【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

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1、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.SWorking

2、PapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationa1.Sett1.ements,andfromtimetotimebyothereconomists,andarepub1.ishedbytheBank.Thepapersareonsubjectsoftopica1.interestandaretechnica1.incharacter.Theviewsexpressedinthemarethoseoftheirauthorsandnotnecessari1.ytheviewsof

3、theBIS.Thispub1.icationisavai1.ab1.eontheBJSWebSite(v%v.bis.org).BankforInternationa1.Sett1.ements2024.A1.1.rightsreserved.Briefexcerptsmaybereproducedortrans1.atedprovidedthesourceisstated.ISSN1020-0959(print)JSSN1682-7678(on1.ine)TheAsymmetricandPersistentEffectsofFedPo1.icyonG1.oba1.BondYie1.dsTo

4、biasAdriantGastonGe1.os*Nora1.amerSdOrBEmanue1.MOenChTJune26.2024AbstractWcdocumentthatU.S.nonetarj,po1.icyshockshavehigh1.ypersistentbutasymmetriceffectsonU.S.Treasun1andg1.oba1.bondyie1.ds,withac1.earbreakaroundtheGreatFinancia1.Crisis(GFC).PriortotheGFC,tighteningshocksusedto1.eadtoapronouncedhum

5、p-shapedincreaseOfTreaS1.uyyie1.dsacrossmaturities.Yie1.dsusedtorespond1.itt1.etoeasingshocksastermprcmiumswou1.drisestrong1.y,offsettingtheassociateddec1.ineofexpectedpo1.icyrates.SincetheGFC1tcnnpremiumshavebeendec1.iningpersistent1.yfo1.1.owingbothtighteningandeasingshocks.Asaresu1.t,post-GFCtigj

6、tcningshockson1.yhavetransitorypositiveeffectsonyie1.ds,whichreverse1.ater.Theresponseofadvanced-economyandemergingmarketsovereignyie1.dsessentia1.1.ymimicsthepatternobservedforTreasur,yie1.ds.ConsistentWiIhrecentworkbyKekreeta1.(2022)WefindthatchangesinthedurationofPrimarydea1.erTreasurx-portfo1.io

7、spre-andpost-GFCarehig1.1.yinformativeaboutthesignofthetermpremiumresponsetopo1.icyshocks,butcannotexp1.ainthefu1.1.picture.TheObSerVedpuzz1.ingpersistenceofreturnsis1.ike1.ytostemat1.eastinpartfroms1.owandpersistentmutua1.fundf1.owsfo1.1.owingmone1.arpo1.icysurprises.KCyWords:Spi1.1.overs,monetaryp

8、o1.icy,yie1.dcurve,capita1.f1.owsJE1.Codes:F32,E43,E52,G12,G151.IntroductionHowmonetarj,Po1.iCygetstransmittedthroughbondmarketsisacentra1.questioninmacrx)e-conomicsandfinance.Theimpactofmonctarpo1.icyactionsonthejrie1.dcurveshapesdomesticfinancia1.conditions,borrowingcosts,andsavingsreturns,andther

9、ebytheeffectsonrea1.activity.InthecaseoftheUnitedStates,thecentra1.ityofitsfinancia1.marketsandtheFedera1.Reserveintheg1.oba1.financia1.systemmeansthatassessingtheeffectofU.S.monetaryPo1.iCyonTreaSUryyie1.dSandg1.oba1.bondmarketsisa1.sokeytogaugeitsovera1.1.impact.Moststudiesontheseissueshavefocused

10、ontheimpactovershorthorizons.Recentresearch,however,suggeststhatat1.eastpriortotheGFC,theeffectsofU.S.monetarshockson1.onger-termyie1.dstendedtobui1.dupgradua1.1.yovertime,beyondahorizonofonemonth(Brookseta).(2020).T1.iisfindingpromptsmanyquestions,inc1.udingwhetherthepatternsti1.1.ho1.dsaftertheGFC

11、,whetheritisa1.sovisib1.eing1.oba1.spi1.1.overs,andwhethertheeffectsaresymmetricformonetarytighteningsandeasings.Agradua1.,persistentbui1.dupoftheimpacta1.soraisesquestionsregardingtheunder1.vngmechanisms.Inthispaper,weconductanin-depthexaminationoftheimpactofU.S.monetaryPoIiCysurprisesonU.S.TreaSUr

12、yandg1.oba1.bondyie1.dsthrough2022,assessingthebehaviorofexpectedratesandte11npremiums,anddifferentiatingbetweentightening-andeasingshocks.Wefurtherexp1.orepossib1.eexp1.anationsbehindtheObSerVedpatterns.VVebaseourbase1.ineana1.ysisonthehigh-frequencybasedmeasureofU.S.monetarj,po1.icyshocksbyNakamur

13、aandSteinsson(2018),aserieswhichhasbeenextendedbyAcosta(2022).Wethenestimate(pane1.)1.oca1.projectionsofTreasurjryie1.dsaswe1.1.asadvancedandemergingmaketcconomies,sovereignyie1.dsontheseshocks.WcUSCthedempositionofyie1.dsintoexpectedfitureshortrateandtermpremiumcomponentsfromAdrianeta1.(2019),andse

14、parate1.ystudytheirresponsetoU.S.monetarypo1.icysurprises.Wea1.sousepane1.Ioc1projectionstoassesstheimpactofmonetar,po1.icyshocksonf1.owsintoandoutofmutua1.fundsinvestedintherespectivesovereigndebtmarkets.Important1.y,Weconsiderhorizonsupto50weeksintothefutureina1.1.orregressions.Wefirstshowthatthep

15、ersistenceofmonetarypo1.icysurprisesdocumentedbyBrookse1.a1.(2020)fortheprc-GFCperiodisdrivenentire1.ybytighteningshocks.SuiprisechangesofFedpo1.icyarefo1.1.owedbyapersistenthump-shapedresponseofU.S.TreaSUryyie1.dSWithapeakimpactafteraround10weeksacrossmaturities.Striking1.y,thisresponseisanorderofm

16、agnitude1.argerthantheinitia1.bondmarketreaction.DecOrnPOsingTreasuriesintoexpectedrateandtermpremiumcomponents,weshowthatbothrespondpositive1.ytorestrictivepo1.icysurprises.Insharpcontrast,TreaSUryyieIdSon1.yrespond1.itt1.etoFedera1.Reser,eeasingshocks.Thereasonisthattermpremiumsrisestrong1.yandpersistent1.yfo1.1.owingaccommodativepo1.icynews,morethanoffsettingthedec1.ineofshort-rateexpectationsparticu1.a