Information analysis in fixed-income markets

Abstract

<p>There is lots of related information around fixed-income trade that their understanding is important for interested practitioners and researchers. In this report, more than 1 70 variables have been reported from fixed-income market literature. These variables have been categorized in two major groups: fundamental variables and market microstructure dynamics. Fundamental variables have been categorized as macroeconomic, regional and corporate variables. Market microstructure variables have been categorized as price formation, market structure and trading information. Other reported variables are about bond features. Most of the reported variables do not directly relate to bond price, the mediated variables have been reported for more clarifications. The causal relationships between macroeconomic variables have been displayed in terms of announcement effects, surprise effects and domestic variables.</p>