博士论文代写-新闻公告对美国国债的影响。类似的其他研究工作Balduzzi等人(2001)分析了新闻公告对美国国债的影响。研究人员使用公共公告，只使用预定的经济公告。惊讶元素是使用一致数据计算的。Balduzzi et al.(2001)和Jiang et al.(2012)的研究工作对于理解债券市场的宏观经济波动和微观结构的变化都是有用的。公告根据价格公告、交易量公告、买卖价差等进行区分。对3个月、2年期、10年期和30年期国库券的惊讶度和对价格的影响的测量表明，惊讶度对隐含波动率的影响是显著的。此外，人们还发现，在不同期限的债券上，人们的惊讶程度也有所不同。公共新闻公告确实能够公布作者认为在价格波动变化中相当大的一部分。论文范文博士论文代写-新闻公告对美国国债的影响分享给留学生阅读。
Similar other research works Balduzzi et al. (2001) analysed the effect of news announcements specifically on the US treasury bonds. The researchers worked with public announcements and made use of scheduled economic announcements only. The surprise element was calculated using the consensus data. Research work of Balduzzi et al. (2001) and Jiang et al. (2012) are useful for understanding both macro-economic fluctuations and changes in microstructures in the case of bond markets. Balduzzi et al. (2001) work presented the significant insight that in the case of public news announcement, there will be market volume increase or decrease, but that will happen only after prices fall or rise after the announcement. Therefore, initial price adjustments are driven before implied volume. Volatility is usually driven by informed trading, however, the liquidity that is introduced will play a major role here as a third phase, which happens after the news announcements (Fernandez-Perez, et al., 2017; Omrane and Savaşer, 2016). Balduzzi et al. (2001) have used the interdealer market data and seventeen public news announcements.
Announcements were differentiated based on price announcements, trading volume announcements, bid-ask spreads and more. The measurement of surprise and the impact on price in the case of a 3-month bill, a 2-year, 10-year and a 30-year note indicated that the effects of the surprise on implied volatility was significant. In addition, the surprise was seen to vary across the maturity of the bonds. Public news announcements were indeed able to announce what authors consider a substantial fraction in price volatility changes. The typical adjustment noted was a minute after public announcements. In the case of the bid-ask style, the implied volatility was seen to spread shortly after the news announcements. However, they come back to normal within a time span of 5-15 minutes. Thus, Balduzzi et al. (2001) microstructure and implied volatilities in the bonds market of the US treasury were presented by researchers.