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Discussion Paper
Why Were Treasury Yields So Stable Over the Summer?
Early this year, economic activity plummeted as COVID-19 cases around the world surged and governments enacted restrictions to mitigate the spread of the virus. Over the summer, as restrictions were gradually lifted, the near-term outlook for the economy improved and economic data prints began to come in stronger than expected.
Working Paper
Bond Risk Premiums at the Zero Lower Bound
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but extending the model with regime-switching in the (physical) dynamics of the factors at the lower bound resolves this shortcoming. The model is also consistent with the downwards trend in surveys on short rate expectations at long horizons, but requires a break in the level of its factors to closely fit the ...
Discussion Paper
Expectations about the Federal Funds Rate in the Long Run
To what extent does the persistent relatively low level of the federal funds rate reflect a decline in its long-run equilibrium? In this Note, we examine how views have evolved on that question among professional forecasters, Federal Open Market Committee (FOMC) participants, and investors in bond markets.