The Responses of Interest Rate Spreads to Information Releases

The Responses of Interest Rate Spreads to Information Releases This study examines the responses of three popular futures interest-rate spreads--the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. We find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. We also find that the spreads take time to adjust to news in the announcements. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The Responses of Interest Rate Spreads to Information Releases

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2001 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1011243509145
Publisher site
See Article on Publisher Site

Abstract

This study examines the responses of three popular futures interest-rate spreads--the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. We find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. We also find that the spreads take time to adjust to news in the announcements.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 3, 2004

References

  • Liquidity and Maturity Effects Around News Releases
    Christie-David, R.; Chaudhry, M.
  • The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model
    Diebold, F. X.; Nerlove, M.
  • How Markets Process Information: News Releases and Volatility
    Ederington, L. H.; Lee, J. H.

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