Economic surprises have a strong impact on fixed income and the yield curve. See "How do economic surprises impact the yield curve?". This paper looks at the announcement effect for a wide variety of macro data and shows the impact on the different duration instruments and the relative impact of different macro data. Like other asset classes, the employment announcements have the greatest impact. In all cases, the 30-year Treasuries will see the greatest impact. Given this duration difference, there will be a strong impact on the yield curve. Macro announcement effects are not just an equity risk premium phenomenon. Unfortunately, like other studies this one focuses on the 5-minute intervals right after the announcement. This is good to know but it is more important to know what will be the impact over the course of the day.
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