Bond Yields and the Federal Reserve
Bibliographic Data
| ID | 10180461 |
|---|---|
| Authors | Monika Piazzesi (National Bureau of Economic Research, corresponding author) |
| Year | 2005 |
| Volume | 113 |
| Issue | 2 |
| Pages | 311-344 |
| Publication date | 2005-03-21 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/427466 |
| OpenAlex | W2119728917 |
| Language | EN |
| Citations received | 9 |
| References cited | 21 |
Bond yields respond to policy decisions by the Federal Reserve and vice versa. To learn about these responses, I model a high‐frequency policy rule based on yield curve information and an arbitrage‐free bond market. In continuous time, the Fed's target is a pure jump process. Jump intensities depend on the state of the economy and the meeting calendar of the Federal Open Market Committee. The model has closed‐form solutions for yields as functions of a few state variables. Introducing monetary policy helps to match the whole yield curve, because the target is an observable state variable that pins down its short end and introduces important seasonalities around FOMC meetings. The volatility of yields is "snake shaped," which the model explains with policy inertia. The policy rule crucially depends on the two‐year yield and describes Fed policy better than Taylor rules
Arbitrage · Bond · Central bank · Econometrics · Economics · Financial economics · Jump · Monetary economics · Monetary policy · Open market operation · State (computer science · State variable · Taylor rule · Variable (mathematics · Volatility (finance · Yield (engineering · Yield curve · Credit Risk and Financial Regulations · Finance · Mathematics · Monetary Policy and Economic Impact · Stochastic processes and financial applications
Distributional patterns in the US monetary transmission
Negative interest rate policy and the yield curve
(Un)expected monetary policy shocks and term premia
Predictability of Interest Rates and Interest-Rate Portfolios
Semiparametric Estimates of Monetary Policy Effects
What Ties Return Volatilities to Price Valuations and Fundamentals
A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy
Zero-coupon interest rates
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
| Unique citing works | 9 |
|---|---|
| Citations per year | 0,5 |
| Citation span | 2008 - 2026 (19) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 9 |