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The Bond Market Selloff in Historical Perspective

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Abstract

Treasury yields have risen sharply in recent months. The yield on the most recently issued ten-year note, for example, rose from 1.73 percent on March 4 to 3.48 percent on June 14, reaching its highest level since April 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 longer-term yield changes are better explained by expectations of higher short-term rates or by investors demanding greater compensation for holding Treasury securities.

Suggested Citation

  • Tobias Adrian & Michael J. Fleming, 2022. "The Bond Market Selloff in Historical Perspective," Liberty Street Economics 20220714, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:94472
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    File URL: https://libertystreeteconomics.newyorkfed.org/2022/07/the-bond-market-selloff-in-historical-perspective/
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    More about this item

    Keywords

    bond market; term premia; Treasury security;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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