Abstract
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 8 US and German macroeconomic announcements and confirms 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.
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