期刊名称：Bank of Finland Research Discussion Papers (früher: Bank of Finland Discussion Papers)
印刷版ISSN：0785-3572
电子版ISSN：1456-6184
出版年度：2015
卷号：2015
出版社：Suomen Pankki = Bank of Finland
摘要：This paper studies the impact of uncertainty on the investors reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react signi cantly stronger to US macroeconomic news in times of low macroeconomic, nancial and political uncertainty. We also nd that investors are more sensitive to the uncertainty in the nancial market compared to the macroeconomic and political uncertainties. Our results might partly explain the sudden freeze and low liquidity in some nancial markets during the latest nancial crisis.
