| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15978 |
| DP15978 What Moves Treasury Yields? | |
| Emanuel Moench; Soroosh Soofi Siavash | |
| 发表日期 | 2022-03-02 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We identify a yield news shock as an innovation that does not move Treasury yields contemporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and expected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50 percent of Treasury yield variation several years out. A positive yield news shock is associated with a coincident sharp increase in stock and bond market volatility, a contemporaneous response of leading economic indicators, and is followed by a persistent decline of real activity and inflation which is accommodated by the Federal Reserve. Identified shocks to realized stock market volatility and business cycle news imply similar impulse responses and together capture the bulk of variation of the yield news shock. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Term structure of interest rates Yield curve News shocks Volatility shocks Business cycle news Structural dynamic factor models |
| URL | https://cepr.org/publications/dp15978-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546043 |
| 推荐引用方式 GB/T 7714 | Emanuel Moench,Soroosh Soofi Siavash. DP15978 What Moves Treasury Yields?. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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