国际清算银行-宏观经济公告前的债券供应、收益率漂移和流动性提供（英）-2024.12-87页_2mb

Summary

This working paper examines how government bond supply and liquidity provision interact with macroeconomic announcements, providing new insights into yield dynamics and market liquidity around such events. The study finds significant yield increases in bond markets before scheduled announcements like inflation data releases and monetary policy meetings, particularly in periods preceding government bond issuances. This "pre-news yield drift" is primarily driven by term premia rather than expectational components, and it magnifies during times of heightened market illiquidity and when hedge funds reduce liquidity provision due to anticipated price impact after absorbing new information.

The paper uses high-frequency transaction data to analyze the behavior of primary dealers and clients. Results show that hedge funds provide more liquidity outside announcement windows but reduce their activity during pre-news periods due to strategic price impact avoidance. In contrast, passive investors like foreign central banks and pension funds increase liquidity provision around announcements. The study introduces a theoretical two-period model to rationalize these findings, demonstrating that informed traders' anticipation of upcoming announcements leads to reduced liquidity provision, exacerbating the yield drift due to term premium effects.

Policy implications highlight the interplay between monetary and fiscal policies. Unnaturally timed bond issuances near announcements can amplify policy surprises and distort market signals, suggesting the need for coordinated timing between officials to optimize market functioning. The findings offer a framework for policymakers to balance bond supply timing with market stability.

Key Points:

• Significant yield increases occur in bond markets before major announcements.
• Term premia dominate the drift effect, amplified by dealer liquidity constraints.
• Hedge funds cut back liquidity provision pre-news due to price impact concerns.
• Informed liquidity dynamics and term premium adjustments explain market behavior.
• Policy coordination between monetary and fiscal authorities is suggested for managing announcements.