Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123430
Authors: 
Bech, Morten L.
Lengwiler, Yvan
Year of Publication: 
2012
Series/Report no.: 
WWZ Discussion Paper 2012/06
Abstract: 
We present evidence on the changing dynamics of the yield curve from 1998 to 2011. We identify four different phases. As expected, the financial crisis represents a period of elevated yield volatility, but it can be split into two distinct periods. The split occurs when the Federal Reserve reached the zero lower bound. This bound suppressed volatility in the short end of the yield curve while increasing volatility in the long end — despite lower overall volatility in financial markets. In line with previous studies, we find that announcements with regard to the Federal Reserve's large scale asset purchases reduce longer term yields. We also quantify the effect of widely observed economic news, such as the non-farm payrolls and other items, on the yield curve.
Subjects: 
term structure of interest rates
financial crisis
interest rate dynamics
LSAP
unconventional monetary policy
JEL: 
E43
E52
Document Type: 
Working Paper

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