Demand for Information, Uncertainty, and the Response of US Treasury Securities to News

被引：22

作者：

Benamar, Hedi ^{[1
]}

Foucault, Thierry ^{[2
]}

Vega, Clara ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC USA

[2] HEC Paris, Paris, France

来源：

REVIEW OF FINANCIAL STUDIES | 2021年 / 34卷 / 07期

关键词：

TIME PRICE DISCOVERY; ECONOMIC-NEWS; OPTIMAL INATTENTION; INVESTOR ATTENTION; MONETARY-POLICY; INTEREST-RATES; STOCK-MARKET; BOND; IMPACT; LIQUIDITY;

D O I：

10.1093/rfs/hhaa072

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty.

引用

页码：3403 / 3455

页数：53

共 90 条

[21] Fluctuations in Uncertainty [J].