The authors investigate the link between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Their focus lies in the role played by macroeconomic announcements. To this aim the authors augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by aggregating deviations between data releases and market expectations on a set of indicators chosen for being closely watched by economic analysts and financial operators. The authors find that the dissemination of macroeconomic data on the US economy affects the level of sovereign spreads, i.e. the better the news the lower the spreads. Moreover, in many cases the dissemination of bad news on the euro area economy affects negatively the volatility, i.e. the worse the news the higher the volatility.