The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies
Abstract: The sensitivity of long-term interest rates to short-term interest rates is a central feature of the yield curve. This post, which draws on our Staff Report, shows that long- and short-term rates co-move to a surprising extent at high frequencies (over daily or monthly periods). However, since 2000, they co-move far less at lower frequencies (over six months or a year). We discuss potential explanations for this finding and its implications for the transmission of monetary policy.
File(s): File format is text/html https://libertystreeteconomics.newyorkfed.org/2019/03/the-sensitivity-of-long-term-interest-rates-a-tale-of-two-frequencies.html
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2019-03-04