Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component

ABSTRACT

In the current study, we identify the announcements that trigger substantial changes in the behaviour of the 10-year US Treasury market, without using the surprise component and, therefore, expectational data. We use a novel model-free approach based on extreme market movements related to price returns, volatility and traded volumes. Our findings corroborate those of previous studies, which were based on expectational data. More importantly, though, we identify two additional announcements (Oil Inventories and the Mortgage Applications), which have not been previously reported. These findings are primarily important to financial analysts and investors.

KEYWORDS:

• US Treasury market
• economic announcements
• event studies

JEL CLASSIFICATION:

• G12
• G14

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ The $r_m=\pm 0.2\mathrm{\%}$ express the 0.0035% lower and upper quantile points of the empirical distribution.

² The $10{\tilde{y}}_m$ expresses the 0.0377% upper quantile point of the empirical distribution.

³ We have also experimented with other criteria of extremity (e.g. $r_m>0.1\mathrm{\%}or{r}_m<-0.1\mathrm{\%}$ and $r_m>0.3\mathrm{\%}or{r}_m<-0.3\mathrm{\%}$, the five largest daily $v_m$ for every month and $y_m>5\left(15\right)\times {\tilde{y}}_m$) and we obtained qualitatively similar results..