This paper investigates how macroeconomic announcements impact the price dynamics of the Bund Futures Contract. We use quotes sampled at a one-minute frequency and consider a large set of macroeconomic variables. Our results show that both news releases and the unexpected information content have a significant influence on price dynamics. The difference between values expected by analysts and announced values can explain a substantial fraction of Bund price returns and volatility. However, the two moments behave quite in a different way. Adjustment of returns to news releases is almost instantaneous. The volatility adjustment lasts at leasts few minutes, persistence may be up-to one hour long.