Public Information and the Persistence of Bond Market Volatility

Charles Jones, Owen Lamont and Robin Lumsdaine

No 5446, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 1996-01
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published as Journal of Financial Economics, Vol. 47, no. 3 (March 1998): 315-337.

Downloads: (external link)
http://www.nber.org/papers/w5446.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:5446

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w5446

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().