U.S. Employment Affects Which Financial Markets?

It is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets.

The U.S. employment report is an important release. The change in Non-Farm Payrolls ("NFP") as determined and published by the U.S. Department of Labor, Bureau of Labor Statistics, estimating the monthly change in the total number of employees on non-agricultural payrolls is published here. NFP is available from January 1994 with Economic Derivatives being sold for this release since October 2002. From October 2002 to July 2003, one auction was held for each release, then two auctions for each release until May 2005. Since June 2005 there have been three auctions for each release. In October 2006 the CME announced that a fifth economic derivative auction on the U.S. non-farm payroll was be added. How does NFP news affect different financial markets and instruments? Well, the Euro (EUR/USD) moves the most in response to the surprise component of the release. The following chart shows how other markets react, relative to the Euro. Currency markets clearly move the most, however there are still some significant relationships amongst other markets. Also there has been no attempt to optimize these relationships to account for differential effects of good and bad news, recent good/bad news, or a non-symmetric market opinion. The U.S. Trade Balance is also important for currencies as is, but to a lesser extent, the ISM Manufacturing PMI Index.