Yield curve momentum

Markus Sihvonen

Review of Finance, 2024, vol. 28, issue 3, 805-830

Abstract: I analyze time series momentum along the Treasury term structure. Yield curve momentum is primarily due to changes in the level factor of yields. Because yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post-FOMC (Federal Open Market Committee) announcement drift. The momentum factor is unspanned by the information in the term structure today and is hence inconsistent with standard term structure, macrofinance, and behavioral models. I argue that the results are consistent with a model with unpriced longer term dependencies.

Keywords: Bond risk premia; term structure models; time series momentum; spanning (search for similar items in EconPapers)
JEL-codes: E43 E47 G12 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Yield curve momentum (2021)
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