The Fed and the Secular Decline in Interest Rates
成果类型：
Article
署名作者：
Hillenbrand, Sebastian
署名单位：
Harvard University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454; 1465-7368
DOI：
10.1093/rfs/hhae089
发表日期：
2025-02-14
页码：
981-1013
关键词：
E43
E52
G12
G14
federal-reserve
monetary-policy
natural rate
yield curve
returns
INFORMATION
liquidity
demand
摘要：
This paper documents a striking fact: a narrow window around Fed meetings captures the entire secular decline in U.S. Treasury yields. Yield movements outside this window are transitory and wash out over time. This is surprising because the forces behind the secular decline are thought to be independent of monetary policy. Long-term bond yields decline when the Fed cuts the short rate and when the Fed lowers its long-run forecast of the federal funds rate (the dot plot). These results are consistent with the view that Fed announcements provide guidance about the long-run path of interest rates.
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