MACROECONOMIC NEWS AND BOND MARKET VOLATILITY

We examine the reaction of daily Treasury bond prices to the release o f U.S. macroeconomic news. These news releases (of employment and prod ucer price index data) are of interest because they are released on pe riodic, preannounced dates and because they are associated with substa ntial bond market volatility. We investigate whether these nonautocorr elated announcements give rise to autocorrelated volatility. We find t hat announcement-day volatility does not persist at all, consistent wi th the immediate incorporation of information into prices. We also fin d a risk premium on these release dates. (C) 1998 Elsevier Science S.A . All rights reserved.