NDLI: What Moves the Bond Market

Content Provider	Semantic Scholar
Author	Fleming, Michael John Remolona, Eli M.
Copyright Year	1997
Abstract	In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of informational content in and among the varying announcements under changing market conditions.
Starting Page	31
Ending Page	50
Page Count	20
File Format	PDF HTM / HTML
Volume Number	3
Alternate Webpage(s)	http://www.cass.city.ac.uk/faculty/g.urga/files/mtf2FlemingRemolana1997.pdf
Alternate Webpage(s)	https://www.newyorkfed.org/medialibrary/media/research/epr/97v03n4/9712flem.pdf
Alternate Webpage(s)	http://www.ny.frb.org/research/epr/97v03n4/9712flem.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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