Bond yields and the federal reserve

• 成果类型: Article
• 署名作者: Piazzesi, M
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/427466
• 发表日期: 2005
• 页码: 311-344
• 关键词: monetary-policy rules; term structure; interest-rates; MODEL; volatility; jumps

摘要

Bond yields respond to policy decisions by the Federal Reserve and vice versa. To learn about these responses, I model a high-frequency policy rule based on yield curve information and an arbitrage-free bond market. In continuous time, the Fed's target is a pure jump process. Jump intensities depend on the state of the economy and the meeting calendar of the Federal Open Market Committee. The model has closed-form solutions for yields as functions of a few state variables. Introducing monetary policy helps to match the whole yield curve, because the target is an observable state variable that pins down its short end and introduces important seasonalities around FOMC meetings. The volatility of yields is snake shaped, which the model explains with policy inertia. The policy rule crucially depends on the two-year yield and describes Fed policy better than Taylor rules.