| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25127 |
| 来源ID | Working Paper 25127 |
| Post-FOMC Announcement Drift in U.S. Bond Markets | |
| Jordan Brooks; Michael Katz; Hanno Lustig | |
| 发表日期 | 2018-10-08 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | The sensitivity of long-term rates to short-term rates represents a puzzle for standard macro-finance models. Post-FOMC announcement drift in Treasury markets after Federal Funds target changes contributes to the excess sensitivity of long rates. Mutual fund investors respond to the salience of Federal Funds target rate increases by selling short and intermediate duration bond funds, thus gradually increasing the effective supply to be absorbed by arbitrageurs. The gradual increase in supply generates post-announcement drift in longer Treasury yields, which spills over to other bond markets. Our findings shed new light on the causes of time-series-momentum in bond markets. A model in which mutual fund investors slowly adjust their extrapolative expectations of future short rates after a target change can qualitatively match the dynamics of yields and fund flows. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25127 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582801 |
| 推荐引用方式 GB/T 7714 | Jordan Brooks,Michael Katz,Hanno Lustig. Post-FOMC Announcement Drift in U.S. Bond Markets. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25127.pdf（1171KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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