Other publications may include books, quarterly reviews, annual reports and economic bulletins from the ECB, PhD theses and Danmarks Nationalbank’s policies.

Applications of Financial High-Frequency Data

Event studies measuring the impact of macroenomic announcements rely on surveys as a measure of market expectations. However, these survey measures are noisy indicators of actual market expectations as they are collected with a time lag and not among actual market participants. Based upon a Hellwig (1980) type market microstructure model, a market-based survey measure is proposed that takes into account orderflow/price movements prior to release in order to capture changes in market expectations. The model is tested on US and German 10-year bond futures contracts for 6 US and 2 German macroeconomic announcements and conrms the presence of expectation adjustments for the most important releases. Furthermore, the market-based survey measure captures the directionality of the surprise better than the standard Bloomberg survey measure.