US yield curve shift and slope shocks: Domestic transmission and global spillovers

Abhishek Kumar

No wp-2026-53, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: We identify two novel US monetary policy shocks by combining high-frequency surprises around policy announcements with an estimated yield curve. The first, termed the shift shock, generates a hump-shaped movement of the yield curve in the US without altering its slope. The second, the slope shock, steepens the yield curve in the US mainly through changes in short-term rates. We show that Federal Reserve information effects likely confound the slope shock and exhibit no spillover to global asset prices or the South African economy.

Keywords: Monetary policy; Spillovers (search for similar items in EconPapers)
Date: 2026
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