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Economic Releases with Large Short-Term Effects on Bunds

Article Quant Q&A · Author: Haim Bender
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Summary

The document asks which scheduled economic releases can cause substantial price moves in tradable assets and points readers toward an economic calendar as a source of release dates. It relays a historical ranking from a 2007 bank analysis of German Bund price reactions measured ten minutes after publication.

The listed releases include US employment and GDP data, manufacturing surveys, inflation, German business and economic indicators, and a US consumer sentiment survey. The note offers an example of event-impact research, but does not provide the study’s methodology, sample, or measured move sizes, so the ranking should not be treated as a current or universal guide. Results depend on the asset, measurement window, definition of impact, and controls for other market drivers.

Key ideas

  • Historical bank research ranked economic releases by their short-window effect on Bunds.
  • US employment, GDP, inflation, and manufacturing releases appeared among the high-impact events.
  • German business and GDP data and a US consumer survey also featured in the ranking.
  • The ranking may vary with the market, measurement method, and controls used.

Tags

Fixed incomeEvent-drivenUS markets
Full text
# indicators that move asset prices


# indicators that move asset prices












Wondering which economic indicators move tradable asset (like equities or bonds) prices substantially (more then 0.5%) when they are published. For example the weekly unemployment rate update usually moves the SNP500 index. Also references to where I can find a person to pay to get answers to this question would also be appreciated

List of indicators can be found here: https://tradingeconomics.com/calendar

## Answer by user42108 (score 3)

https://quant.stackexchange.com/a/59793

Several banks used to publish regular updates on which economic indicators had the greatest impact on markets. From a very old piece (2007), the indicators that had the largest impact on Bunds 10 mins after release were: NFP; US GDP, ISM mfg, core CPI, ifo, ZEW, DE GDP, Philly Fed, ISM non-mfg, UoM. Of course, results will depend on how you measure, what markets you look at, how you control for other variables, etc.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.