Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures

This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline gures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to nd out which releases have a signi cant impact on prices and volatility in nancial markets, considerably less e ort has been devoted to the question what makes some releases important in contrast to others that seem to attract no attention at all. In order to identify the factors determining the relative importance of releases, the time series properties and the information content of the macroeconomic news ow are investigated. In particular, several types of information regarding in ation and economic strength are distinguished. The explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. The results indicate that the value of the information contained in a release decreases with the number of previously released gures highlighting similar aspects. Thus, the price impact of a release decreases as the additional information contained in a release becomes smaller.