Relevance of macroeconomic announcements for European bonds

Abstract

This dissertation uses a recent methodology based on the variation of the 10 years bond bid yields of several Eurozone countries, in a small interval of time following a macroeconomic announcement from 4 different countries or from the Eurozone, in order to determine several things: Are foreign announcements important in terms of explaining the bond variations? How much of the total variation of the 10-year bond bid yields can be explained by the announcements? Are “good” news capable of explaining more of the variation of the bonds than “bad” news? These are all relevant questions to ask as the announcement sources and country bond combinations present in this dissertation are often ignored by the literature. This dissertation finds that for this sample, announcements from the USA are the ones with the most explanatory power, explaining on average 8.7%, of the daily variation, furthermore we also find that Eurozone announcements have close to none explanatory power on the daily variation of the 10 years bond bid yields, lastly we find that “good” news have a greater explanatory power then “bad” news.

Date of Award	4 Jul 2016
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Paulo Alves (Supervisor)