Yield Curve Momentum

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-02-11 DOI:10.1093/rof/rfae003

Markus Sihvonen

引用次数: 0

Abstract

I analyze time series momentum along the Treasury term structure. Yield curve momentum is primarily due to changes in the level factor of yields. Because yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post-FOMC announcement drift. The momentum factor is unspanned by the information in the term structure today and is hence inconsistent with standard term structure, macrofinance and behavioral models. I argue that the results are consistent with a model with unpriced longer term dependencies.

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收益率曲线动量

我分析的是国债期限结构的时间序列动量。收益率曲线动量主要是由收益率水平因子的变化引起的。由于收益率的变化部分是由联邦基金利率的变化引起的，因此收益率曲线动量与 FOMC 宣布后的漂移有关。动量因子不受当今期限结构信息的影响，因此与标准期限结构、宏观金融和行为模型不一致。我认为，结果与未定价的长期依赖性模型是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.