Detail publikace

The importance of non-macroeconomic factors for explaining yield curve movements

Autor: Mgr. Ing. Adam Kučera ,
Typ: Submissions
Rok: 2018
Číslo: 0
Publikováno v: Submitted into: The European Journal of Finance
Místo vydání:
Klíčová slova: interest rate, macro-finance model, Nelson-Siegel, yield curve
JEL kódy:
Granty: Analýza dopadů vládních výdajů na časovou strukturu úrokových měr: Makro-finanční přístup
Abstrakt: We use a narrative approach combined with Bayesian inference to identify shocks beyond daily movements in U.S. Treasury yields between 2013 and 2018. We show that a significant share of the movements can be attributed to non-macroeconomic shocks. Most importantly, the flight to or from quality unrelated to the U.S. business cycle explained approximately one-third of the movements. This finding questions the common practice in the macro-finance term structure modelling, when the models are usually extended only by macroeconomic variables. We further support our finding by demonstrating the improved forecasting performance of a simple model after including non- macroeconomic information. Additionally, we use our shock attribution to construct a counterfactual path of U.S. yields and demonstrate the what-if path of yields in the event that U.S. Treasuries would not be subject to safe-haven flights.




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