Treasuries variance decomposition and the impact of monetary policy

被引：2
作者：
Kontonikas, Alexandros [1 ]
Nolan, Charles [2 ]
Zekaite, Zivile [3 ]
Lamla, Michael [1 ]
机构：
[1] Univ Essex, Essex Business Sch, Finance Subject Grp, Colchester CO4 3SQ, Essex, England
[2] Univ Glasgow, Adam Smith Business Sch, Econ Subject Area, Glasgow G12 8QQ, Lanark, Scotland
[3] Cent Bank Ireland, Monetary Policy Div, North Wall Quay, Dublin D01 F7X3, Ireland
来源：
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2019年 / 24卷 / 04期
关键词：
bond market variance decomposition; financial crisis; monetary policy; INTEREST-RATES; EXPECTATIONS HYPOTHESIS; TERM STRUCTURE; STOCK; INFORMATION; INFLATION; IDENTIFICATION; MARKETS; MOVES;
D O I：
10.1002/ijfe.1744
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the effect of monetary policy shifts on Treasuries over the last three decades. We decompose unexpected excess returns on 2-, 5-, and 10-year Treasuries in three components related to revisions in expectations (news) about future excess returns, inflation, and real interest rates. We evaluate the impact of conventional and unconventional monetary policy shocks on returns and their components. Our results indicate that expansionary monetary policy shocks are associated with declining inflation expectations and higher Treasuries' returns.
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页码：1506 / 1519
页数：14
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