Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
Author:Altavilla, Carlo 

Working Paper
Low Frequency Effects of Macroeconomic News on Government Bond Yields
This study analyzes the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations with macroeconomic news, defined as differences between the actual releases and their market expectations. We show that macroeconomic news explain about one-third of the low frequency (quarterly) fluctuations of long-term bond yields. When focusing on the high frequency (daily) movements this share decreases to one-tenth. This result is due to the fact that macro news have a persistent effect on the yield curve. Non-fundamental factors, instead, substantially influence the day-to-day movements of bond yields but their effects are shorter-living and mean-reverting.
AUTHORS: Modugno, Michele; Altavilla, Carlo; Giannone, Domenico
DATE: 2014-06-23

The effectiveness of nonstandard monetary policy measures: evidence from survey data
We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures announced by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using survey data collected at the individual level, we analyze the change in forecasts of Treasury and corporate bond yields around the announcement dates of nonstandard monetary policy measures. We find that professional forecasters expect bond yields to drop significantly for at least one year after the announcement of accommodative policies.
AUTHORS: Altavilla, Carlo; Giannone, Domenico
DATE: 2015-12-01


FILTER BY Content Type

Report 1 items

Working Paper 1 items


FILTER BY Jel Classification

E43 1 items

E44 1 items

E47 1 items

E58 1 items

E65 1 items

G14 1 items

show more (1)