Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component.

Abstract

In the current study we identify the announcements that trigger substantial changes in the behavior of the 10-year US Treasury market, without using the surprise component and, therefore, expectational data. We use a novel model-free approach based on extreme market movements related to price returns, volatility and traded volumes. Our findings corroborate those of previous studies, which were based on expectational data. More importantly, though, we identify two additional announcements (Oil Inventories and the Mortgage Applications), which have not been previously reported. These findings are primarily important to financial analysts and investors.