PT  - JOURNAL ARTICLE
AU  - Louis Ederington
AU  - Wei Guan
TI  - The Impact of the Employment Report and Forecasts Thereof on Fixed-Income Markets
AID  - 10.3905/jfi.2018.1.063
DP  - 2018 Aug 22
TA  - The Journal of Fixed Income
PG  - jfi.2018.1.063
4099  - https://pm-research.com/content/early/2018/08/22/jfi.2018.1.063.short
4100  - https://pm-research.com/content/early/2018/08/22/jfi.2018.1.063.full
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.