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The Recent Bond Market Selloff in Historical Perspective

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Abstract

Long-term Treasury yields have risen sharply in recent months. The yield on the most recently issued ten-year note, for example, rose from 1.63 percent on May 2 to 2.74 percent on July 5, reaching its highest level since July 2011. Increasing yields result in realized or mark-to-market losses for fixed-income investors. In this post, we put these losses in historical perspective and investigate whether the yield changes are better explained by expectations of higher short-term rates in the future or by investors demanding greater compensation for holding long-term Treasuries.

Suggested Citation

  • Tobias Adrian & Michael J. Fleming, 2013. "The Recent Bond Market Selloff in Historical Perspective," Liberty Street Economics 20130805, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86881
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    File URL: https://libertystreeteconomics.newyorkfed.org/2013/08/the-recent-bond-market-selloff-in-historical-perspective.html
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    Cited by:

    1. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.

    More about this item

    Keywords

    bond markets; monetary policy; term premiums;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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