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The high-frequency impact of news on long-term yields and forward rates: Is it real?

Beechey, Meredith J.; Wright, Jonathan H. - In: Journal of Monetary Economics 56 (2009) 4, pp. 535-544

Macroeconomic news announcements move yields and forward rates on nominal and index-linked bonds and inflation compensation. This paper estimates the reactions using high-frequency data on nominal and index-linked bond yields, allowing the effects of news announcements on real rates and...

Persistent link: https://www.econbiz.de/10005006151

The U.S. Treasury yield curve: 1961 to the present

Gurkaynak, Refet S.; Sack, Brian; Wright, Jonathan H. - In: Journal of Monetary Economics 54 (2007) 8, pp. 2291-2304

Persistent link: https://www.econbiz.de/10005082339

Identifying VARS based on high frequency futures data

Faust, Jon; Swanson, Eric T.; Wright, Jonathan H. - In: Journal of Monetary Economics 51 (2004) 6, pp. 1107-1131

Persistent link: https://www.econbiz.de/10005131744

The high-frequency response of exchange rates and interest rates to macroeconomic announcements

Faust, Jon; Rogers, John H.; Wang, Shing-Yi B.; Wright, … - In: Journal of Monetary Economics 54 (2007) 4, pp. 1051-1068

Persistent link: https://www.econbiz.de/10005180393