Journal Article
What moves the interest rate term structure?
Abstract: To understand the effects of news on bond markets, it is instructive to look beyond individual maturities and consider the entire term structure of interest rates. For example, unexpected changes in monthly nonfarm payroll employment numbers cause large movements at short and medium maturities, but do not affect long-term interest rates. Inflation news affects the long end of the term structure. Monetary policy actions vary in their effects on interest rates, but cause volatility at all maturities, including distant forward rates.
Access Documents
File(s): File format is text/html http://www.frbsf.org/publications/economics/letter/2011/el2011-34.html
File(s): File format is application/pdf http://www.frbsf.org/publications/economics/letter/2011/el2011-34.pdf
Authors
Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2011
Order Number: 34