When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions
Publication
, Journal Article
Beber, A; Brandt, MW
Published in: Review of Finance
January 1, 2010
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.
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Published In
Review of Finance
DOI
EISSN
1573-692X
ISSN
1572-3097
Publication Date
January 1, 2010
Volume
14
Issue
1
Start / End Page
119 / 155
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability
Citation
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Beber, A., & Brandt, M. W. (2010). When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions. Review of Finance, 14(1), 119–155. https://doi.org/10.1093/rof/rfp006
Beber, A., and M. W. Brandt. “When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions.” Review of Finance 14, no. 1 (January 1, 2010): 119–55. https://doi.org/10.1093/rof/rfp006.
Beber A, Brandt MW. When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions. Review of Finance. 2010 Jan 1;14(1):119–55.
Beber, A., and M. W. Brandt. “When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions.” Review of Finance, vol. 14, no. 1, Jan. 2010, pp. 119–55. Scopus, doi:10.1093/rof/rfp006.
Beber A, Brandt MW. When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions. Review of Finance. 2010 Jan 1;14(1):119–155.
Published In
Review of Finance
DOI
EISSN
1573-692X
ISSN
1572-3097
Publication Date
January 1, 2010
Volume
14
Issue
1
Start / End Page
119 / 155
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability