Demand for information, macroeconomic uncertainty, and the response of US treasury securities to news

Hedi Benamar, Thierry Foucault, Clara Vega

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand covaries positively with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty

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Year of publication:	[2018]
Authors:	Benamar, Hedi ; Foucault, Thierry ; Vega, Clara
Publisher:	Jouy-en-Josas : HEC Paris
Subject:	Uncertainty \| Information Demand \| Click Data \| Big Data \| Macroeconomic Announcements \| U.S Treasury Yields \| Webanalyse \| Web analytics \| Zins \| Interest rate \| Risiko \| Risk \| Informationsverhalten \| Information behaviour \| Staatspapier \| Government securities \| USA \| United States