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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 1
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Original Articles

Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Peter HördahlBank for International Settlements, Hong Kong ([email protected]; [email protected])
,
Eli M. RemolonaBank for International Settlements, Hong Kong ([email protected]; [email protected])
&
Giorgio ValenteHong Kong Institute for Monetary Research, Hong Kong ([email protected])
Pages 27-42 | Received 01 May 2016, Published online: 06 Sep 2018

Citations (5)

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Read on this site (2)

Elizabeth-Ann van der Westhuizen, Leon Marx Brümmer & Cornelis Hendrik van Schalkwyk. (2023) The impact of news on South African sovereign bond yields. Investment Analysts Journal 0:0, pages 1-14.
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Lars Winkelmann & Wenying Yao. Tests for Jumps in Yield Spreads. Journal of Business & Economic Statistics 0:0, pages 1-12.
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Articles from other publishers (3)

Lars Winkelmann & Wenying Yao. (2023) Test for Jumps in Yield Spreads. SSRN Electronic Journal.
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Refet S. GürkaynakBurçin KısacıkoğluJonathan H. Wright. (2020) Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises. American Economic Review 110:12, pages 3871-3912.
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Bruno Feunou, Morvan Nongni Donfack & Rodrigo Sekkel. (2021) US Macro News and Low-Frequency Changes in Small Open Economies Bond Yields. SSRN Electronic Journal.
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