Macroeconomic Sources of Recent Interest Rate Fluctuations

Stefania D'Amico, Thomas King and Min Wei

Chicago Fed Letter, 2016, No 363

Abstract: The authors use a new statistical method to attribute daily changes in U.S. Treasury yields and inflation compensation to changes in investor beliefs about domestic and foreign growth, inflation, and monetary policy. They find that while foreign developments have been important drivers of U.S. yields and expected inflation over the last decade, the recent divergence between U.S. and European monetary policy has had little effect. Instead, the behavior of asset prices seems consistent with positive ?aggregate supply shocks.? One candidate for such shocks is the large decline in energy prices experienced since June 2014.

Keywords: interest rates; Inflation; monetary policy (search for similar items in EconPapers)
Date: 2016
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Working Paper: Macroeconomic Sources of Recent Interest Rate Fluctuations (2016)
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