{"title":"利率的不确定性和美国国债收益率曲线的形状","authors":"Yasmeen Bayaa, Mahmoud Qadan","doi":"10.1007/s40822-024-00278-8","DOIUrl":null,"url":null,"abstract":"<p>We decompose the yield curve of U.S. Treasury bonds into three components—the level, slope, and curvature. We then explore the interaction between these factors and uncertainty in the U.S. bond market. We assess this uncertainty using a VIX-style estimate originating in options on the CBOE’s Treasury Note futures. Using monthly data for 2003–2020, we find that interest rate uncertainty drives the evolution in the shape of the yield curve, but not vice versa. Specifically, the bond market’s VIX-style metric not only correlates with but also influences the yield curve’s level and slope. Moreover, increased uncertainty about interest rates is negatively associated with, and can significantly influence, the yield curve’s curvature. The results of this study are crucial for both policymakers and money managers.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"18 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds\",\"authors\":\"Yasmeen Bayaa, Mahmoud Qadan\",\"doi\":\"10.1007/s40822-024-00278-8\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We decompose the yield curve of U.S. Treasury bonds into three components—the level, slope, and curvature. We then explore the interaction between these factors and uncertainty in the U.S. bond market. We assess this uncertainty using a VIX-style estimate originating in options on the CBOE’s Treasury Note futures. Using monthly data for 2003–2020, we find that interest rate uncertainty drives the evolution in the shape of the yield curve, but not vice versa. Specifically, the bond market’s VIX-style metric not only correlates with but also influences the yield curve’s level and slope. Moreover, increased uncertainty about interest rates is negatively associated with, and can significantly influence, the yield curve’s curvature. The results of this study are crucial for both policymakers and money managers.</p>\",\"PeriodicalId\":45064,\"journal\":{\"name\":\"Eurasian Economic Review\",\"volume\":\"18 1\",\"pages\":\"\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2024-06-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Eurasian Economic Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s40822-024-00278-8\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eurasian Economic Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s40822-024-00278-8","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds
We decompose the yield curve of U.S. Treasury bonds into three components—the level, slope, and curvature. We then explore the interaction between these factors and uncertainty in the U.S. bond market. We assess this uncertainty using a VIX-style estimate originating in options on the CBOE’s Treasury Note futures. Using monthly data for 2003–2020, we find that interest rate uncertainty drives the evolution in the shape of the yield curve, but not vice versa. Specifically, the bond market’s VIX-style metric not only correlates with but also influences the yield curve’s level and slope. Moreover, increased uncertainty about interest rates is negatively associated with, and can significantly influence, the yield curve’s curvature. The results of this study are crucial for both policymakers and money managers.
期刊介绍：
The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics.
Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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