eThesis - Kauppakorkeakoulun sähköiset gradut

» hse_ethesis_13672.pdf   koko: 2 MB (1444377)

PURPOSE OF THE STUDY:

The main purpose of the study is to investigate the market responses of daily yields of Scandinavian (Finland, Sweden, Norway and Denmark) government bonds and a major European corporate bond index to broad set of major macroeconomic news of U.S. and selected European countries. The study also investigates if U.S. macroeconomic news has more significant impact on the yields than equivalent European countries' news and which news have the most effect on the bond yields. Additional purpose of the study is to study the effect of the level and slope (term structure of interest rates) of German benchmark government bond yields on the government bond and corporate bond index yields during the macroeconomic news announcement days.

DATA AND METHODOLOGY:

The macroeconomic news data in this study consists of 23 different major macroeconomic news from U.S, German, French and UK economy. The study investigates both the effect of macroeconomic news announcements and the surprise of the announcements on bond yields. Therefore, I employ the actual news release data and the corresponding market expectations data in the study. The bond yield data in this study is comprised of daily yields spanning from 1997 to 2011. The market responses of daily yields are investigated by daily yield and spread changes over benchmark German government bond yields. In order to investigate the effects of macroeconomic news and benchmark term structure of interest rates on bond yields, several regressions are run for the different macroeconomic news and term structure of interest rates variables during the news announcement dates.

RESULTS:

The results indicate that 21 out of the 23 macroeconomic news used in this study have statistically significant effect on at least one of the daily yields investigated in this study. The effects vary significantly across different news and markets. The results reveal that U.S. macroeconomic news have in general more significant impact on the yields in this study than equivalent European countries' news when investigating news' surprise spillover effect on yield changes . The results also reveal that Finland and Sweden government bond markets are the most responsive to the foreign macroeconomic news spillover effect. In addition, strong evidence is found that there is a negative (positive) relation between the German government term structure of interest rates and the investigated bond spreads (yields) during the macroeconomic news announcement days.