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The Effects of Unanticipated Macroeconomic News on Debt Markets

โœ Scribed by Rohan Christie-David; Mukesh Chaudhry; James T. Lindley


Book ID
110681144
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
121 KB
Volume
26
Category
Article
ISSN
0270-2592

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## Abstract In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated