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

Macroeconomic surprises and short-term behaviour in bond futures 283
6 Conclusions
Movements in intra-day bond prices are produced by small shocks, with effects that
stand in the market for few hours. These shocks can be, among others, political
events, natural catastrophes, rumours, macroeconomic releases, etc. Among all, the
macroeconomic releases are the only ones that arrive to the market systematically
every week, month or quarter. And as their arrival time is known with certitude,
agents can form systematic expectations about them. If a macroeconomic release is
far from the expected number, agents will react.
Results in this paper show that traders react when the forecasting error varies
from zero. The reaction to a positive or negative forecasting error is different and,
most importantly, the reaction varies significantly depending on the momentum of
the economic cycle. We also find that the time of the release matters and the closer
it is to the covering period, the more effect it has on the bond future.
Acknowledgements I thank the participants in the CORE seminar, Sébastien Laurent, Winfried
Pohlmeier and an anonymous referee for useful discussions and remarks. Special acknowledgment
to Eugene Durenard, at the time proprietary fixed income trader in Credit Suisse First
Boston, from who I learnt so much during my short internship at CSFB. The author acknowledges
financial support from Credit Suisse Group and the Université catholique de Louvain (project
11000131) in the period this article was written. This text presents research results of the Belgian
Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister’s
Office, Science Policy Programming. The scientific responsibility is assumed by the author.
1 Appendix