Yield drifts when issuance comes before macro news

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-01-13 DOI:10.1016/j.jfineco.2025.103993

Dong Lou, Gabor Pinter, Semih Üslü, Danny Walker

引用次数: 0

Abstract

UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints play a role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news windows, but more passive investors – such as foreign central banks and pension funds – provide liquidity in pre-news windows. We outline a simple model to rationalize these findings.

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当债券发行先于宏观新闻发布时，收益率会出现波动

在货币政策宣布和劳动力市场数据发布等预定新闻发布之前，英国政府债券收益率往往会上升。这种影响在英国债券发行期间尤为明显，并与较高的期限溢价有关。金融中介的约束发挥了作用，因为经销商避免在发行后的新闻发布前积累库存。流动性提供者的构成也发生了变化：对冲基金在新闻发布前窗口之外购买了大量债券发行，但更为被动的投资者——如外国央行和养老基金——在新闻发布前窗口提供流动性。我们概述了一个简单的模型来合理化这些发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.