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Macroeconomic Data and Monetary Policy News: The Effect on U.S. Treasuries

This paper examines the relationship between forward rates and economic news. The model uses time series data from 2010 to 2020 and regresses daily changes in one-year forward rates on the surprise component of macroeconomic data releases and monetary policy announcements. The regression model replicates a model produced by members of the Federal Reserve Board. The analysis focuses on the long-term effects as previous studies demonstrate that long-term forward rates are affected by macroeconomic and monetary policy surprises. These results contrast with economic models that assume interest rates return to a deterministic steady-state after a macroeconomic or monetary policy shock.
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  • 2020-06-19
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  • Masters
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  • 2020-06-19T21:55:57Z
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