Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
通过无套利动态期限结构模型，研究美国宏观经济公告发布后债券收益率的剧烈变动，发现公告主要影响产出缺口预期，短期利率预期变化解释了大部分收益率波动，但风险溢价调整也起到重要作用。
What explains the sharp movements of the yield curve upon the release of major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements primarily because of the information they contain about the fundamentals of output, inflation, and the Fed’s inflation target. We model the updating process by linking the factor shocks to announcement surprises. Fitting this process to data on yield curve movements in 20-min event windows, we find that most major announcements, especially those about the labor market, are informative largely about the output gap rather than about inflation. The resulting changes in short-rate expectations account for the bulk of observed yield movements. But adjustments in risk premia are also sizable. In partly offsetting the effects of short-rate expectations, these adjustments help to account for the well-known hump-shaped pattern of yield reactions across maturities.