Identification of triggers of U.S. yield curve movements

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10415471" target="_blank" >RIV/00216208:11230/20:10415471 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=yhleT0Kfhw" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=yhleT0Kfhw</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.najef.2020.101288" target="_blank" >10.1016/j.najef.2020.101288</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Identification of triggers of U.S. yield curve movements

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Identification of triggers of U.S. yield curve movements

Popis výsledku anglicky

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

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

North American Journal of Economics and Finance

ISSN

1062-9408

e-ISSN

—

Svazek periodika

54

Číslo periodika v rámci svazku

November

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

18

Strana od-do

1-18

Kód UT WoS článku

000601313000001

EID výsledku v databázi Scopus

2-s2.0-85091025205