Publication detail

Identification of triggers of U.S. yield curve movements

Author(s): Mgr. Ing. Adam Kučera Ph.D.,
Type: Articles in journals with impact factor
Year: 2020
Number: 54
ISSN / ISBN: 1062-9408
Published in: The North American Journal of Economics and Finance
Publishing place:
Keywords: Interest rate; Macrofinance model; Nelson–Siegel; Yield curve
JEL codes:
Suggested Citation: Adam Kučera (2020): Identification of triggers of U.S. yield curve movements. The North American Journal of Economics and Finance, Volume 54, 2020, 101288, ISSN 1062-9408, https://doi.org/10.1016/j.najef.2020.101288.
Grants: Examining the Impact of the Government Spending on the Term Structure of Interest Rates: A Macro-Finance Approach
Abstract: We present new evidence for understanding the sources of daily movements in U.S. Treasury yields. We use a novel narrative approach combined with Bayesian inference to identify news-based triggers of yield movements between 2001 and 2019. We show that the U.S. macroeconomic news was the core trigger of U.S. Treasury yield volatility over most of the period under analysis. However, the importance of non-macroeconomic news associated with capital flight has increased significantly since 2011, and they became the dominant source of movements in the long end of the U.S. yield curve after 2016. This highlights the growing importance of the U.S. Treasuries as a safe haven asset and implies possible partial loosening of the relation between U.S. Treasury yields and the U.S. business cycle.

22

January

January 2022
MonTueWedThuFriSatSun
     12
3456789
10111213141516
17181920212223
24252627282930
31      

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance