PT - JOURNAL ARTICLE AU - Michael J. Fleming AU - Eli M. Remolona TI - What Moves Bond Prices? AID - 10.3905/jpm.1999.319756 DP - 1999 Jul 31 TA - The Journal of Portfolio Management PG - 28--38 VI - 25 IP - 4 4099 - https://pm-research.com/content/25/4/28.short 4100 - https://pm-research.com/content/25/4/28.full AB - This article takes a close look at a year in the U.S. Treasury securities market and tries to explain the sharpest price changes. The authors attribute each of the twenty-five largest price shocks during August of 1993 to August 1994 period to a just-released macro-economic announcement. They also measure the bond market's average reaction to various announcements and the reactions to surprise in the announcements headline numbers. The strongest responses are found to come from the employment, producer price index, and fed funds target rate announcements. Significant responses to U.S. Treasury security auctions results are documented for the first time.