We examine the reaction of daily Treasury bond prices to the releaseoof U.S. government macroeconomic news. These news releases (of employment and Producer Price Index data) are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market...

We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not...

In this paper, we develop an aggregation procedure using time--varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time--varying weights is based on some stylised features of the data documented in the paper. The model allows...

Ever since the development of the Autoregressive Conditional Heteroskedasticity (ARCH) model (Engle [1982]), testing for the presence of ARCH has become a routine diagnostic. One popular method of testing for ARCH is T times the R^2 from a regression of squared residuals on p of its lags. This...

This paper considers the potential relationship between providing care for grandchildren and retirement, among women nearing retirement age. Using 47,400 person-wave observations from the Health and Retirement Study (HRS), we find the arrival of a new grandchild is associated with a more than...

This paper challenges recent conventional wisdom of a divide between Main Street (the average American consumer) and Wall Street (financial market participants). The views of survey respondents regarding the likelihood of stock index returns exceeding specific thresholds are compared to market...

This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement...

This paper considers correlation, models, and risk management in light of recent financial market events. It begins with a review of key contributing factors, then considers the role of liquidity in measuring default risk, and highlights some lessons learned from the experience as events...