Instructions: The purpose of the assignment is to examine the impact of macroeconomic news announcements on bond prices. The data on bond prices and news announcements is available at http://lipas.uwasa.fi/~sami/assignment.xls. The written assignment report should follow the template provided below. Explain the methods you are using to examine bond price reactions. Report the results in a table and briefly discuss your main findings. The assignment is voluntary, and can be conducted either individually or in pairs of two students. The assignments will be graded on a three-step scale of zero, one or three points. The points will be added to your points from the exam (except for failed exams) and are valid for the 2008-2009 semester (for all three exams). The deadline for the assignments is November 7, 2008. The assignment must be returned in paper format (not by email) to Sami Vähämaa’s mailbox located at the Department of Accounting and Finance. BOND PRICES AND NON-FARM PAYROLL ANNOUNCEMENTS 1. PURPOSE OF THE STUDY What is the impact of U.S. non-farm payroll announcements on German government bonds? 2. DATA The bond market data consist of intraday prices of futures contracts on long-term German government bonds (so-called Bund futures). The sample period spans from January 2003 to December 2004. The macroeconomic news data are the expected and actual outcome of monthly non-farm payroll announcements in the U.S. The expected outcome of a given announcement is the median forecast on the day before the announcement. 3. METHODS Briefly explain your methodology. 4. FINDINGS Discuss your findings and report your estimation results in a table. Table 1. The impact of non-farm payroll announcements on government bond prices.