which news moves the euro area bond market germen view

8/13/2019 Which News Moves the Euro Area Bond Market Germen View

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Which News Moves the

Euro Area Bond Market?

Magnus AnderssonEuropean Central Bank

Lars Jul OverbyUniversity of Copenhagen/Danmarks Nationalbank

Szabolcs Sebestyen

Catholic University of Portugal

Abstract. This paper explores a long dataset (19992005) of intraday prices onGerman long-term bond futures and examines market responses to majormacroeconomic announcements and ECB monetary policy releases. German bondmarkets tend to react more strongly to the surprise component in US macro releases

compared with aggregated and national euro area and UK releases, and the strengthof those reactions to US releases has increased over the period considered. We alsodocument that the numbers of German unemployed workers consistently have beenknown to investors before official releases.

JEL classification: E43,E44,E58.

Keywords: Monetary policy; high-frequency data; macroeconomic announce-ments.

1. INTRODUCTION

What causes financial market prices to undergo the sometimes strong swingsobserved during a trading day? The answer to this basic question is of utmostinterest to anyone monitoring financial markets from central banks usingasset prices to gauge investors macroeconomic expectations, to fundmanagers and traders exploring buying and selling opportunities from theprices fluctuating on their computer screens.

As financial assets are inherently forward-looking, only new news shouldcause revisions to what is currently built into asset prices, thereby immediatelyaffecting prices. The availability of prices at very high frequencies allows for anin-depth analysis of the price discovery process. This in turn enables a cleaner

r 2009 The AuthorsJournal Compilation r Verein fur Socialpolitik and Blackwell Publishing Ltd. 2009, 9600 Garsington Road,Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA.

German Economic Review10(1): 131


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analysis of market reactions surrounding major market-moving eventscompared with commonly used daily data, where other news during a tradingday may blur instantaneous market reactions to events. In addition, the use of

high-frequency data makes it possible to depict the dynamic market reactionsto the constant flow of information.

The purpose of this paper is twofold. First, to examine the effects ofmacroeconomic data releases and of the ECBs monetary policy statements onfive-minute intraday German government bond returns from the beginningof 1999 until the end of December 2005. Second, allowing for the fact thatlong-term bond yields in theory should be affected by the expected monetarypolicy path, the paper examines whether the German bond price sensitivitydiffers depending on the monetary policy stance taken by the ECB.

Macro releases from a wide range of economies are tested. As a result, we

account for both euro area-specific news as well as international spillovereffects. We use aggregated euro area releases as well as German, Italian,French, Spanish and Belgian announcements to gauge the effects of euro area-related news. To account for the international linkages of the euro areaeconomy and its markets, we include data from the two largest tradingpartners the United States and the United Kingdom.

The main findings are that German bond markets tend to react morestrongly to the surprise component in US macro releases compared withaggregated and national euro area releases and UK releases, and the strength ofthose reactions to US releases has increased over the period considered. Thelevel of bond returns appears to adjust quickly to new information, whereasmacro announcements have a stronger and more long-lasting impact onvolatility. In addition, by splitting our sample into three different monetarypolicy regimes in the euro area, we find that the sensitivity of bond returns toUS economic activity and employment news differs depending on the regime.

The international spillover to the German bond market mainly stems fromUS announcements, whereas UK releases do not seem to have any significantimpact. This is perhaps slightly surprising, given that the United Kingdom isone of the largest trading partners for the euro area. Thus, the internationalfinancial linkages observed in the German bond market do not appear to bebased on real economic linkages.

The paper contributes to the existing literature in a number of ways. First,the responses of the benchmark German long-term bond returns onmacroeconomic and monetary policy announcements are examined, a topicthat has received little attention in the empirical literature. Second, the studieswithin this strand of the literature have usually narrowed the examination toUS and/or aggregated euro area announcements. Therefore, the combined useof euro area, German, French, Italian, Spanish, Belgian and UK macroeconomicreleases, in addition to the traditional US macroeconomic announcements, isnovel. Third, we identify problems with macroeconomic releases that have notbeen noticed in previous announcement studies. In particular, evidence isprovided that the outcome of the German employment reports is known to

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investors ahead of the prescheduled release. This finding explains why our andprevious high-frequency studies find no significant impact on financial marketprices around the time of the official release. To enable an accurate examination

of the impact from the German employment report, we identify prescheduledrelease times using news wires, which reduces the measurement errors. Theresults from the corrected specification, however, still suggest that the employ-ment report does not significantly impact long-term bond yields in Germany.Finally, we provide evidence that the sensitivity of bond returns to news is notconstant but varies across monetary policy regimes.

The paper is structured as follows: Section 2 briefly reviews the literaturewithin these fields, while Section 3 elaborates on the data used in the study.The econometric model and the results are reported in Section 4. Section 5examines whether the price discovery process for the German bond markets

differs depending on the monetary policy stance. Finally, Section 6 makessome concluding remarks.

2. RELATED LITERATURE

Overall, the literature about the macro announcements impact on assetprices is large and spans across asset classes. Numerous studies have analysedfinancial markets in the United States (see, for instance, Andersenet al., 2007;Balduzzi et al., 2001; Dwyer and Hafer, 1989), while less attention has been

paid to euro area, UK and Japanese markets.As regards announcement studies applied on the euro area bond markets,

the focus in these papers has been on the impact stemming from US macroannouncements. In general, the findings support the notion that US datareleases indeed not only affect US markets but also exert a significant effecton the European bond markets (see Andersen et al., 2003, 2007; Faust et al.,2007). The procedure used by Ehrmann and Fratzscher (2003, 2005) is slightlydifferent as it focuses on the impacts of monetary policy and macroeconomicannouncements both in the euro area and in the United States on the moneymarket rates in the two economies. They show a high and increasing

interdependence between the euro area and the United States, with euro areamoney market rates reacting more strongly to US data releases in comparisonwith US interest rate reaction to euro area announcements. This increasinginterdependence may be linked to higher financial integration between thetwo economies, and US data may be considered as a leading indicator for euroarea markets by market participants.

The impact of monetary policy announcements on financial markets hasreceived considerable attention, although the focus has primarily been on theimpact on the stock and foreign exchange markets.1 The effect on bond

1. See Bentzen et al. (2004), Bomfim (2000) or Wongswan (2005) for the impact on stockmarkets, and Andersen and Bollerslev (1997, 1998) or Faust et al. (2002) for the impact onforeign exchange markets.

Which News Moves the Euro Area Bond Market?

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markets has received less attention. Similar to the macro announcementliterature, the bulk of the studies have been applied to the United States (seeFleming and Piazzesi, 2005; Fleming and Remolona, 1997).

For the euro area, both Bernoth and von Hagen (2004) and Ehrmann andFratzscher (2003, 2005) study the volatility reaction on money market ratesfollowing ECB Governing Council announcements. They both find thatvolatility generally tends to be higher on these days.

3. DATA ISSUES

The bond market data consist of five-minute intraday prices of long-termGerman government bond futures contracts from the beginning of 1999until the end of December 2005. The dataset was purchased from TickDataInc. The eligible delivery bonds are usually a basket of both non-benchmarkand benchmark German government bonds with a remaining term ofbetween 8.5 and 10.5 years. From the price data, bond returns are calculatedas 100 times the logarithmic difference between consecutive prices.

Table 1 shows all macro announcements and also highlights thedistribution of the release days of the 44 macroeconomic announcementsused in this study. As can be seen in Table 1, most euro area macro data arereleased later than the US equivalents. The delayed release of the aggregateeuro area statistics is linked to the time needed to compile the statistics fromall EMU member states. The delayed release of euro area macroeconomicstatistics also implies that they potentially contain less new news as thenational releases are already known to the investors at the time ofpublication. To account for this, the most important national German,French, Italian, Spanish and Belgian macro releases are also included in thisstudy.2 German GDP is not included, as it is typically published before theGerman bond markets open, but overall, the dataset covers most of themacroeconomic information that is typically considered important for a

fundamental analysis. In addition to the 44 macro announcements, the paperalso examines the German bond market responses following actual monetarypolicy decisions by the ECB and the accompanying releases of theIntroductory Statements. Given the strong real economic linkages betweenthe United Kingdom and the euro area, a comparable set of UK announce-ments are also included.

2. We kept a broad set of US indicators and used a reduced and comparable set of CPI, business

confidence, employment and industrial production indicators for other countries. It wasonly possible to compile this set of indicators for German, French, Italian and Spanishreleases among the euro area countries, as survey expectations for the remaining euro area

countries were either missing or too irregular. Finally, Belgium business confidence wasincluded as this indicator frequently is quoted among financial analysts due to its closeconnection to the IFO indicator.

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Table 1 Release days of macroeconomic announcements used in this study

Notes: The table shows the timing of macroeconomic news releases for month X. The earliest

available release date for the macroeconomic releases has been chosen, which implies that somereleases are only preliminary and subject to further revisions, such as University of Michigan andGerman CPI. Furthermore, the release times are only indicative, as holidays and other events may

move publication dates and represent the current typical publication times. US GDP Final is notincluded this release is published in monthX3, just as initial jobless claims (United States) is notincluded, as this data release comes weekly on Thursdays with data from Friday the week before.




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When measuring financial market impact from news, it is common to usethe standardized surprise component of the news and also test for unbiasedmarket expectations (see, for instance, Balduzzi et al., 1998, 2001). The

surprise component is calculated as

Si;tAi;tEi;tsi

1

whereAi,tandEi,tare the actual and the expected outcomes of data releaseiattime t, respectively, and si is the standard deviation of the forecast error ofdata release i.

The expected outcomes of the macroeconomic data releases are collectedfrom Bloomberg and consist of median expectations of the survey panellists.

The expectations regarding the outcome of the ECB decisions consist of themean of analysts survey-based expectations, collected one week before theGoverning Council meetings and published by Reuters. The use of meanexpectations thus differs with the use of median expectations for macro-economic announcements. However, the use of median expectations for theECB monetary policy decisions would give rise to very few non-zero surprisescompared with the mean expectations. The potential impact of the Fedsmonetary policy decisions is not examined in this paper as they are releasedafter the close of the trading day.

In order to test for unbiasedness in the expectations data, standard

techniques used in the literature are used (see Balduzzi et al., 1998, 2001). Forthe majority of the data releases, the null hypothesis of unbiased expectationscannot be rejected at the 10 per cent level, which suggests that the surveyexpectations are of good quality.3

One issue that has not been systematically addressed in earlier announce-ment studies is potential problems arising from leaks and early releases.Clearly, if the outcome of an announcement becomes available to investorsahead of the official release time, it will have an impact on our analysis as themarket reaction will then take place earlier. If the release of macroeconomicstatistics before official release times only takes place infrequently, the overall

effect on our results will typically be limited. However, if the macroeconomicnumbers are released regularly before official release times, owing to earlyreleases or systematic leaks to the media ahead of official announcementtimes, our analysis will clearly be biased.

For the macroeconomic announcements used in this study, there is nocompelling evidence of the statistics being released early or of allegedleakages, with one notable exception: the German unemployment figures. Bycollecting news reports from Reuters and other market news agencies wedocument clear evidence that the numbers of German unemployed workersconsistently have been known to investors before official releases; see

3. The complete results of the bias test can be found in the working paper version of this study(see Anderssonet al., 2006).

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Appendix A. These leaks have taken place before all releases in our sample,with the exception of a few releases at the beginning of 1999.4

It is therefore reasonable to assume that bond markets should have

incorporated the latest news into the German unemployment report alreadybefore the official release time, with little or no reaction taking place at thescheduled time. Indeed, the econometric results shown in Section 4 suggestthat the German unemployment statistics do not induce a significant impacton German bond markets at the time of the official release.

However, given the attention that financial markets tend to give theequivalent US employment reports, the above analysis does not revealwhether the German unemployment figures have a market-moving impact ornot. To examine this, unofficial release times from Reuters were collected,corresponding to the point in time when the figures actually became known

to the public. As a next step, the intraday bond returns surrounding theseunofficial release times were regressed on the surprise component embeddedin the German unemployment releases.5 The result of the exercise rejects anysignificant impact on bond returns following the releases of the Germanunemployment figures. This non-significant response is in line with theprevious literature. For example, Goldberg and Leonard (2003) find that thereleases of German employment statistics do not significantly affect Germanbond yields. Previous studies have, however, drawn that conclusion based on theno-significant impact surrounding official release times. The approach adoptedin this paper can more accurately back up this finding.

There is, by contrast, no evidence that other German macroeconomicstatistics are systematically leaked to the media: leaks only appear to affectthe German unemployment figures from the Bundesanstalt fur Arbeit. This isto some extent also supported in our later analysis, where other German datareleases are found to have a market impact at official release times.

4. ECONOMETRIC ANALYSIS AND RESULTS

In this section we investigate the influence that macro announcements haveon intraday returns in the German bond market by utilizing a generaleconometric model, which simultaneously estimates both the level andthe volatility of intraday returns on German bonds. In order to capture the

4. This topic has also received some media attention; see German Jobless Leaks AnnoyAnalysts, Investors And Officials, by Andreas Cremer, Bloomberg News, 9 April 2002.

5. Results from this simple OLS regression are

Rt 0:00590:0040 0:0034

0:0041GEU;

where Rt denotes five-minute returns surrounding the unscheduled release time (collectedfrom news wires) of the German unemployment report. GEU represents the standardizedsurprise of the German unemployment report.




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time-varying feature of intraday return variability, a semiparametric modelis used.

The intraday statistical properties of the data suggest that three important

features of the data should be taken into account in the econometric model.First, bond returns react sharply to macroeconomic announcements(announcement effect). This effect may be present in both the conditionalmean and in the conditional volatility of the series. Second, the intradaypattern with higher observed volatility in opening and closing sections of thetrading days should, together with the interday and day-of-the-week effects,also be properly captured in the volatility equation (calendar effect). Third,the conditional heteroscedasticity of daily returns commonly known to bepresent in financial time series at lower frequencies should also be takeninto account (ARCH effect).

The conditional mean of the five-minute German bond futures returns isspecified as

Rt1a0XPi1

aiRti1XKk1

XRj0

aMAkj MAktj

XQj0

aMSj MStjet 2

where the five-minute bond return Rt1 is modelled as a linear function of:(1) P52 values of lagged bond returns, (2) contemporaneous and R52lagged values of the standardized surprise of the K544 announcementsand (3) contemporaneous and Q53 lagged values of the ECBs monetarysurprises. Note that this model is able to separate the effects of con-current announcements. The lag lengths were suggested by the Akaike andSchwarz information criteria. The total number of observations amount to233,269.

Regarding the conditional variance, we model the disturbance term inequation (2) to be heteroscedastic and approximate its volatility by thefollowing model:

etj j b0b1sdt1

ffiffiffiffiNp

m1n

N1m2

n2

N2XZz1

fz sin 2pzt

N

jz cos

2pzt

N

XDi1

giWDiwdt

( )

XKk1

Xj0;3;6

lMAkj DMAtj

Xj0;3;6

lMPj DMPtj

Xj0;3;6

lISj DIStjut 3

whereNdenotes the number of five-minute intervals on a trading day, n is thenth five-minute interval on a trading day, and N1 Pi1; N

; iNN 1=2,andN2

Pi1; N; i2 NN 12N 1=6, are normalizing constants.This general set-up for the conditional mean and the volatility equationsfollow the procedure proposed by Andersen and Bollerslev (1997, 1998)

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and Andersen et al. (2003, 2007). For two of the terms in the equations,however, we depart from their procedure. First, the second term in thevolatility equation sd

t

1 represents the estimated daily conditional standard

deviation. This term is usually approximated by a GARCH-type model.However, Sebestyen (2006) argues that realized volatility captures better theintraday return movements and consequently provides a better fit for themodel than a parametric GARCH. Consequently, the sdt is calculatedas sdt

Pm1;MR

2m1=2, whereRmis themth 30-minute return.6 It is notable

that a one-day lag, d(t) 1, is used in the regression as all the observationsneeded to calculate realized volatility of day d(t) are not available in anintraday estimation framework. Evidently, the previous days realizedvolatility may not reflect correctly the return variability on the current day,but, as the realized daily volatility is highly autocorrelated, the volatility on

day d(t) 1 is likely to be a good proxy for day d(t)s volatility.Second, in the conditional variance equation three dummy variables are

used to capture decay in volatility: the first at the time of the announcement,the second from five to 15 minutes after the announcement and the thirdbetween 20 and 30 minutes after the announcement. This differs fromAndersen and Bollerslev (1998), who propose a polynomial decay structure ofthe volatility response pattern, and they estimate the degree to which anannouncement loads into this pattern. In addition, they allow for anadjustment of one hour. This paper instead follows Sebestyen (2006), whosefindings suggest that generally 30 minutes are sufficient for the completevolatility adjustment.7

The terms in brackets in equation (3) serve to capture intraday, interdayand interweekly patterns of the data. The second-order polynomial (i.e. n/N1andn2/N1) approximates the intraday U-shaped pattern of the volatility. Theinterday pattern is by standard trigonometric terms, whereas the dummiesWDiwdt account for interweekly impacts.

Dummies accounting for the monetary policy communications are alsoincluded. DMP and DIS represent dummies for the monetary policyannouncements and the Introductory Statement, respectively. Initial estima-tions suggested that the Introductory Statement dummy was insignificant inthe conditional mean equation and, hence, it has been omitted fromequation (2).

The model is estimated by two-step weighted least squares (WLS). In thefirst step, equation (2) is estimated by ordinary least squares (OLS). Thereafter,equation (3) is estimated, and the fitted residuals etj j are used to perform aWLS estimate of equation (2).

6. Calculating daily-realized volatility using very high frequencies such as five-minute returnsresults in endogeneity in the conditional variance equation as the returns appear in theright-hand side of the equation. Returns at the 30-minute frequency do not exhibit a serial

correlation; hence, the endogeneity problem no longer exists.7. We also allowed for longer adjustment (up to one hour), but the results showed that 30

minutes were sufficient to capture the entire response pattern.




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The econometric specification outlined above contains many variablesand lags and therefore only the most interesting features are reported;see Table 2. With regard to the conditional mean equation, Table 2

presents estimates of aMAk;j0 and aMSj0. These correspond to the contempora-neous point estimates of the surprises in the most relevant US/euro area/national macro announcements and the ECBs monetary policy decision,respectively, on the German bond market. In the same vein, Table 2 alsoreports on the lMA , lMP and lIS coefficients, which correspond to immediateand lagged volatility response from the macroeconomic surprises, the ECBmonetary policy decisions and the volatility induced by the IntroductoryStatement read by the president at the press conference following thedecisions.

Overall, the regression results reveal several interesting features. First,

it turns out that many announcements (27 out of 44) exert a significantimpact on the level of German bond yields. In general, a higher thanexpected release should result in a negative sign of the surprise componentcoefficient apart from the US initial jobless claims and the unemploymentdata releases where a higher than expected number indicates that morepeople than anticipated are unemployed. As can be seen in the table, all thesignificant estimates result in an expected sign. In this context, it is alsoworth mentioning that the estimates of the lagged point estimates of thesurprises in the US/euro area/national/UK macro announcements and the ECBsmonetary policy decision, respectively, on the euro area bond markets are, witha few exceptions, not significant. This in turn suggests an immediate jump inthe returns at the time of the announcements and little reaction thereafter.8

Second, for the volatility impact, also here the bulk of the estimates at thetime of the releases turned out to be significant. In stark contrast to the meanestimates, though, the volatility remains elevated longer, and for some of theannouncements volatility remains high up until 30 minutes after the actualrelease. Interestingly, both the monetary policy decision and the Introduc-tory Statements induce higher than normal volatility up to half an hour afterthe announcements. This prolonged heightened volatility may arise as aconsequence of differences in opinions among investors. Third, actual andforward-looking measures of real economic activity and unemploymentreleases have a larger impact compared with price announcements. Fourth,US announcements influence the German bond returns more than euro area,national and UK macro releases. Finally, we find no impact from UK releaseson euro area bond markets, indicating that the international spillover effectsmainly stem from the United States.

There are several reasons for the strong influence that US data exerts on theGerman bond markets. First, the United States can be perceived as the engineof global growth, which therefore explains its importance for the globalfinancial markets, including Germany. Second, it may also be argued that

8. See, for instance, Charts 9 and 10 in Anderssonet al. (2006).

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Table 2 Estimated contemporaneous news response, the standard devia-

tion for the surprise components (second and third columns) and volatility

response coefficients

Contemporaneous news and volatility response coefficients

Contemporaneousnews response

Volatility responses minutes afterthe announcement (l coefficients)

acoef-ficients

Std.dev.

surprise 0 15 30

US activity and employment

US GDP advance 0.0925*** 0.84 0.0600*** 0.0110*** 0.0063***US GDP preliminary 0.0147 0.23 0.0170*** 0.0032 0.0003US GDP final 0.0182 0.24 0.0087 0.0007 0.0019US industrial production 0.0239*** 0.29 0.0169*** 0.0060*** 0.0047***US non-farm payroll 0.0943*** 100.61 0.1189*** 0.0289*** 0.0113***US non-farm payroll

revisions 0.0490* 0.00 NA NA NA

US initial jobless claims 0.0166*** 19.01 0.0145*** 0.0071*** 0.0039***

US retail sales 0.0494*** 0.69 0.0371*** 0.0078*** 0.0043***US factory orders 0.0158*** 0.58 0.0072* 0.0027 0.0029*US durable goods orders

0.0472*** 2.98 0.0216*** 0.0071*** 0.0035***

US business inventories 0.0041 0.23 0.0181*** 0.0060*** 0.0008US forward-looking

US University of Michiganconsumer sentimentindex

0.0192*** 4.00 0.0136*** 0.0083*** 0.0020

US ISM manufacturingconfidence

0.0395*** 2.17 0.0580*** 0.0120*** 0.0056***

US Chicago PMI 0.0315*** 4.36 0.0241*** 0.0073*** 0.0028US consumer confidence 0.0500*** 5.01 0.0200*** 0.0069*** 0.0041**US Philadelphia Fed index 0.0328*** 8.88 0.0316*** 0.0118*** 0.0084***US ISM non-manufactur-

ing confidence 0.0489*** 3.42 0.0151*** 0.0062*** 0.0032*

US pricesUS consumer price index 0.0209* 0.13 0.0399*** 0.0094*** 0.0029*US producer price index 0.0158* 0.43 0.0197** 0.0081*** 0.0035**

UK activity and unemploymentUK industrial production 0.0008 0.65 0.0013 0.0031 0.0003UK employment 0.0068* 8.80 0.0017 0.0002 0.0003

UK pricesUK RPI 0.0018 0.13 0.0007 0.0014 0.0003

Euro area activity and employment

EA unemployment 0.0000 0.07 0.0007 0.0014 0.0001EA industrial production 0.0079** 0.50 0.0044* 0.0003 0.0000




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Table 2 Continued

Contemporaneous news and volatility response coefficients

Contemporaneousnews response

Volatility responses minutes afterthe announcement (l coefficients)

acoef-ficients

Std.dev.

surprise 0 15 30

Euro area forward-lookingEA business climate 0.0004 0.17 0.0018 0.0046 0.0018EA PMI 0.0052 0.70 0.0032 0.0000 0.0009

Euro area pricesEA flash HICP 0.0072** 0.09 0.0004 0.0010 0.0019EA HICP 0.0015 0.07 0.0012 0.0012 0.0005

National activity and employmentGE unemployment 0.0035 28.04 0.0007 0.0012 0.0029*FR unemployment 0.0050 20.89 0.0022 0.0009 0.0013ES unemployment 0.0005 0.39 0.0024 0.0035 0.0006GE industrial production 0.0058 1.42 0.0076*** 0.0008 0.0017FR industrial production 0.0116*** 0.70 0.0010 0.0007 0.0004IT industrial production 0.0015 1.11 0.0024 0.0022 0.0020ES industrial production 0.0035 2.29 0.0033* 0.0015 0.0002

National forward-lookingZEW 0.0392*** 8.63 0.0149*** 0.0079*** 0.0037**IFO 0.0255*** 1.13 0.0234*** 0.0093*** 0.0050***FR business confidence 0.0136*** 2.08 0.0003 0.0013 0.0011IT business confidence 0.0076** 2.60 0.0008 0.0004 0.0011BE business confidence 0.0146*** 3.06 0.0003 0.0003 0.0035

National pricesGE consumer price index 0.0034 0.14 0.0010 0.0001 0.0005FR consumer price index 0.0162*** 0.14 0.0056* 0.0025 0.0001IT consumer price index 0.0042 0.33 0.0006 0.0006 0.0007ES consumer price index 0.0004 0.18 0.0017 0.0012 0.0014

ECBECB monetary policy

decision0.0128** NA 0.0190*** 0.0125*** 0.0058***

ECB IntroductoryStatements

NA NA 0.0186*** 0.0084*** 0.0082***

Notes: The news response coefficient represents the average market return in the five-minute

interval following a macroeconomic release for a standardized surprise ofone [see equation (1)].Columns four, five and six represent the response in volatility immediately, 15 and 30 minutesafter release. One, two and three asterisks denote significance at the 10%, 5% and 1% levels,

respectively. Sample period; January 1999December 2005.

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business cycles have become more integrated and globalization therefore hasled to a higher degree of interdependence between economies. Third, USmacro data are typically released earlier than equivalent euro area and

national data. Thus, market participants may therefore draw inferences aboutthe euro area economy from the US data releases. In this respect, only euroarea and national releases that cause investors to revise these inferencesshould lead to market reactions.

5. DO MONETARY REGIMES MATTER?

The constant estimates from the previous sections may not be completelyrepresentative as the impact of macro announcements and monetary policy

decisions can change over time. There is no consensus in the literature onhow to accurately gauge time-varying features of macro and monetary policyannouncements. Ehrmann and Fratzscher (2003, 2005) use regressionanalysis in a rolling window, whereas Andersen et al. (2007) measure theimpacts of macroeconomic variables in different business cycles. This paperadopts a different approach and considers various monetary policy regimesthat are of particular interest for the German long-term bond markets giventhe introduction of the euro in January 1999.

Changes in news sensitivity may occur for several reasons, of which thefollowing three are of most interest. First, policy-makers can sometimes signala preference for one or more macroeconomic indicators as input to theirpolicy decisions for a given period, and thus may lead to increased responsesin financial returns to those announcements. Second, a macroeconomicrelease may behave in an unusual manner at a certain point in the businesscycle. Market participants may then perceive, at least temporarily, thisvariable as being particularly important. For example, employment data forthe United States in late 2003 and early 2004 probably fell into both thesecategories, given the growing concerns about a so-called jobless recovery. Thisin turn led to heightened attention being paid to the monthly non-farmpayroll release and unemployment data releases.

Third, it is reasonable to assume different market reactions depending onthe state of the business cycle. For instance, if a turning point of economicactivity is expected, but the magnitude of the subsequent up- or downturn isunknown, some forward-looking variables may be monitored more closely bymarket participants.

In order to gauge whether the reaction on the German bond markets tomacroeconomic announcements and monetary policy decisions differs acrossmonetary regimes, the sample is divided into three different subsamples.As in previous studies, our regimes are to some extent ad hoc and theestimations can thus be sensitive to the definition of the periods. Therefore,the results should be interpreted with some caution. However, the monetarycycle regime approach is in our view better suited for bond market data than




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the business cycle approach, adopted by Andersen et al. (2007), as oneintuitively would expect investors to pay more attention to the short-terminterest rate outlook when pricing bonds, rather than the current state of

the business cycle, although the two concepts are obviously very closelyintertwined.

As markets are forward-looking and hence likely to anticipate futureinterest changes, we defined the tightening and accommodative monetaryregimes as ending at the last interest rate change. The ending of the neutralregime is set according to market commentaries. Consequently, the first, atightening regime, is assumed to start in May 1999 until October 2000,corresponding to the end of the month of the ECBs last decision to increaseits key interest rate. The second, an accommodative regime, is defined fromNovember 2000 to June 2003, corresponding to the end of the month of

the ECBs interest rate reduction in June 2003. Finally, the third, a neutralregime in which short rates have remained unchanged, start in July 2003,and lasting until September 2005, when the ECB, according to marketparticipants, signalled a less accommodative monetary policy stance usingthe wording strong vigilance in the October 2005 Introductory Statement(see Barclays, 2005a, 2005b). This was widely considered by marketparticipants to be signalling increases in the main refinancing rate at theDecember meeting.

To gauge the price sensitivity across the three monetary policy regimes, thefollowing econometric specification is used:

Rt aib1iD1tSi;t b2iD2tSi;tb3iD3tSi;tet 4

where D1t, D2t and D3t represent time dummies controlling for the threemonetary regimes, respectively, i.e. they take on the value one in thecorresponding monetary regime and zero otherwise. Si,t represents the ithsurprise variable.

The shortcoming of this approach is obviously that the length of the threeregimes is relatively short (the first 18 months, the second 30 months and thethird 27 months) and hence our estimates will suffer from a small samplebias. Therefore, quarterly releases are dropped and only those for which thereare observations available for almost each month of the correspondingregime are included. It is also noteworthy that expectations for most euroarea announcements started in early 2001, which clearly also leads to someproblems when comparing results across regimes.

Table 3 summarizes the contemporaneous news response coefficients inthe first, second and third monetary policy regimes. Several interestingfeatures can be observed. First, US activity and employment announcementsseem to increase in importance over time, in line with Bernanke et al. (2004).One may argue that this is due to the smaller sample size as it requires a largert-value to reject the null hypothesis of zero response. However, the t-valuesfor the US announcements during the ECBs tightening cycle are generally

M. Andersson et al.



15/31

much smaller than in the other periods. Regarding the magnitude of theestimated significant coefficients, the most interesting characteristics con-cern the US employment data where the size (in absolute value) of both thenon-farm payroll and the initial jobless claims estimates has increased overtime. This higher asset return sensitivity to unemployment data in the UnitedStates may be related to the fact that the US economic recovery since the 2001recession has been accompanied by a relatively large degree of slack in thelabour market, raising concerns about a jobless recovery. Again, note that, incontrast to other variables, a positive sign is expecteda priorifor initial joblessclaims and other unemployment variables.

Table 3 Contemporaneous news response coefficients under different

monetary policy regimes

Firstregime

Secondregime

Thirdregime

US activity and employmentUS industrial production 0.0515*** 0.0311*** 0.0189**US non-farm payroll 0.0622 0.0406 0.2073***US initial jobless claims 0.0112 0.0115* 0.0230***

US retail sales 0.1217* 0.0464*** 0.0530**US factory orders 0.0258* 0.0157* 0.0316***US durable goods orders 0.0438*** 0.0439* 0.0599*

US forward-looking

US University of Michigan consumersentiment index

0.0385*** 0.0044 0.0260**

US ISM manufacturing confidence 0.1498*** 0.0220 0.0265US Chicago PMI 0.0581*** 0.0427*** 0.0148US consumer confidence 0.0250*** 0.0492*** 0.0582**US Philadelphia Fed index 0.0248* 0.0388*** 0.0277*US ISM non-manufacturing confidence 0.0033 0.0660*** 0.0450***

National activity and employmentFR industrial production 0.0058 0.0269** 0.0107***

National forward-lookingZEW NA

0.0361***

0.0375***

IFO 0.0368 0.0224*** 0.0081**FR business confidence NA 0.0154*** 0.0068IT business confidence NA 0.0128*** 0.0055BE business confidence NA 0.0206*** 0.0091

National pricesFR consumer price index 0.0079 0.0210*** 0.0070

Notes: The news response coefficients represent respectively b1i, b2iand b3iin equation (4). Onlythe coefficients for the announcements which are significant at the 1% level in the full sample

using the regression setup in equations (2) and (3) are shown in the table (GDP Advance is left outdue to small sub-sample sizes). One, two and three asterisks denote significance at the 10%, 5%

and 1% levels, respectively. Some announcements are not available for the entire first regime.




16/31

Second, national announcements seem to have a larger impact on theGerman bond returns during the ECBs accommodative policy regime than inthe neutral period observed between mid-2003 and mid-2005. This extra

sensitivity can probably be linked to the macro announcements signalling anincreased likelihood of changes in the monetary and fiscal stance comparedwith the neutral period.

As a cross-check we also tested for structural breaks, using the standardmethodology described by Bai and Perron (1998, 2003).9 The structural breaktests are rather restrictive, but nonetheless indicated one or two breaks in 11out of 44 announcements. For instance, the test indicates a structural break inimportant US non-farm payroll announcements around mid-2003, whichcoincides with our defined break point. However, for other announcements,it is difficult to provide economic interpretations for the results obtained. The

tests therefore, on the one hand, appear to warrant the use of modellingbreaks in the sample but, on the other, the inconclusiveness of the break testsalso indicates that the results should be interpreted with some care.

6. CONCLUDING REMARKS

This paper finds that United States and to some extent euro area and nationalmacro releases exert a significant impact on the returns of long-term Germangovernment bonds. Overall, the announcements have a longer-lasting impacton volatility than on the level of bond returns.

US announcements seem to influence German bond returns more thanUK, aggregate euro area and national euro area macro announcements. Thereare three probable explanations for these findings. First, the United States canbe perceived as the engine of global growth, which therefore explains itsimportance for the global financial markets, including the euro area. Second,it may also be argued that business cycles have become more integrated andglobalization therefore has led to a higher degree of interdependence betweeneconomies. Third, US macro data are typically released earlier than equivalent

euro area data. Thus, market participants may therefore draw inferencesabout the euro area economy from the US data releases. In this respect, onlyeuro area releases that cause investors to revise these inferences should lead tomarket reactions.

By splitting our sample period into three subsamples, reflecting threedifferent monetary policy regimes (tightening, accommodative and neutral),we show that the impact of public information about US activity andemployment on German bond markets has increased over time. A possibleexplanation may be that in late 2003 and early 2004, US employment datawere closely monitored by policy-makers owing to growing concerns about

the so-called jobless recovery.

9. The structural break test results are available upon request.

M. Andersson et al.



17/31

With regard to the ECBs monetary policy decisions and statements, thefinancial market tends to have predicted the outcomes of monetary policydecisions with a high degree of precision so far, possibly due to transparency

around the intentions of the ECB. Nonetheless, heightened volatility isobserved following both monetary policy decisions and the IntroductoryStatement read by the President at the Press Conference following thedecisions.

APPENDIX A

Table A.1 Selected media reports concerning German unemployment

releases, 19992005

Announcementdate

Actualrelease

Early release/leak Quote

8 January 199909:55

34,000 No leakdetected

9 February1999 09:53


9 March 199910:20


8 April 199909:55


7 May 199909:50

10,000 7 May 199909:27

Only unadjusted numbers leaked.German unemployment fell inApril by 275,383 from a yearearlier to 4.145 million,equivalent to 10.7 per cent of theworkforce, figures obtained byReuters on Friday ahead of theirofficial release showed.

10 June 199910:00

11,000 9 June 199916:21

Only unadjusted numbers leaked.German unemployment fellin May to 3.989 million from4.145 million the month beforeon an unadjusted basis, a sourcefamiliar with data due to beofficially released on Thursdaysaid.

6 July 199909:52

15,000 6 July 199909:02

The source told Reuters theunadjusted number of joblessstood at 3.938 million.

The seasonally adjustedjobless number rose by15,000.




18/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote

5 August 199909:51

1,000 1 August 199918:52

Only unadjusted numbers leaked. InJune, a total of 3.94 millionpeople were jobless in Germany inunadjusted terms, compared with3.99 million in May and 4.15million in April.

7 September1999 09:52

4,000 7 September1999 09:06

German unemployment rose by aseasonally adjusted 4,000 inAugust, a source told Reuters on

Tuesday ahead of the officialrelease of unemploymentdata by the Federal LabourOffice.

5 October 199909:55

9,000 5 October1999 09:11

The number of people out of work inGermany in September rose by aseasonally adjusted 9,000 fromAugust, a political source said onTuesday.

9 November1999 10:28

11,000 9 November1999 09:20

Pan-German seasonally adjustedunemployment fell by 11,000 in

October, opposition party sourcestold Market News Internationalon Tuesday.

7 December1999 10:08

29,000 7 December1999 09:35

German unemployment fell by29,000 from the previous monthin November on a seasonallyadjusted basis, according tosources.

5 January 200009:50

68,000 5 January2000 09:13

German unemployment fell lastmonth by 68,000 from theprevious month on a

seasonally adjusted basis,sources told Reuters late onTuesday.


31,000 8 February2000 09:54

Inaccurate number. Germanadjusted unemployment fell in

January by 33,000 from theprevious month, sources said onTuesday.

8 March 200010:21

34,000 8 March 200009:18

German seasonally adjustedunemployment fell in Februaryby 34,000 from the previous

month, sources said onWednesday.

M. Andersson et al.



19/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote

5 April 200010:24

8,000 5 April 200009:10

German seasonally adjustedunemployment rose in March by8,000 from the previous month,sources said on Wednesday.

9 May 200009:55

8,000 9 May 200009:21

German unemployment, adjusted forseasonal factors, fell by 8,000 inApril from March, sources withaccess to data due to be releasedlater by the Federal Labour Office

said on Tuesday.8 June 200009:55

32,000 8 June 200009:01

Inaccurate number. The sources alsosaid the number of unemployedon a seasonally adjusted basisfell by 27,000 in May fromApril.

6 July 200009:55

14,000 6 July 200014:32

Only unadjusted numbers leaked.German unemployment fellby at least 60,000 in June from3.788 million in May withoutadjustments for seasonal

factors, a trade union officialwho sits on the Federal LabourOffices board said onWednesday.

8 August 200009:55

16,000 7 August 200017:50

Only unadjusted numbers leaked.Bild, whose past leaks of joblessdata have been accurate, gaveno firm adjusted figure forunemployment in July, but saidthe Federal Labour Office due torelease the figures on Tuesday

would report a fall after Junessurprise rise.

6 September2000 09:55

19,000 6 September2000 09:05

Inaccurate number. German seasonallyadjusted unemployment fell18,000 from 3.891 million in July,a source told Reuters onWednesday.

5 October 200009:55

18,000 5 October2000 09:32

Pan-German seasonally adjustedunemployment fell by 18,000in September compared toAugust, informed sources told

Market News International onThursday.




20/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote


25,000 7 November2000 09:23

Following are economists commentsafter German seasonally adjustedunemployment fell in October by25,000 from the previous month,according to data provided by anofficial source to Reuters.


15,000 GERMANY MEDIANFORECAST NOV SAUNEMPLOYMENT 20,000 LEAK15K.9 January 2001

09:22 27,000 8 January

2001 17:33Only unadjusted number leaked.

German unemployment rose by163,700 in December from theprevious month to around 3.8million, without adjustment forseasonal factors, theBilddaily saidon Monday. The newspaper,which has a good track record inpublishing Germanys notoriouslyleaky jobs figures, gave no figures

for seasonally adjustedunemployment.


7,000 Following are economists reactionsto leaked German January joblessdata showing a seasonallyadjusted rise of 7,000 fromDecember.

6 March 200109:50

3,000 German seasonally adjustedunemployment rose by 3,000 inFebruary, sources said on Tuesday,confounding analysts

expectations of a resumption ofthe downward trend.

4 April 200109:50

12,000 4 April 200108:47

German seasonally adjustedunemployment rose in Marchby 12,000, a source told Reuterson Wednesday, the third monthin a row the adjusted figure hasrisen.

8 May 200109:24

6,000 Following are economists reactionsto a report that Germanysunemployment rose 6,000 in

April on a seasonally adjustedbasis.

M. Andersson et al.



21/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote

7 June 200109:25

18,000 7 June 200109:16

German unemployment rose in Mayby 18,000 from the previousmonth, a source said on Thursday,the fifth month in a row theseasonally adjusted figure has risen.

5 July 200109:24

22,000 4 July 200118:30

Germanys adjusted number ofjobless rose 22,000 in June,a source told Reuters onWednesday.

7 August 200109:28 11,000 Germanys Federal Labour Office saidon Tuesday seasonally adjustedunemployment rose by 11,000 in

July, confirming earlier leaks.5 September

2001 09:33 2,000 5 September

2001 08:18German unemployment fell by a

seasonally adjusted 2,000 inAugust, with a rise by 5,000 inwestern Germany offset by a 7,000fall in the east, a source said onWednesday.

9 October 2001

09:03

20,000 8 October

2001 18:57

German unemployment rose by a

seasonally adjusted 20,000 inSeptember, with a rise of 13,000 inwestern Germany and a 7,000increase in the east, largely in linewith expectations, a source saidon Monday.


27,000 German adjusted unemploymentrose by 27,000 in October, asource said on Tuesday, while theunadjusted figure fell 17,550 inOctober from 3.725 million to

give an unchanged rate of9 per cent.


17,000 5 December2001 09:28

German seasonally adjusted un-employment rose in November by17,000 from the previous month,a source told Reuters on Tuesday.

9 January 200209:21

6,000 9 January2002 09:08

German seasonally adjustedunemployment rose by 6,000 inDecember and the Novemberfigure was adjusted to show anincrease of 19,000, a government

source in Berlin told Reuters onWednesday.




22/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote


31,000 German unemployment rose 31,000in January on a seasonallyadjusted basis with the unadjustedunemployment rate up at 10.4per cent from 9.6 per cent inDecember, a source said onWednesday.

6 March 200209:21

1,000 6 March 200208:50

German unemployment rose 1,000in February on a seasonally

adjusted basis, a deputy head ofthe Labour Ministry said onWednesday.

9 April 200209:10

8,000 German unemployment, adjustedfor seasonal factors, fell inMarch for the first time sinceDecember 2000, sources said onTuesday.

7 May 200209:05

6,000 7 May 200208:32

Germanys adjusted unemploymentrate rose by 6,000 in April, asource told Reuters on Tuesday,

above a consensus forecast for amonthly rise of 600.

7 June 200209:34

60,000 7 June 200208:32

Following are economists reactionsto a report that German seasonallyadjusted unemployment rose by ahigher than expected 60,000 inMay.

9 July 200209:40

39,000 8 July 200218:18

Only unadjusted number leaked.Germanys headline joblesstotal rose by an unadjusted8,000 in June to 3.954 million,

mass-circulationBildnewspaperreported on Monday, bad newsfor Chancellor GerhardSchroeder ahead of Septemberelections.

7 August 200209:02

8,000 6 August 200219:30

German adjusted unemploymentrose by 8,000 in July fromthe previous month, a sourcetold Reuters on Wednesday,well below most analystsexpectations, but not much

consolation for ChancellorGerhard Schroeder.

M. Andersson et al.



23/31


24/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote

3 April 200309:25

52,000 3 April 200309:23

German unemployment adjusted forseasonal factors rose by 52,000 inMarch, a labour office source toldReuters on Thursday.

7 May 200309:32

44,000 6 May 200314:30

Only unadjusted number leaked.German headline unemployment,not adjusted for seasonal factors,fell just below 4.5 million in Aprilfrom 4.608 million in March, a

government source told Reuterson Tuesday.5 June 2003

09:16 4,000 A surprise 4,000 month-on-month

decline in German unemploy-ment was caused by governmentlabour market policies ratherthan any cyclical upturn, aLabour Office source said onThursday.

8 July 200309:24

33,000 8 July 200308:17

German unemployment adjusted forseasonal factors fell by 33,000 in

June, said a source with knowledgeof data to be released by theFederal Labour Office on Tuesday.

6 August 200309:27

7,000 6 August 200308:21

German unemployment adjustedfor seasonal factors rose by7,000 in July to 4.408 million,said a source with knowledgeof data to be released by theFederal Labour Office onWednesday.

4 September

2003 09:25

0 4 September

2003 08:35

German unemployment adjusted for

seasonal factors was unchanged inAugust from Julys 4.408 million,said a source with knowledgeof data to be released by theFederal Labour Office onThursday.

9 October 200309:14

14,000 9 October2003 00:35

German unemployment adjusted forseasonal factors fell 14,000 inSeptember, a source withknowledge of the data said onThursday, attributing the

surprising drop to recent labourmarket reforms.

M. Andersson et al.



25/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote


12,000 6 November2003 00:34

German unemployment fellby 12,000 in seasonally adjustedterms in October as a resultof labour market reforms, aninformed source told Reuterson Thursday, a biggerdrop than analysts hadexpected.

4 December

2003 08:59

18,000 4 December2003 00:41

German unemployment fell by a

seasonally adjusted 18,000 inNovember as measures to getjobless people into trainingschemes or part-time jobs tookeffect, a source familiar with datato be released by the FederalLabour Office later on Thursdaytold Reuters.

8 January 200408:53

21,000 8 January2004 08:16

German unemployment fell by agreater than expected 21,000 inseasonally adjusted terms in

December, a source who has seendata to be released later onThursday told Reuters.


81,000 5 February2004 08:23

German unemployment fell by81,000 in seasonally adjustedterms in January, under a newmethod of calculation thatexcludes some people on trainingprogrammes, but was up morethan 20,000 under the oldmethod, a source who has seen

the data told Reuters on Thursday.4 March 2004

09:1726,000 4 March 2004

08:21German unemployment rose by

26,000 in seasonally adjustedterms in February, a source whohas seen the data told Reuters onThursday.

6 April 200409:32

44,000 6 April 200408:15

German seasonally adjustedunemployment rose by a higher-than-expected 23,000 in Aprilfrom the previous month,according to a source who has

seen data due to be released onWednesday.




26/31


27/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote


7,000 2 December2004 09:18

The number of unemployed peoplein Germany rose 7,000, inseasonally adjusted terms, inNovember from October, asource with access to the officialGerman Labour Agency data toldDow Jones Newswires onThursday.

4 January 2005

09:14

17,000 4 January

2005 08:33

The number of Germans out of work

rose by a seasonally adjusted17,000 in December fromNovember, Reuters said, citingunidentified people withknowledge of the figures from theFederal Labour Agency.


227,000 1 February2005 18:06

Germanys adjusted jobless totalincreased by 227,000 in Januaryfrom the previous month, aFederal Labour Officesource told Reuters on

Tuesday.1 March 2005

09:55161,000 28 February

2005 20:00The source said that unemployment

rose by 161,000 in Februaryversus the prior month on anadjusted basis, almost doublethe amount forecast byeconomists.

31 March 200508:55

92,000 30 March2005 13:29

Germanys seasonally adjustedjobless total rose by a bigger-than-expected 92,000 in March, aFederal Labour Office source told

Reuters on Wednesday.28 April 2005

09:30 79,000 27 April 2005

16:15The number of Germans out of work

unexpectedly fell on a seasonallyadjusted basis in April, the firstmonthly decline since January2004, a Labour Office source toldReuters on Wednesday.The adjusted total dropped by80,000 in April from March, thesource said. Economists had beenforecasting an adjusted rise of

17,500, according to a Reuterspoll.




28/31

Table A.1 Continued

Announcement

date

Actual

release

Early release/

leak Quote

31 May 200509:30

0 30 May 200515:04

German unemployment adjusted forseasonal factors was unchanged inMay, or slightly better thaneconomists expectations for adrop of around 10,000, a sourcefamiliar with the data told Reuterson Monday. The source said thatthe unadjusted total, a politicallysensitive number in Germany, fell

by 161,000 to 4.807 million.30 June 200509:25

23,000 29 June 200520:36

German unemployment adjusted forseasonal factors fell a larger-than-expected 23,000 month-on-month in June, a source familiarwith official Labour Office datasaid on Wednesday.

28 July 200509:55

42,000 27 July 200516:33

Unemployment in Germanyadjusted for seasonal swings fellby a much-bigger-than-expected40,000 in July from the previous

month, a source with knowledgeof the official data told Reuters onWednesday.

31 August 200509:55

12,000 30 August2005 16:51

Adjusted for seasonal swings,German unemployment fell by asmaller-than-expected 12,000month-on-month in August, asource with knowledge of theofficial data due for release onWednesday told Reuters.

29 September

2005 09:55

39,000 28 September

2005 20:26

German unemployment adjusted for

seasonal factors rose around40,000 in September, buckingexpectations for a decline,following a statistical change, asource with knowledge of officialdata said on Wednesday.


36,000 1 November2005 19:08

German unemployment adjusted forseasonal factors fell in October by36,000, more than double thedrop expected, after a statisticalblip pushed the total higher in

September, a source familiar withthe data said on Tuesday.

M. Andersson et al.



29/31

ACKNOWLEDGEMENTS

We are grateful for useful discussions with and suggestions from SvenAstheimer, Francesco Drudi, Michael Ehrmann, Michael Fleming, MarcelFratzscher, Manfred Kremer, Garry Schinasi, and two anonymous referees. Wewould also like to thank seminar participants from presentations at theInternational Conference on High Frequency Finance in Konstanz, at theECB, Danmarks Nationalbank and Sveriges Riksbank for useful comments.The views expressed in this paper are solely the responsibility of the authorsand should not be interpreted as reflecting the views of the ECB or Danmarks

Nationalbank. Any remaining errors are the authors responsibility.Address for correspondence: Magnus Andersson, European Central Bank,

Postfach 160319, 60066 Frankfurt am Main, Germany. Tel.: 49 69 13447410; fax: 49 69 1344 6514; e-mail: [email protected]

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Early release/

leak Quote


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