Public Information and the Persistence of Bond Market Volatility
Public Information and the Persistence of Bond Market Volatility
复制标题
公共信息与债券市场波动的持续性
DOI：
10.3386/w5446
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发表时间：
1996
期刊：
影响因子：
--
通讯作者：
R. Lumsdaine
中科院分区：
文献类型：
--
作者：
C. Jones;Owen A. Lamont;R. Lumsdaine
我们研究了每日债券价格对政府宏观经济消息发布的反应。这些新闻稿之所以令人感兴趣，是因为它们是在定期的、预先宣布的日期发布的，而且它们会引起债券市场的大幅波动。波动的新闻成分在这些日期不是正自相关的，因为新闻是在特定的时间发布的。我们发现，（1）债券市场短期的预期收益率在这些公告日期显着较高，（2）日波动的持续模式在这些日子是相当不同的。
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.
影响因子：
6.1
作者：
PERRON, P
通讯作者：
PERRON, P
影响因子：
6.1
作者：
ENGLE, RF;LILIEN, DM;ROBINS, RP
通讯作者：
ROBINS, RP