What Moves the Bond Market?

[...]In this article, we take a close look at a single yearin the U.S. Treasury securities market (which we refer to asthe bond market) and attempt to identify information thatmay account for the sharpest price changes and the mostactive trading episodes. Sharp price moves may be attributedto changes in expectations shared by investors, andsurges in trading activity to a lack of consensus on prices.To explain the price changes and trading surges, we examinehow closely these events correlate with the release timesof macroeconomic announcements.[...]