What moves the interest rate term structure?
AbstractTo 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.
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Bibliographic InfoArticle provided by Federal Reserve Bank of San Francisco in its journal FRBSF Economic Letter.
Volume (Year): (2011)
Issue (Month): Nov. 7 ()
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