Revelance of macroeconomic announcements for European bonds
Autor(a) principal: | |
---|---|
Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/21774 |
Resumo: | This dissertation uses a recent methodology based on the variation of the 10 years bond bid yields of several Eurozone countries, in a small interval of time following a macroeconomic announcement from 4 different countries or from the Eurozone, in order to determine several things: Are foreign announcements important in terms of explaining the bond variations? How much of the total variation of the 10 year bond bid yields can be explained by the announcements? Are “good” news capable of explaining more of the variation of the bonds than “bad” news? These are all relevant questions to ask as the announcement sources and country bond combinations present in this dissertation are often ignored by the literature. This dissertation find that for this sample, announcements from the USA are the ones with the most explanatory power, explaining on average 8.7%, of the daily variation, furthermore we also find that Eurozone announcements have close to none explanatory power on the daily variation of the 10 years bond bid yields, lastly we find that “good” news have a greater explanatory power then “bad” news. |
id |
RCAP_f72cab0b70d8595091d946a071b391d0 |
---|---|
oai_identifier_str |
oai:repositorio.ucp.pt:10400.14/21774 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Revelance of macroeconomic announcements for European bondsMacroeconomic announcementsEurozoneGovernment bondsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation uses a recent methodology based on the variation of the 10 years bond bid yields of several Eurozone countries, in a small interval of time following a macroeconomic announcement from 4 different countries or from the Eurozone, in order to determine several things: Are foreign announcements important in terms of explaining the bond variations? How much of the total variation of the 10 year bond bid yields can be explained by the announcements? Are “good” news capable of explaining more of the variation of the bonds than “bad” news? These are all relevant questions to ask as the announcement sources and country bond combinations present in this dissertation are often ignored by the literature. This dissertation find that for this sample, announcements from the USA are the ones with the most explanatory power, explaining on average 8.7%, of the daily variation, furthermore we also find that Eurozone announcements have close to none explanatory power on the daily variation of the 10 years bond bid yields, lastly we find that “good” news have a greater explanatory power then “bad” news.Alves, Paulo Alexandre PimentaVeritati - Repositório Institucional da Universidade Católica PortuguesaPereira, João José Vicente Barata Rios2017-03-14T14:47:44Z2016-07-0420162016-07-04T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/21774TID:201463490enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:27:54Zoai:repositorio.ucp.pt:10400.14/21774Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:18:06.641981Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Revelance of macroeconomic announcements for European bonds |
title |
Revelance of macroeconomic announcements for European bonds |
spellingShingle |
Revelance of macroeconomic announcements for European bonds Pereira, João José Vicente Barata Rios Macroeconomic announcements Eurozone Government bonds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Revelance of macroeconomic announcements for European bonds |
title_full |
Revelance of macroeconomic announcements for European bonds |
title_fullStr |
Revelance of macroeconomic announcements for European bonds |
title_full_unstemmed |
Revelance of macroeconomic announcements for European bonds |
title_sort |
Revelance of macroeconomic announcements for European bonds |
author |
Pereira, João José Vicente Barata Rios |
author_facet |
Pereira, João José Vicente Barata Rios |
author_role |
author |
dc.contributor.none.fl_str_mv |
Alves, Paulo Alexandre Pimenta Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Pereira, João José Vicente Barata Rios |
dc.subject.por.fl_str_mv |
Macroeconomic announcements Eurozone Government bonds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Macroeconomic announcements Eurozone Government bonds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This dissertation uses a recent methodology based on the variation of the 10 years bond bid yields of several Eurozone countries, in a small interval of time following a macroeconomic announcement from 4 different countries or from the Eurozone, in order to determine several things: Are foreign announcements important in terms of explaining the bond variations? How much of the total variation of the 10 year bond bid yields can be explained by the announcements? Are “good” news capable of explaining more of the variation of the bonds than “bad” news? These are all relevant questions to ask as the announcement sources and country bond combinations present in this dissertation are often ignored by the literature. This dissertation find that for this sample, announcements from the USA are the ones with the most explanatory power, explaining on average 8.7%, of the daily variation, furthermore we also find that Eurozone announcements have close to none explanatory power on the daily variation of the 10 years bond bid yields, lastly we find that “good” news have a greater explanatory power then “bad” news. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-07-04 2016 2016-07-04T00:00:00Z 2017-03-14T14:47:44Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/21774 TID:201463490 |
url |
http://hdl.handle.net/10400.14/21774 |
identifier_str_mv |
TID:201463490 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799131869625712640 |