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Yield curve sensitivity to investor positioning around economic shocks

Author

Listed:
  • Altmeyer, Patrick

    (TU Delft)

  • Boneva, Leva

    (Swiss National Bank)

  • Kinston, Rafael

    (Bank of England)

  • Saha, Shreyosi

    (Bank of England)

  • Stoja, Evarist

    (University of Bristol)

Abstract

Speculative trading activity may either support efficient market functioning or introduce price distortions. Using granular, daily EMIR Trade Repository data on short sterling futures, we investigate the interaction of speculative trading and macroeconomic shocks on UK yield curve pricing over a 16-month sample period from 2018 to 2020. Our results are largely consistent with efficient market functioning throughout the period, although we find some evidence that short speculative positions amplified yield curve moves in response to Brexit shocks, while long speculative positions had a dampening effect.

Suggested Citation

  • Altmeyer, Patrick & Boneva, Leva & Kinston, Rafael & Saha, Shreyosi & Stoja, Evarist, 2023. "Yield curve sensitivity to investor positioning around economic shocks," Bank of England working papers 1029, Bank of England.
    • Handle: RePEc:boe:boeewp:1029
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Yield curve; economic data surprises; monetary policy surprises; positioning; market efficiency.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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