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What moves the interest rate term structure?

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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.

Suggested Citation

  • Michael D. Bauer, 2011. "What moves the interest rate term structure?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov.7.
    • Handle: RePEc:fip:fedfel:y:2011:i:nov.7:n:2011-34
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    References listed on IDEAS

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    1. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
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    Cited by:

    1. Mr. Sohrab Rafiq, 2015. "How Important are Debt and Growth Expectations for Interest Rates?," IMF Working Papers 2015/094, International Monetary Fund.

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