Low frequency effects of macroeconomic news on government bond yields

• 成果类型: Article
• 署名作者: Altavilla, Carlo; Giannone, Domenico; Modugno, Michele
• 署名单位: European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.08.004
• 发表日期: 2017
• 页码: 31-46
• 关键词: Macroeconomic announcement; news; Treasury bond yield

摘要

Are macroeconomic releases important drivers of Treasury bond yields? We develop a two-step regression strategy that fully exploits the available high-frequency market reaction data to identify the impact of macroeconomic releases and to quantify the effects at lower frequencies. While macroeconomic surprises explain only one tenth of the daily variation in bond yields, their explanatory power improves substantially at lower frequencies, accounting for one third of quarterly variations. The finding is explained by the persistent effects that macroeconomic surprises exert on bond yields, and a less persistent impact of residual factors, which tend to average out when focusing on longer-horizon changes. (C) 2017 Elsevier B.V. All rights reserved.