recent developments in high frequency financial ... - Index of

Macroeconomic surprises and short-term behaviour in bond futures 279
Table 2 Summary
46 37 42 27 30 21 33 18 30 22 27 17
Total number of significant coefficients for all the fundamentals. See legend Table A1
Full results for all the fundamentals are available at core.ucl.ac.be, discussion paper
2002–37. In the sequel, we first present a detailed comment for one fundamental,
Consumer Confidence. We then provide an analysis based on more general results.
5.1 A case study: consumer confidence
Consumer confidence is one of the fundamentals affecting the most bond futures. It
is an interesting fundamental to analyse because it is not an economic measure but
is rather an index of economic sentiment, not based on quantitative measures but
rather on feelings.
Results are in Table A1. The signs of the coefficients are intuitively correct.
Higher confidence than expected yields bond market sell-offs (column •). On
average, and especially during the first hour, the effect of a positive forecast error
is larger than the effect of a negative forecast error. See Fig. 3 and columns✓and
0.002
0
-0.002
-0.004
-0.006
-0.008
-0.01
0.01
0.005
0
-0.005
-0.01
-0.015
-0.02
-0.025
1 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 7 8 9 10 11 12
0.006
0.004
0.002
0
-0.002
-0.004
-0.006
-0.008
-0.01
-0.012
-0.014
0.002
0.001
0
-0.001
-0.002
-0.003
-0.004
-0.005
-0.006
-0.007
-0.008
-0.009
1 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 7 8 9 10 11 12
Fig. 4 Impulse responses of TY to a shock in CC. Top left when the economy cycle is in the top.
Top right when the cycle is in the bottom. Bottom left when it is in expansion and bottom right
when it is in contraction. Solid, dotted and dashed lines are the same as in Fig. 3. Vertical axis is
the coefficient, horizontal are the minutes (divided by ten) after the release