Monetary Economics, 1997
- Production‐Based Asset Pricing and the Link Between Stock Returns and Economic FluctuationsThe Journal of Finance, 1991
- Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing TheoryThe Journal of Finance, 1988
- Consumption, production, inflation and interest rates: A synthesisJournal of Financial Economics, 1986
- Economic Forces and the Stock MarketThe Journal of Business, 1986
- An intertemporal asset pricing model with stochastic consumption and investment opportunitiesJournal of Financial Economics, 1979
- A continuous time approach to the pricing of bondsJournal of Banking & Finance, 1979
- The Information Content of Annual Earnings AnnouncementsJournal of Accounting Research, 1968