Musa Amadeus, R. Bhargava, M. Guidi, Marvin Loh, Gideon Ozik, Ronnie Sadka
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Amadeus et al. (2022) observe that aggregated, consensus (top-down) central bank monetary tones in media contain predictive information pertaining to future weekly yield fluctuations. This article elucidates the more granular, stratified (bottom-up) dynamics underlying these relations. The predictive relationships between Fed consensus tones and yields are primarily driven by an underreaction of yields to the Fed Board of Governors’ tones between monetary policy meetings. Over short-term horizons, Treasury yields appear to price voting FOMC members’ (Board of Governors’ and Regional Bank Presidents’) tones while relatively longer-term horizon yields appear to reflect both voting and non-voting tones. Fed Regional Bank Presidents’ monetary tones are more responsive to regional inflation fluctuations than to unemployment. The analysis of the heterogeneous impacts of Fed members’ tones over distinct yield horizons provides insights pertaining to the pricing of voting and non-voting Fed members’ tones in Treasury markets.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.