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Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News
- Publication Year :
- 2018
- Publisher :
- HAL CCSD, 2018.
-
Abstract
- 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 covaries positively 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.
- Subjects :
- Public information
Media Coverage
business.industry
Big data
Measure (physics)
Uncertainty
Macroeconomic News
JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness
Investors' Attention
Treasury
Bitly
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading
JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages
Future interest
Path (graph theory)
Econometrics
Economics
[SHS.GESTION]Humanities and Social Sciences/Business administration
Information Demand
U.S. Treasury futures
business
Information demand
Clickstream
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....294464fcb52de271f77358bf35a5c5b3