When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions

Published

Journal Article

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news during expansions and recessions. We find that macroeconomic announcements are most important when they contain bad news for bond returns in expansions and, to a lesser extent, good news in contractions. In expansions, the bond market responds most strongly to bad news in non-farm payrolls, while in recessions good news about inflation is relatively more important. We also document that macroeconomic news impacts the volatility of bond returns at all maturities by increasing jump intensities and altering the jump size distribution.

Full Text

Duke Authors

Cited Authors

  • Beber, A; Brandt, MW

Published Date

  • January 1, 2010

Published In

Volume / Issue

  • 14 / 1

Start / End Page

  • 119 - 155

Electronic International Standard Serial Number (EISSN)

  • 1573-692X

International Standard Serial Number (ISSN)

  • 1572-3097

Digital Object Identifier (DOI)

  • 10.1093/rof/rfp006

Citation Source

  • Scopus