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The Financial Crisis and the Changing Dynamics of the Yield Curve

Bech, Morten L. and Lengwiler, Yvan. (2012) The Financial Crisis and the Changing Dynamics of the Yield Curve. WWZ Discussion Papers, 2012 (06).

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Official URL: https://edoc.unibas.ch/61597/

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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.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmärkte (Lengwiler)
12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers
UniBasel Contributors:Bech, Morten and Lengwiler, Yvan
Item Type:Working Paper
Publisher:WWZ, University of Basel
Number of Pages:23
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Language:English
Identification Number:
  • handle: RePEc:bsl:wpaper:2012/06
Last Modified:16 Mar 2018 15:09
Deposited On:08 Mar 2018 13:11

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