Bond Yields and the Federal Reserve
构建一个高频政策规则模型，将美联储利率决策与无套利债券市场结合，用连续时间跳跃过程描述联邦基金目标利率，发现引入货币政策能更好拟合整条收益率曲线，且政策规则依赖两年期收益率，优于泰勒规则。
Bond yields respond to policy decisions by the Federal Reserve and vice versa. To learn about these responses, I model a high‐frequency policy rule based on yield curve information and an arbitrage‐free bond market. In continuous time, the Fed's target is a pure jump process. Jump intensities depend on the state of the economy and the meeting calendar of the Federal Open Market Committee. The model has closed‐form solutions for yields as functions of a few state variables. Introducing monetary policy helps to match the whole yield curve, because the target is an observable state variable that pins down its short end and introduces important seasonalities around FOMC meetings. The volatility of yields is "snake shaped," which the model explains with policy inertia. The policy rule crucially depends on the two‐year yield and describes Fed policy better than Taylor rules.