Markets react more to macro news in uncertain times – study
Monetary policy uncertainty amplifies bond yields’ response to data releases, BIS paper says
Bond investors react more strongly to macroeconomic data when they are uncertain about the central bank’s interest rate path, a study published by the Bank for International Settlements has shown.
In a working paper published today (June 16), Peter Hördahl, Burçin Kısacıkoğlu and Dora Xia explore how US Treasury yields between 1998 and 2024 reacted to announcements of US macro data on topics such as inflation, the labour market, retail sales and GDP.
The authors find that when bond investors were
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