Do macro announcements still drive the US bond market?
A second feature article explores the extent to which various macroeconomic announcements still lead to sharp changes in the price of the five-year US Treasury note. The article compares announcement effects in 1999 to those in 1993-94, relying on a previous study that looked at the earlier period. The article reports five basic results. First, the largest short-term price movements in the Treasury market were still associated with macroeconomic announcements, but the market seemed to react to more announcements than before. Second, announcements continued to trigger higher than average price volatility. Third, the surprise content of announcements in 1999 was smaller than before. Fourth, the price response to surprises in non-farm payrolls, the single most important announcement, was no longer consistent in sign although the price response to inflation surprises was similar to that previously found. Finally, there is no evidence that large equity price changes drove bond price movemen
