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"We analyze high-frequency responses of U.S. Treasury yields across the maturity spectrum to macroeconomic announcements. We find that surprises in the announcements evoke the sharpest reactions from the intermediate maturities, thus forming striking hump-shaped curves of announcement effects. We then fit an affine-yield model to the yield changes using the announcement surprises as GMM instruments. The model estimates imply that the announcements elicit larger shocks to an expected future target interest rate than to the current short-term interest rate and that different types of announcements generate different expectations about this target rate, how rapidly it will be approached, and how long it will be maintained"--Federal Reserve Bank of New York web site.
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Subjects
Econometric models, Economic indicators, Government securities, Interest rates, Prices, Rate of returnPlaces
United StatesShowing 2 featured editions. View all 2 editions?
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1
The term structure of announcement effects
1999, Bank for International Settlements, Monetary and Economic Dept.
Electronic resource
in English
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The term structure of announcement effects
1999, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/10/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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The Physical Object
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