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US yield curve shift and slope shocks: Domestic transmission and global spillovers

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  • Abhishek Kumar

Abstract

We identify two novel US monetary policy shocks by combining high-frequency surprises around policy announcements with an estimated yield curve. The first, termed the shift shock, generates a hump-shaped movement of the yield curve in the US without altering its slope. The second, the slope shock, steepens the yield curve in the US mainly through changes in short-term rates. We show that Federal Reserve information effects likely confound the slope shock and exhibit no spillover to global asset prices or the South African economy.

Suggested Citation

  • Abhishek Kumar, 2026. "US yield curve shift and slope shocks: Domestic transmission and global spillovers," WIDER Working Paper Series wp-2026-53, World Institute for Development Economic Research (UNU-WIDER).
    • Handle: RePEc:unu:wpaper:wp-2026-53
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