期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2002
卷号：2002
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：This paper analyses how the macro news affect the future price of
the ten year Treasure bond future (TY), one of the most
important US bonds. We consider different fundamentals and we
analyze the effect of their forecasting errors conditionally on their
sign and the momentum of the business cycle. To obtain a smooth
effect of the news arrival we consider a Polynomial Distributed
Lag (PDL) model. We conclude that i)fundamentals affect TY for
some hours, ii)their effect depends on the sign of the forecast
error and iii) it depends on the business cycle. Finally the
timeliness of the releases matters.
关键词：US bonds, PDL model, business cycle, macro announcements.
