Federal Reserve Bank of San Francisco Working Paper Series the Bond Yield " Conundrum " from a Macro-finance Perspective the Bond Yield " Conundrum " from a Macro-finance Perspective
Federal Reserve Bank of San Francisco Working Paper Series the Bond Yield " Conundrum " from a Macro-finance Perspective the Bond Yield " Conundrum " from a Macro-finance Perspective
复制标题
旧金山联储工作文件系列 宏观金融视角下的债券收益率“难题” 宏观金融视角下的债券收益率“难题”
DOI：
10.2139/ssrn.2726013
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Tao Wu
中科院分区：
文献类型：
--
作者：
Glenn D. Rudebusch;Eric T Swanson;Tao Wu
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic conditions and rising short-term interest rates, a situation that former Fed Chairman Alan Greenspan dubbed a " conundrum. " We document the extent and timing of this conundrum using two empirical no-arbitrage macro-…nance models of the term structure of interest rates. These models con…rm that the recent behavior of long-term yields has been unusual— that is, it cannot be explained within the framework of the models. Therefore, we consider other macroeconomic factors omitted from the models and …nd that some of these variables, particularly declines in long-term bond volatility, may explain a portion of the conundrum. Foreign o¢ cial purchases of U.S Treasuries appear to have played little or no role. The views expressed in this paper are those of the authors and do not necessarily re ‡ect the views of other individuals within the Federal Reserve System. We thank Brian Sack, John Williams, Jonathan Wright, and seminar participants at the Federal Reserve Bank of San Francisco for helpful discussions and comments. Brian Sack graciously provided us with Matlab code and data. David Thipphavong and Vuong Nguyen provided excellent research assistance. The authors take full responsibility for any remaining errors and omissions. 1 [L]ong-term interest rates have trended lower in recent months even as the Federal Reserve has raised the level of the target federal funds rate by 150 basis points. This development contrasts with most experience, which suggests that, other things being equal, increasing short-term interest rates are normally accompanied by a rise in longer-term yields... For the moment, the broadly unanticipated behavior of world bond markets remains a conundrum.
