How much do UK market interest rates respond to macroeconomic data news?

Quarterly Bulletin 2015 Q3
Published on 18 September 2015

By Fernando Eguren-Martin and Nick McLaren of the Bank’s Macro Financial Analysis Division.

Macroeconomic data releases receive considerable attention in financial market commentary, suggesting they are an important source of information that investors use to form their views about the economic outlook. This article quantifies the role played by these data releases in explaining observed changes in market interest rates in the United Kingdom. It looks at which data releases — both domestic and foreign — tend to have most effect on UK interest rates. It also examines how the importance of data releases can change over time and considers the factors that may explain changes in the sensitivity of interest rates to data news.

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