【研报】国际清算银行-美联储政策对全球债券收益率的不对称和持续影响（英）-2024.7.docx

BISBISWorkingPapersNo1195TheasymmetricandpersistenteffectsofFedpo1.icyong1.oba1.bondyie1.dsbyTobiasAdrian.GastonGe1.os1Nora1.amersdOrtEmanue1.MoenchMonetaryandEconomicDepartmentJu1.y2024JE1.C1.assifkation:F32.E43,E52,G12,G1.SKeywords:Spi1.1.overs,monetarypo1.icy,yie1.dcurve,capita1.f1.owsB1.SWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationa1.Sett1.ements,andfromtimetotimebyothereconomists,andarepub1.ishedbytheBank.Thepapersareonsubjectsoftopica1.interestandaretechnica1.incharacter.Theviewsexpressedinthemarethoseoftheirauthorsandnotnecessari1.ytheviewsoftheBIS.Thispub1.icationisavai1.ab1.eontheBJSWebSite(v¼%v.bis.org).©BankforInternationa1.Sett1.ements2024.A1.1.rightsreserved.Briefexcerptsmaybereproducedortrans1.atedprovidedthesourceisstated.ISSN1020-0959(print)JSSN1682-7678(on1.ine)TheAsymmetricandPersistentEffectsofFedPo1.icyonG1.oba1.BondYie1.dsTobiasAdriantGastonGe1.os*§Nora1.amerSdOrBEmanue1.MOenChTJune26.2024AbstractWcdocumentthatU.S.nonetarj,po1.icyshockshavehigh1.ypersistentbutasymmetriceffectsonU.S.Treasun1andg1.oba1.bondyie1.ds,withac1.earbreakaroundtheGreatFinancia1.Crisis(GFC).PriortotheGFC,tighteningshocksusedto1.eadtoapronouncedhump-shapedincreaseOfTreaS1.uyyie1.dsacrossmaturities.Yie1.dsusedtorespond1.itt1.etoeasingshocksastermprcmiumswou1.drisestrong1.y,offsettingtheassociateddec1.ineofexpectedpo1.icyrates.SincetheGFC1tcnnpremiumshavebeendec1.iningpersistent1.yfo1.1.owingbothtighteningandeasingshocks.Asaresu1.t,post-GFCtigjtcningshockson1.yhavetransitorypositiveeffectsonyie1.ds,whichreverse1.ater.Theresponseofadvanced-economyandemergingmarketsovereignyie1.dsessentia1.1.ymimicsthepatternobservedforTreasur>,yie1.ds.ConsistentWiIhrecentworkbyKekreeta1.(2022)WefindthatchangesinthedurationofPrimarydea1.erTreasurx-portfo1.iospre-andpost-GFCarehig1.1.yinformativeaboutthesignofthetermpremiumresponsetopo1.icyshocks,butcannotexp1.ainthefu1.1.picture.TheObSerVedpuzz1.ingpersistenceofreturnsis1.ike1.ytostemat1.eastinpartfroms1.owandpersistentmutua1.fundf1.owsfo1.1.owingmone1.ar>po1.icysurprises.KCyWords:Spi1.1.overs,monetarypo1.icy,yie1.dcurve,capita1.f1.owsJE1.Codes:F32,E43,E52,G12,G151.IntroductionHowmonetarj,Po1.iCygetstransmittedthroughbondmarketsisacentra1.questioninmacrx)e-conomicsandfinance.Theimpactofmonctarpo1.icyactionsonthejrie1.dcurveshapesdomesticfinancia1.conditions,borrowingcosts,andsavingsreturns,andtherebytheeffectsonrea1.activity.InthecaseoftheUnitedStates,thecentra1.ityofitsfinancia1.marketsandtheFedera1.Reserveintheg1.oba1.financia1.systemmeansthatassessingtheeffectofU.S.monetaryPo1.iCyonTreaSUryyie1.dSandg1.oba1.bondmarketsisa1.sokeytogaugeitsovera1.1.impact.Moststudiesontheseissueshavefocusedontheimpactovershorthorizons.Recentresearch,however,suggeststhatat1.eastpriortotheGFC,theeffectsofU.S.monetar>'shockson1.onger-termyie1.dstendedtobui1.dupgradua1.1.yovertime,beyondahorizonofonemonth(Brookseta).(2020).T1.iisfindingpromptsmanyquestions,inc1.udingwhetherthepatternsti1.1.ho1.dsaftertheGFC,whetheritisa1.sovisib1.eing1.oba1.spi1.1.overs,andwhethertheeffectsaresymmetricformonetarytighteningsandeasings.Agradua1.,persistentbui1.dupoftheimpacta1.soraisesquestionsregardingtheunder1.vngmechanisms.Inthispaper,weconductanin-depthexaminationoftheimpactofU.S.monetaryPoIiCysurprisesonU.S.TreaSUryandg1.oba1.bondyie1.dsthrough2022,assessingthebehaviorofexpectedratesandte11npremiums,anddifferentiatingbetweentightening-andeasingshocks.Wefurtherexp1.orepossib1.eexp1.anationsbehindtheObSerVedpatterns.VVebaseourbase1.ineana1.ysisonthehigh-frequencybasedmeasureofU.S.monetarj,po1.icyshocksbyNakamuraandSteinsson(2018),aserieswhichhasbeenextendedbyAcosta(2022).Wethenestimate(pane1.)1.oca1.projectionsofTreasurjryie1.dsaswe1.1.asadvancedandemergingmaketcconomies,sovereignyie1.dsontheseshocks.WcUSCthedempositionofyie1.dsintoexpectedfitureshortrateandtermpremiumcomponentsfromAdrianeta1.(2019),andseparate1.ystudytheirresponsetoU.S.monetarypo1.icysurprises.Wea1.sousepane1.Ioc1projectionstoassesstheimpactofmonetar>,po1.icyshocksonf1.owsintoandoutofmutua1.fundsinvestedintherespectivesovereigndebtmarkets.Important1.y,Weconsiderhorizonsupto50weeksintothefutureina1.1.orregressions.Wefirstshowthatthepersistenceofmonetarypo1.icysurprisesdocumentedbyBrookse1.a1.(2020)fortheprc-GFCperiodisdrivenentire1.ybytighteningshocks.SuiprisechangesofFedpo1.icyarefo1.1.owedbyapersistenthump-shapedresponseofU.S.TreaSUryyie1.dSWithapeakimpactafteraround10weeksacrossmaturities.Striking1.y,thisresponseisanorderofmagnitude1.argerthantheinitia1.bondmarketreaction.DecOrnPOsingTreasuriesintoexpectedrateandtermpremiumcomponents,weshowthatbothrespondpositive1.ytorestrictivepo1.icysurprises.Insharpcontrast,TreaSUryyieIdSon1.yrespond1.itt1.etoFedera1.Reser,eeasingshocks.Thereasonisthattermpremiumsrisestrong1.yandpersistent1.yfo1.1.owingaccommodativepo1.icynews,morethanoffsettingthedec1.ineofshort-rateexpectationsparticu1.a