Publication detail

The Impact of Macroeconomic News on Polish and Czech Government Bond Markets

Author(s):
Type: IES Working Papers
Year: 2015
Number: 12
ISSN / ISBN:
Published in: IES Working Papers 12/2015
Publishing place: Prague
Keywords: macroeconomic news, government bond market, intraday data, event study, GARCH, CEE
JEL codes: C22, C82, G12
Suggested Citation: Pistora V., Hausenblas V. (2015). “ The Impact of Macroeconomic News on Polish and Czech Government Bond Markets” IES Working Paper 12/2015. IES FSV. Charles University.
Grants: Macroeconomic news and their impact on sovereign credit risk premia
Abstract: We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under different stages of the business cycle. We find that the Polish government bonds prices respond to several domestic indicators in a manner consistent with research from mature markets: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in prices during the first hour since the release time. We could find much fewer systematic patterns for the Czech government bond market where any response was delayed. In both countries, the impact of GDP was found to vary between different stages of the business cycle.
Downloadable: wp_2015_12_pistora_hausenblas
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