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Journal Article
Miscommunication shook up mortgage, bond markets
Neely, Christopher J. (2004-04)
What the Fed said last year it could do if deflation surfaced was one thing. What the markets heard was another. The result was mania in the bond and mortgage markets.
The Regional Economist , Issue Apr , Pages 4-9

Journal Article
What determines the credit spread?
Krainer, John (2004)
Although the swings in economic measures during the last recession and recovery were fairly modest, swings in financial markets were quite large. Once financial markets found their footing, after steep losses in 2000-2002, prices on virtually all traded financial claims rose as the economic outlook improved. This pattern was particularly true in the corporate bond market. In this Economic Letter I describe the significant narrowing of bond spreads across different sectors and ratings classes since the last recession. I also discuss recent research on the determinants of relative pricing in ...
FRBSF Economic Letter

Working Paper
The signaling channel for Federal Reserve bond purchases
Bauer, Michael D.; Rudebusch, Glenn D. (2011)
Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future short term interest rates. Our evidence comes from dynamic term structure models that decompose declines in yields following Fed announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider unbiased model estimation and restricted risk price estimation. We also characterize the ...
Working Paper Series , Paper 2011-21

Working Paper
Informed and strategic order flow in the bond markets
Pasquariello, Paolo; Vega, Clara (2006)
We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions -- information heterogeneity and imperfect competition among informed traders -- and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. We find strong evidence of informational effects in the U.S. Treasury ...
International Finance Discussion Papers , Paper 874

Journal Article
How economic news moves markets
Sacarny, Adam; Bartolini, Leonardo; Goldberg, Linda S. (2008-08)
Exploring how the release of new economic data affects asset prices in the stock, bond, and foreign exchange markets, the authors find that only a few announcements - the nonfarm payroll numbers, the GDP advance release, and a private sector manufacturing report - generate price responses that are economically significant and measurably persistent. Bond yields show the strongest response and stock prices the weakest. The authors' analysis of the direction of these effects suggests that news of stronger-than-expected growth and inflation generally prompts a rise in bond yields and the exchange ...
Current Issues in Economics and Finance , Volume 14 , Issue Aug

Speech
Why are yield curves so flat and long rates so low globally? a speech at the Bankers' Association for Finance and Trade, New York, New York, June 15, 2006
Kroszner, Randall S. (2006)
Governor Randall S. Kroszner presented identical remarks at the Institute of International Bankers, New York, New York, June 15, 2006
Speech , Paper 219

Discussion Paper
The Recent Bond Market Selloff in Historical Perspective
Adrian, Tobias; Fleming, Michael J. (2013-08-05)
Long-term Treasury yields have risen sharply in recent months. The yield on the most recently issued ten-year note, for example, rose from 1.63 percent on May 2 to 2.74 percent on July 5, reaching its highest level since July 2011. Increasing yields result in realized or mark-to-market losses for fixed-income investors. In this post, we put these losses in historical perspective and investigate whether the yield changes are better explained by expectations of higher short-term rates in the future or by investors demanding greater compensation for holding long-term Treasuries.
Liberty Street Economics , Paper 20130805

Speech
Reflections on the yield curve and monetary policy
Bernanke, Ben S. (2006)
a speech before the Economic Club of New York, New York, New York
Speech , Paper 175

Working Paper
Bond risk premia and realized jump volatility
Wright, Jonathan H.; Zhou, Hao (2007)
We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term structure of forward rates nearly doubles the R square of the regression. Our market jump volatility measure is based on the realized jumps identified from high-frequency stock market returns using the bi-power variation technique. The significant enhancement of bond return predictability is robust to different forecasting horizons, to using non-overlapping returns and to the choice of different window sizes in computing the jump volatility. This market jump volatility factor also ...
Finance and Economics Discussion Series , Paper 2007-22

Speech
Prospects and risks in the bond market
Poole, William (2003)
Address before the St. Louis Financial Analysts Society, Sept. 4, 2003
Speech , Paper 29

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