Macroannouncements, bond auctions and rating actions in the European government bond spreads
This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify the impa...
Saved in:
Published in | Journal of international money and finance Vol. 53; pp. 148 - 173 |
---|---|
Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Kidlington
Elsevier Ltd
01.05.2015
Elsevier Science Ltd |
Subjects | |
Online Access | Get full text |
Cover
Loading…
Abstract | This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect. No role is played by rating actions.
•We investigate the impact of market movers on European government bond spreads.•We evaluate both pre- and post- announcement effects.•Real economy and forward looking news releases from US and Euro area play a role.•Government bond auctions in distressed countries are relevant.•No role is played by rating actions. |
---|---|
AbstractList | This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect. No role is played by rating actions.
•We investigate the impact of market movers on European government bond spreads.•We evaluate both pre- and post- announcement effects.•Real economy and forward looking news releases from US and Euro area play a role.•Government bond auctions in distressed countries are relevant.•No role is played by rating actions. This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009-05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect. No role is played by rating actions. |
Author | Boffelli, Simona Urga, Giovanni |
Author_xml | – sequence: 1 givenname: Simona surname: Boffelli fullname: Boffelli, Simona organization: Bergamo University, Italy – sequence: 2 givenname: Giovanni surname: Urga fullname: Urga, Giovanni email: G.Urga@city.ac.uk organization: Bergamo University, Italy |
BookMark | eNqFkMFO3DAQhq2KSiy0r4Ai9cKBhHHs2M6NCtGCBOICt0rWrDOhjnbtrZ0g9e3r1cKlF06jGX3_aOY7YUchBmLsjEPDgavLqZn8NobRh6YF3jXAGwD5ia240aIGJfojtoJW8bpToI7ZSc4TACglzIr9ekCXIoYQl-BoS2HOF9U6hqHCxc0-hlxhaRLOPrxU-DbyoZp_U3WzpLgjDNVLfKUU9ulDNu8S4ZC_sM8jbjJ9faun7PnHzdP1bX3_-PPu-vt97aTp5lppJwSMQqJBLanvNPbdIIkLQjmMpDtScgBEowbjFLp-LUj3667jptXGiFN2fti7S_HPQnm2W58dbTYYKC7ZcmUEGJBSFPTbf-gUlxTKdYXSrRItaFkodaCKm5wTjXaX_BbTX8vB7qXbyb5Lt3vpFrgt0kvw6hCk8u6rp2Sz81TMDj6Rm-0Q_Ucr_gElX5Cw |
CitedBy_id | crossref_primary_10_1016_j_jimonfin_2021_102473 crossref_primary_10_5547_01956574_40_1_lmen crossref_primary_10_1016_j_jempfin_2019_01_004 crossref_primary_10_1080_1351847X_2017_1285797 crossref_primary_10_3390_e25040630 crossref_primary_10_1080_07350015_2023_2271039 crossref_primary_10_2139_ssrn_4558472 crossref_primary_10_1016_j_eneco_2019_03_020 crossref_primary_10_22495_cocv13i3c2p9 |
Cites_doi | 10.1017/S0022109010000785 10.1093/rfs/hhj033 10.1016/j.jinteco.2007.02.004 10.1016/j.jempfin.2010.11.005 10.1257/0002828053828446 10.1016/j.jeconom.2010.07.009 10.1016/j.csda.2006.09.030 10.1080/07474939808800404 10.1016/j.jempfin.2008.12.002 10.1016/j.irfa.2011.10.002 10.2307/2676223 10.1080/07350015.2012.663250 10.1111/j.1540-6261.2012.01782.x 10.1111/0022-1082.85732 10.1111/j.1540-6261.1983.tb02303.x 10.1016/j.jebo.2011.12.007 10.1111/j.1468-0475.2008.00439.x 10.1016/j.jbankfin.2005.09.014 10.1257/000282803321455151 10.1016/j.jbankfin.2010.10.009 10.1002/jae.1149 10.1016/j.jfineco.2012.10.011 10.1016/j.gfj.2006.10.001 10.1016/j.sbspro.2012.09.1150 10.1111/j.1468-5957.2010.02220.x 10.1016/j.jimonfin.2012.01.016 10.1016/j.ecosys.2007.05.002 10.1016/j.jeconom.2006.05.018 10.1016/j.jmoneco.2009.06.005 10.1093/rfs/hhm056 |
ContentType | Journal Article |
Copyright | 2015 Elsevier Ltd Copyright Elsevier Science Ltd. May 2015 |
Copyright_xml | – notice: 2015 Elsevier Ltd – notice: Copyright Elsevier Science Ltd. May 2015 |
DBID | AAYXX CITATION 8BJ FQK JBE |
DOI | 10.1016/j.jimonfin.2015.01.004 |
DatabaseName | CrossRef International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences International Bibliography of the Social Sciences |
DatabaseTitle | CrossRef International Bibliography of the Social Sciences (IBSS) |
DatabaseTitleList | International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences (IBSS) |
DeliveryMethod | fulltext_linktorsrc |
Discipline | Business Government |
EISSN | 1873-0639 |
EndPage | 173 |
ExternalDocumentID | 3652776131 10_1016_j_jimonfin_2015_01_004 S0261560615000066 |
Genre | Feature |
GeographicLocations | Europe |
GeographicLocations_xml | – name: Europe |
GroupedDBID | --K --M -~X .L6 .~1 0R~ 186 1B1 1OL 1RT 1~. 1~5 29K 3R3 4.4 41~ 457 4G. 5GY 5VS 63O 7-5 71M 8P~ 96U 9JO AABNK AACTN AAEDT AAEDW AAFFL AAIAV AAIKC AAIKJ AAKOC AALRI AAMNW AAOAW AAPFB AAQFI AAQXK AAXUO ABJNI ABLJU ABMAC ABPPZ ABXDB ABYKQ ACBMB ACDAQ ACGFS ACHQT ACNCT ACRLP ACROA ADBBV ADEZE ADFHU ADMUD AEBSH AEKER AEYQN AFAZI AFFNX AFKWA AFODL AFTJW AGHFR AGTHC AGUBO AGYEJ AHHHB AIEXJ AIIAU AIKHN AITUG AJBFU AJOXV AJWLA ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ ASPBG AVWKF AXJTR AXLSJ AZFZN BEHZQ BEZPJ BGSCR BKOJK BKOMP BLXMC BNTGB BPUDD BULVW BZJEE CS3 D-I DU5 EBS EFJIC EFLBG EJD EO8 EO9 EP2 EP3 F8P FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HLX HMB HVGLF HZ~ H~9 IHE IXIXF J1W KOM LG8 LPU LXL LXN LXZ LY5 M41 MO0 MS~ MVM N9A O-L O9- OAUVE OZT P-8 P-9 PC. PQQKQ Q38 R2- RIG ROL RPZ RXW SBM SDF SDG SDP SEB SEE SES SEW SPCBC SSB SSF SSZ T5K TAE TN5 TQQ U5U UQL WH7 WUQ XSW XYO YK3 YQT ZKB ZRQ ~G- AAXKI AAYXX AFJKZ AKRWK CITATION 8BJ ADMHG FQK JBE |
ID | FETCH-LOGICAL-c485t-67c330f34a8a74e957a95d4e13ea4dfe75e64d0aa86d8c6ac9b3e79b551827883 |
IEDL.DBID | AIKHN |
ISSN | 0261-5606 |
IngestDate | Thu Aug 15 23:48:46 EDT 2024 Thu Oct 10 19:59:21 EDT 2024 Thu Sep 26 17:23:36 EDT 2024 Fri Feb 23 02:30:13 EST 2024 |
IsDoiOpenAccess | false |
IsOpenAccess | true |
IsPeerReviewed | true |
IsScholarly | true |
Keywords | Cojumps Rating actions H63 C12 Government bond auctions C58 Government bond spreads Macroannouncements G24 Jumps |
Language | English |
LinkModel | DirectLink |
MergedId | FETCHMERGED-LOGICAL-c485t-67c330f34a8a74e957a95d4e13ea4dfe75e64d0aa86d8c6ac9b3e79b551827883 |
Notes | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23 |
OpenAccessLink | https://openaccess.city.ac.uk/id/eprint/6973/1/Boffelli%20%26%20Urga%20%282015%2C%20manuscript%20accepted%29.pdf |
PQID | 1672632074 |
PQPubID | 37222 |
PageCount | 26 |
ParticipantIDs | proquest_miscellaneous_1683080443 proquest_journals_1672632074 crossref_primary_10_1016_j_jimonfin_2015_01_004 elsevier_sciencedirect_doi_10_1016_j_jimonfin_2015_01_004 |
PublicationCentury | 2000 |
PublicationDate | 2015-05-01 |
PublicationDateYYYYMMDD | 2015-05-01 |
PublicationDate_xml | – month: 05 year: 2015 text: 2015-05-01 day: 01 |
PublicationDecade | 2010 |
PublicationPlace | Kidlington |
PublicationPlace_xml | – name: Kidlington |
PublicationTitle | Journal of international money and finance |
PublicationYear | 2015 |
Publisher | Elsevier Ltd Elsevier Science Ltd |
Publisher_xml | – name: Elsevier Ltd – name: Elsevier Science Ltd |
References | Akdemir, Karsli (bib2) 2012; 58 Pearce, Roley (bib32) 1983; 38 Pearce, Roley (bib33) 1985; 58 Jain (bib25) 1988; 61 Alsakka, Gwilym (bib4) 2013; 85 Dumitru, Urga (bib17) 2012; 30 Hooper, Hume, Kim (bib24) 2008; 32 Fleming, Remolona (bib20) 1997; vol. 3 Boudt, Croux, Laurent (bib13) 2011; 18 Lahaye, Laurent, Neely (bib28) 2011; 26 Andersen, Bollerslev, Dobrev (bib7) 2007; 138 Lee, Mykland (bib29) 2008; 21 Afonso, Furceri, Gomes (bib1) 2012; 31 Andersen, Bollerslev, Diebold, Vega (bib6) 2003; 93 Rangel (bib35) 2011; 35 Calzolari, Fiorentini (bib15) 1998; 17 Pukthuanthong-Le, Elayan, Rose (bib34) 2007; 18 Brownlees, Gallo (bib14) 2006; 51 Miao, Ramchander, Zumwalt (bib38) 2012 Wongswan (bib37) 2006; 19 Gurkaynak, Sack, Swanson (bib21) 2005; 95 Lu, Wu (bib30) 2009; 56 M. Fleming, M. Piazzesi, Monetary Policy Tick-by-tick, in Market Microstructure Meeting, National Bureau of Economic Research, Inc. Tomz, King, Zeng (bib36) 2003; 8 de Goeij, Marquering (bib16) 2006; 30 Beechey, Wright (bib12) 2009; 56 Andersson, Hansen, Sebestyén (bib9) 2009; 10 Balduzzi, Elton, Green (bib10) 2001; 36 Alsakka, Gwilym (bib3) 2012; 21 Dungey, McKenzie, Smith (bib18) 2008; 16 Jiang, Lo, Verdelhan (bib26) 2011; 46 He, Qian, Strahan (bib22) 2012; 6 J. Kiff, S. Nowak, L. Schumacher, Are Rating Agencies Powerful? an Investigation into the Impact and Accuracy of Sovereign Ratings, IMF Working Paper 12/23. Andersen, Bollerslev, Diebold, Vega (bib8) 2007; 73 Barndorff-Nielsen, Hansen, Lunde, Shephard (bib11) 2011; 162 Hill, Faff (bib23) 2010; 37 Andersen, Bollerslev (bib5) 1998; 53 Opp, Opp, Harris (bib31) 2013; 108 Andersson (10.1016/j.jimonfin.2015.01.004_bib9) 2009; 10 Boudt (10.1016/j.jimonfin.2015.01.004_bib13) 2011; 18 Pearce (10.1016/j.jimonfin.2015.01.004_bib33) 1985; 58 Pearce (10.1016/j.jimonfin.2015.01.004_bib32) 1983; 38 Andersen (10.1016/j.jimonfin.2015.01.004_bib5) 1998; 53 10.1016/j.jimonfin.2015.01.004_bib27 Hill (10.1016/j.jimonfin.2015.01.004_bib23) 2010; 37 Fleming (10.1016/j.jimonfin.2015.01.004_bib20) 1997; vol. 3 Jiang (10.1016/j.jimonfin.2015.01.004_bib26) 2011; 46 Miao (10.1016/j.jimonfin.2015.01.004_bib38) 2012 Andersen (10.1016/j.jimonfin.2015.01.004_bib8) 2007; 73 Brownlees (10.1016/j.jimonfin.2015.01.004_bib14) 2006; 51 Hooper (10.1016/j.jimonfin.2015.01.004_bib24) 2008; 32 Tomz (10.1016/j.jimonfin.2015.01.004_bib36) 2003; 8 Andersen (10.1016/j.jimonfin.2015.01.004_bib6) 2003; 93 He (10.1016/j.jimonfin.2015.01.004_bib22) 2012; 6 Alsakka (10.1016/j.jimonfin.2015.01.004_bib3) 2012; 21 Calzolari (10.1016/j.jimonfin.2015.01.004_bib15) 1998; 17 Wongswan (10.1016/j.jimonfin.2015.01.004_bib37) 2006; 19 Jain (10.1016/j.jimonfin.2015.01.004_bib25) 1988; 61 Pukthuanthong-Le (10.1016/j.jimonfin.2015.01.004_bib34) 2007; 18 Andersen (10.1016/j.jimonfin.2015.01.004_bib7) 2007; 138 de Goeij (10.1016/j.jimonfin.2015.01.004_bib16) 2006; 30 Dungey (10.1016/j.jimonfin.2015.01.004_bib18) 2008; 16 Lee (10.1016/j.jimonfin.2015.01.004_bib29) 2008; 21 Alsakka (10.1016/j.jimonfin.2015.01.004_bib4) 2013; 85 Lu (10.1016/j.jimonfin.2015.01.004_bib30) 2009; 56 Akdemir (10.1016/j.jimonfin.2015.01.004_bib2) 2012; 58 Dumitru (10.1016/j.jimonfin.2015.01.004_bib17) 2012; 30 10.1016/j.jimonfin.2015.01.004_bib19 Afonso (10.1016/j.jimonfin.2015.01.004_bib1) 2012; 31 Lahaye (10.1016/j.jimonfin.2015.01.004_bib28) 2011; 26 Barndorff-Nielsen (10.1016/j.jimonfin.2015.01.004_bib11) 2011; 162 Gurkaynak (10.1016/j.jimonfin.2015.01.004_bib21) 2005; 95 Rangel (10.1016/j.jimonfin.2015.01.004_bib35) 2011; 35 Beechey (10.1016/j.jimonfin.2015.01.004_bib12) 2009; 56 Opp (10.1016/j.jimonfin.2015.01.004_bib31) 2013; 108 Balduzzi (10.1016/j.jimonfin.2015.01.004_bib10) 2001; 36 |
References_xml | – volume: 56 start-page: 872 year: 2009 end-page: 884 ident: bib30 article-title: Macroeconomic releases and the interest rate term structure publication-title: J. Monet. Econ. contributor: fullname: Wu – volume: 85 start-page: 144 year: 2013 end-page: 162 ident: bib4 article-title: Rating agencies's signals during the european sovereign debt crisis: market impact and spillover publication-title: J. Econ. Behav. Organ. contributor: fullname: Gwilym – volume: 95 start-page: 425 year: 2005 end-page: 436 ident: bib21 article-title: The sensitivity of long-term interest rates to economic news: evidence and implications for macroeconomic models publication-title: Am. Econ. Rev. contributor: fullname: Swanson – volume: 18 start-page: 47 year: 2007 end-page: 83 ident: bib34 article-title: Equity and debt market responses to sovereign credit ratings announcements publication-title: Glob. Financ. J. contributor: fullname: Rose – volume: 36 start-page: 523 year: 2001 end-page: 543 ident: bib10 article-title: Economic news and bond prices: evidence from the u.s. treasury market publication-title: J. Financ. Quant. Anal. contributor: fullname: Green – volume: 58 start-page: 49 year: 1985 end-page: 67 ident: bib33 article-title: Stock prices and economic news publication-title: J. Bus. contributor: fullname: Roley – volume: 19 start-page: 1157 year: 2006 end-page: 1189 ident: bib37 article-title: Transmission of information across international equity markets publication-title: Rev. Financ. Stud. contributor: fullname: Wongswan – volume: 31 start-page: 606 year: 2012 end-page: 638 ident: bib1 article-title: Sovereign credit ratings and financial markets linkages: application to european data publication-title: J. Int. Money Financ. contributor: fullname: Gomes – volume: 46 start-page: 527 year: 2011 end-page: 551 ident: bib26 article-title: Information shocks, liquidity shocks, jumps, and price discovery: evidence from the u.s. treasury market publication-title: J. Financ. Quant. Anal. contributor: fullname: Verdelhan – volume: 8 start-page: 137 year: 2003 end-page: 163 ident: bib36 article-title: Relogit: rare events logistic regression publication-title: J. Stat. Softw. contributor: fullname: Zeng – volume: 30 start-page: 2659 year: 2006 end-page: 2680 ident: bib16 article-title: Macroeconomic announcements and asymmetric volatility in bond returns publication-title: J. Bank. Financ. contributor: fullname: Marquering – volume: vol. 3 start-page: 31 year: 1997 end-page: 50 ident: bib20 publication-title: What Moves the Bond Market? contributor: fullname: Remolona – volume: 93 start-page: 38 year: 2003 end-page: 62 ident: bib6 article-title: Micro effects of macro announcements: real-time price discovery in foreign exchange publication-title: Am. Econ. Rev. contributor: fullname: Vega – volume: 18 start-page: 353 year: 2011 end-page: 367 ident: bib13 article-title: Robust estimation of intraweek periodicity in volatility and jump detection publication-title: J. Empir. Financ. contributor: fullname: Laurent – volume: 58 start-page: 1628 year: 2012 end-page: 1639 ident: bib2 article-title: An assessment of strategic importance of credit rating agencies for companies and organizations publication-title: Proc. Soc. Behav. Sci. contributor: fullname: Karsli – volume: 10 start-page: 1 year: 2009 end-page: 31 ident: bib9 article-title: Which news move the euro area bond market? publication-title: Ger. Econ. Rev. contributor: fullname: Sebestyén – volume: 37 start-page: 1309 year: 2010 end-page: 1347 ident: bib23 article-title: The market impact of relative agency activity in the sovereign ratings market publication-title: J. Bus. Financ. Account. contributor: fullname: Faff – volume: 61 start-page: 219 year: 1988 end-page: 231 ident: bib25 article-title: Response of hourly stock prices and trading volume to economic news publication-title: J. Bus. contributor: fullname: Jain – volume: 6 start-page: 2097 year: 2012 end-page: 2137 ident: bib22 article-title: Are all ratings created equal? the impact of issuer size on the pricing of mortgage-backed securities publication-title: J. Financ. contributor: fullname: Strahan – volume: 35 start-page: 1263 year: 2011 end-page: 1276 ident: bib35 article-title: Macroeconomic news, announcements, and stock market jump intensity dynamics publication-title: J. Bank. Financ. contributor: fullname: Rangel – volume: 21 start-page: 45 year: 2012 end-page: 55 ident: bib3 article-title: Rating agencies credit signals: an analysis of sovereign watch and outlook publication-title: Int. Rev. Financ. Anal. contributor: fullname: Gwilym – volume: 32 start-page: 142 year: 2008 end-page: 166 ident: bib24 article-title: Sovereign rating changes - do they provide new information for stock markets? publication-title: Econ. Syst. contributor: fullname: Kim – volume: 108 start-page: 46 year: 2013 end-page: 61 ident: bib31 article-title: Rating agencies in the face of regulation publication-title: J. Financ. Econ. contributor: fullname: Harris – volume: 38 start-page: 1323 year: 1983 end-page: 1333 ident: bib32 article-title: The reaction of stock prices to unanticipated changes in money: a note publication-title: J. Financ. contributor: fullname: Roley – volume: 53 start-page: 219 year: 1998 end-page: 265 ident: bib5 article-title: Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements and longer run dependencies publication-title: J. Financ. contributor: fullname: Bollerslev – volume: 73 start-page: 251 year: 2007 end-page: 277 ident: bib8 article-title: Real-time price discovery in stock, bond and foreign exchange markets publication-title: J. Int. Econ. contributor: fullname: Vega – volume: 56 start-page: 535 year: 2009 end-page: 544 ident: bib12 article-title: The high-frequency impact of news on long-term yields and forward rates: is it real? publication-title: J. Econ. contributor: fullname: Wright – volume: 162 start-page: 149 year: 2011 end-page: 169 ident: bib11 article-title: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading publication-title: J. Econ. contributor: fullname: Shephard – volume: 26 start-page: 893 year: 2011 end-page: 921 ident: bib28 article-title: Jumps, cojumps and macro announcements publication-title: J. Appl. Econ. contributor: fullname: Neely – volume: 21 start-page: 2535 year: 2008 end-page: 2563 ident: bib29 article-title: Jumps in financial markets. a new non parametric test and jump dynamics publication-title: Rev. Financ. Stud. contributor: fullname: Mykland – year: 2012 ident: bib38 article-title: Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Returns contributor: fullname: Zumwalt – volume: 51 start-page: 2232 year: 2006 end-page: 2245 ident: bib14 article-title: Financial econometric analysis at ultra-high frequency: data handling concerns publication-title: Comput. Stat. Data Anal. contributor: fullname: Gallo – volume: 138 start-page: 125 year: 2007 end-page: 180 ident: bib7 article-title: No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications publication-title: J. Econ. contributor: fullname: Dobrev – volume: 16 start-page: 430 year: 2008 end-page: 445 ident: bib18 article-title: Empirical evidence on jumps in the term structure of the us treasury market publication-title: J. Empir. Financ. contributor: fullname: Smith – volume: 17 start-page: 85 year: 1998 end-page: 104 ident: bib15 article-title: A tobit model with garch errors publication-title: Econ. Rev. contributor: fullname: Fiorentini – volume: 30 start-page: 242 year: 2012 end-page: 255 ident: bib17 article-title: Identifying jumps in financial assets a comparison between tests publication-title: J. Bus. Econ. Stat. contributor: fullname: Urga – volume: 46 start-page: 527 year: 2011 ident: 10.1016/j.jimonfin.2015.01.004_bib26 article-title: Information shocks, liquidity shocks, jumps, and price discovery: evidence from the u.s. treasury market publication-title: J. Financ. Quant. Anal. doi: 10.1017/S0022109010000785 contributor: fullname: Jiang – volume: 19 start-page: 1157 year: 2006 ident: 10.1016/j.jimonfin.2015.01.004_bib37 article-title: Transmission of information across international equity markets publication-title: Rev. Financ. Stud. doi: 10.1093/rfs/hhj033 contributor: fullname: Wongswan – volume: 73 start-page: 251 year: 2007 ident: 10.1016/j.jimonfin.2015.01.004_bib8 article-title: Real-time price discovery in stock, bond and foreign exchange markets publication-title: J. Int. Econ. doi: 10.1016/j.jinteco.2007.02.004 contributor: fullname: Andersen – volume: 18 start-page: 353 year: 2011 ident: 10.1016/j.jimonfin.2015.01.004_bib13 article-title: Robust estimation of intraweek periodicity in volatility and jump detection publication-title: J. Empir. Financ. doi: 10.1016/j.jempfin.2010.11.005 contributor: fullname: Boudt – volume: 95 start-page: 425 year: 2005 ident: 10.1016/j.jimonfin.2015.01.004_bib21 article-title: The sensitivity of long-term interest rates to economic news: evidence and implications for macroeconomic models publication-title: Am. Econ. Rev. doi: 10.1257/0002828053828446 contributor: fullname: Gurkaynak – volume: 162 start-page: 149 year: 2011 ident: 10.1016/j.jimonfin.2015.01.004_bib11 article-title: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading publication-title: J. Econ. doi: 10.1016/j.jeconom.2010.07.009 contributor: fullname: Barndorff-Nielsen – volume: 8 start-page: 137 year: 2003 ident: 10.1016/j.jimonfin.2015.01.004_bib36 article-title: Relogit: rare events logistic regression publication-title: J. Stat. Softw. contributor: fullname: Tomz – volume: 51 start-page: 2232 year: 2006 ident: 10.1016/j.jimonfin.2015.01.004_bib14 article-title: Financial econometric analysis at ultra-high frequency: data handling concerns publication-title: Comput. Stat. Data Anal. doi: 10.1016/j.csda.2006.09.030 contributor: fullname: Brownlees – volume: 17 start-page: 85 year: 1998 ident: 10.1016/j.jimonfin.2015.01.004_bib15 article-title: A tobit model with garch errors publication-title: Econ. Rev. doi: 10.1080/07474939808800404 contributor: fullname: Calzolari – volume: 16 start-page: 430 year: 2008 ident: 10.1016/j.jimonfin.2015.01.004_bib18 article-title: Empirical evidence on jumps in the term structure of the us treasury market publication-title: J. Empir. Financ. doi: 10.1016/j.jempfin.2008.12.002 contributor: fullname: Dungey – year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib38 contributor: fullname: Miao – volume: 21 start-page: 45 year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib3 article-title: Rating agencies credit signals: an analysis of sovereign watch and outlook publication-title: Int. Rev. Financ. Anal. doi: 10.1016/j.irfa.2011.10.002 contributor: fullname: Alsakka – volume: 36 start-page: 523 year: 2001 ident: 10.1016/j.jimonfin.2015.01.004_bib10 article-title: Economic news and bond prices: evidence from the u.s. treasury market publication-title: J. Financ. Quant. Anal. doi: 10.2307/2676223 contributor: fullname: Balduzzi – volume: 30 start-page: 242 year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib17 article-title: Identifying jumps in financial assets a comparison between tests publication-title: J. Bus. Econ. Stat. doi: 10.1080/07350015.2012.663250 contributor: fullname: Dumitru – ident: 10.1016/j.jimonfin.2015.01.004_bib19 – volume: 6 start-page: 2097 year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib22 article-title: Are all ratings created equal? the impact of issuer size on the pricing of mortgage-backed securities publication-title: J. Financ. doi: 10.1111/j.1540-6261.2012.01782.x contributor: fullname: He – volume: 53 start-page: 219 year: 1998 ident: 10.1016/j.jimonfin.2015.01.004_bib5 article-title: Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements and longer run dependencies publication-title: J. Financ. doi: 10.1111/0022-1082.85732 contributor: fullname: Andersen – volume: 38 start-page: 1323 year: 1983 ident: 10.1016/j.jimonfin.2015.01.004_bib32 article-title: The reaction of stock prices to unanticipated changes in money: a note publication-title: J. Financ. doi: 10.1111/j.1540-6261.1983.tb02303.x contributor: fullname: Pearce – volume: vol. 3 start-page: 31 year: 1997 ident: 10.1016/j.jimonfin.2015.01.004_bib20 contributor: fullname: Fleming – volume: 85 start-page: 144 year: 2013 ident: 10.1016/j.jimonfin.2015.01.004_bib4 article-title: Rating agencies's signals during the european sovereign debt crisis: market impact and spillover publication-title: J. Econ. Behav. Organ. doi: 10.1016/j.jebo.2011.12.007 contributor: fullname: Alsakka – volume: 10 start-page: 1 year: 2009 ident: 10.1016/j.jimonfin.2015.01.004_bib9 article-title: Which news move the euro area bond market? publication-title: Ger. Econ. Rev. doi: 10.1111/j.1468-0475.2008.00439.x contributor: fullname: Andersson – volume: 30 start-page: 2659 year: 2006 ident: 10.1016/j.jimonfin.2015.01.004_bib16 article-title: Macroeconomic announcements and asymmetric volatility in bond returns publication-title: J. Bank. Financ. doi: 10.1016/j.jbankfin.2005.09.014 contributor: fullname: de Goeij – volume: 93 start-page: 38 year: 2003 ident: 10.1016/j.jimonfin.2015.01.004_bib6 article-title: Micro effects of macro announcements: real-time price discovery in foreign exchange publication-title: Am. Econ. Rev. doi: 10.1257/000282803321455151 contributor: fullname: Andersen – volume: 35 start-page: 1263 year: 2011 ident: 10.1016/j.jimonfin.2015.01.004_bib35 article-title: Macroeconomic news, announcements, and stock market jump intensity dynamics publication-title: J. Bank. Financ. doi: 10.1016/j.jbankfin.2010.10.009 contributor: fullname: Rangel – volume: 26 start-page: 893 year: 2011 ident: 10.1016/j.jimonfin.2015.01.004_bib28 article-title: Jumps, cojumps and macro announcements publication-title: J. Appl. Econ. doi: 10.1002/jae.1149 contributor: fullname: Lahaye – volume: 108 start-page: 46 year: 2013 ident: 10.1016/j.jimonfin.2015.01.004_bib31 article-title: Rating agencies in the face of regulation publication-title: J. Financ. Econ. doi: 10.1016/j.jfineco.2012.10.011 contributor: fullname: Opp – volume: 58 start-page: 49 year: 1985 ident: 10.1016/j.jimonfin.2015.01.004_bib33 article-title: Stock prices and economic news publication-title: J. Bus. contributor: fullname: Pearce – volume: 18 start-page: 47 year: 2007 ident: 10.1016/j.jimonfin.2015.01.004_bib34 article-title: Equity and debt market responses to sovereign credit ratings announcements publication-title: Glob. Financ. J. doi: 10.1016/j.gfj.2006.10.001 contributor: fullname: Pukthuanthong-Le – volume: 58 start-page: 1628 year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib2 article-title: An assessment of strategic importance of credit rating agencies for companies and organizations publication-title: Proc. Soc. Behav. Sci. doi: 10.1016/j.sbspro.2012.09.1150 contributor: fullname: Akdemir – volume: 61 start-page: 219 year: 1988 ident: 10.1016/j.jimonfin.2015.01.004_bib25 article-title: Response of hourly stock prices and trading volume to economic news publication-title: J. Bus. contributor: fullname: Jain – volume: 37 start-page: 1309 year: 2010 ident: 10.1016/j.jimonfin.2015.01.004_bib23 article-title: The market impact of relative agency activity in the sovereign ratings market publication-title: J. Bus. Financ. Account. doi: 10.1111/j.1468-5957.2010.02220.x contributor: fullname: Hill – volume: 31 start-page: 606 year: 2012 ident: 10.1016/j.jimonfin.2015.01.004_bib1 article-title: Sovereign credit ratings and financial markets linkages: application to european data publication-title: J. Int. Money Financ. doi: 10.1016/j.jimonfin.2012.01.016 contributor: fullname: Afonso – ident: 10.1016/j.jimonfin.2015.01.004_bib27 – volume: 32 start-page: 142 year: 2008 ident: 10.1016/j.jimonfin.2015.01.004_bib24 article-title: Sovereign rating changes - do they provide new information for stock markets? publication-title: Econ. Syst. doi: 10.1016/j.ecosys.2007.05.002 contributor: fullname: Hooper – volume: 138 start-page: 125 year: 2007 ident: 10.1016/j.jimonfin.2015.01.004_bib7 article-title: No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications publication-title: J. Econ. doi: 10.1016/j.jeconom.2006.05.018 contributor: fullname: Andersen – volume: 56 start-page: 872 year: 2009 ident: 10.1016/j.jimonfin.2015.01.004_bib30 article-title: Macroeconomic releases and the interest rate term structure publication-title: J. Monet. Econ. doi: 10.1016/j.jmoneco.2009.06.005 contributor: fullname: Lu – volume: 56 start-page: 535 year: 2009 ident: 10.1016/j.jimonfin.2015.01.004_bib12 article-title: The high-frequency impact of news on long-term yields and forward rates: is it real? publication-title: J. Econ. contributor: fullname: Beechey – volume: 21 start-page: 2535 year: 2008 ident: 10.1016/j.jimonfin.2015.01.004_bib29 article-title: Jumps in financial markets. a new non parametric test and jump dynamics publication-title: Rev. Financ. Stud. doi: 10.1093/rfs/hhm056 contributor: fullname: Lee |
SSID | ssj0006638 |
Score | 2.2148116 |
Snippet | This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium,... |
SourceID | proquest crossref elsevier |
SourceType | Aggregation Database Publisher |
StartPage | 148 |
SubjectTerms | Auctions Bond market Bond ratings Cojumps Economic theory France Germany Government Government bond auctions Government bond spreads Government bonds Impact analysis Jumps Macroannouncements News Public sector Rating actions Spain Spread Studies Western Europe |
Title | Macroannouncements, bond auctions and rating actions in the European government bond spreads |
URI | https://dx.doi.org/10.1016/j.jimonfin.2015.01.004 https://www.proquest.com/docview/1672632074 https://search.proquest.com/docview/1683080443 |
Volume | 53 |
hasFullText | 1 |
inHoldings | 1 |
isFullTextHit | |
isPrint | |
link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV3NS8MwFH-4CeJF_MT5RQSP1q5r2qbHIY6p6EUHOwghadKxHbJht6t_uy9tMlQEDx6bNm35vb7PvvwCcCUTRXNaqEDQwlarGA0klTrINFPadh2yupT99JwOR_RhnIw34NavhbFtlc72Nza9ttZuJHRohovpNHyx2QP6a8toXnvOFmyiO6K0DZv9-8fh89ogo1NlvtRiJ3xZKDy7mSEkppxaKtSoYfB0e7b94qN-WOvaBQ12YcfFjqTfvN4ebGizD1u-df0A3p4E3lAYgxpc1GW_6prIuVFENByxFRF4YGVuJkS4oakhGAQSX5Ynk_Xuu83caoFxpaoOYTS4e70dBm73hKCgLFkGaVbEcbeMqWAiozpPMpGjYHQUa0FVqbNEp1R1hWCpYkUqilzGOsulpWjrYWIcH0HbzI0-BlLmGvU-ZalUmK4oKjFHy8pcaIWWvieKDoQeL75oSDK47x6bcY8wtwjzbsQR4Q7kHlb-TdwcLfmfc8-8HLhTuIpHaWaZ5zEg6sDl-jSqiv3_IYyer-w1LMYAmdL45B-PP4Vte9Q0PZ5Be_m-0ucYmCzlBbRuPqIL9_l9AoE15Sg |
link.rule.ids | 315,786,790,4521,24144,27955,27956,45618,45712 |
linkProvider | Elsevier |
linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV07T8MwED6VIgEL4ikKBYzESEjbOIkzogpUoGWBSgxIlh07VTq4FWlXfjvnJOYlJAbG-JFE3-WeOd8BnMtQ0YSmyhM0tdEqRj1JpfZizZS2WYesDGWPHqLBmN49h88N6LuzMDatspb9lUwvpXU94tdo-vM89x-t94D62lY0LzXnCqxaa8DmdV2-feZ5oEplLtBil385Jjy9nCIgJsttIdRuVb-z7tj2i4b6IatLBXSzBZu15UiuqpfbhoY2O7DmEtd34WUk8IbCGOTftAz6FRdEzowioqoQWxCBF5biZkJEPZQbgiYgcUF5MvnovVvtLeZoVapiD8Y310_9gVf3TvBSysKFF8VpEHSygAomYqqTMBYJkkV3Ay2oynQc6oiqjhAsUiyNRJrIQMeJtAXaeugWB_vQNDOjD4BkiUauj1gkFTorikr00OIsEVqhnO-JtAW-w4vPqxIZ3OWOTblDmFuEeafLEeEWJA5W_o3YHOX4n3vbjg68ZreCd6PY1p1Hc6gFZx_TyCj274cwera0a1iA5jGlweE_Hn8K64On0ZAPbx_uj2DDzlTpj21oLl6X-hhNlIU8KT_Bd4xA5f0 |
openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Macroannouncements%2C+bond+auctions+and+rating+actions+in+the+European+government+bond+spreads&rft.jtitle=Journal+of+international+money+and+finance&rft.au=Boffelli%2C+Simona&rft.au=Urga%2C+Giovanni&rft.date=2015-05-01&rft.pub=Elsevier+Ltd&rft.issn=0261-5606&rft.eissn=1873-0639&rft.volume=53&rft.spage=148&rft.epage=173&rft_id=info:doi/10.1016%2Fj.jimonfin.2015.01.004&rft.externalDocID=S0261560615000066 |
thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0261-5606&client=summon |
thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0261-5606&client=summon |
thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0261-5606&client=summon |