Public Information and the Persistence of Bond Market Volatility
Working Paper 5446
DOI 10.3386/w5446
Issue Date
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.
Published Versions
Journal of Financial Economics, Vol. 47, no. 3 (March 1998): 315-337.