RT Journal Article
SR Electronic
T1 The Impact of the Employment Report and Forecasts Thereof on Fixed-Income Markets
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP jfi.2018.1.063
DO 10.3905/jfi.2018.1.063
A1 Louis Ederington
A1 Wei Guan
YR 2018
UL https://pm-research.com/content/early/2018/08/22/jfi.2018.1.063.abstract
AB We examine the impact that the monthly Employment Situation Report issued by the Bureau of Labor Statistics (BLS) and theanalyst forecasts of that report have on the U.S. Treasury securities market. Surprise increases in total non-farm payroll employment lead to increases in interest rates (especially one- to five-year rates), and surprise decreases lead to smaller declines in interest rates. This interest rate reaction is conditioned on the level of analyst uncertainty about the coming report. Interest rates also react to subsequent revisions of the payroll employment figures. Analyst forecasts as compiled by Bloomberg are unbiased forecasts of the BLS numbers and correctly anticipate most employment level changes. Moreover, there is evidence that the markets react to these forecasts prior to the BLS release. We also find that the release of the employment report lowers market uncertainty about future interest rates.