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首页> 外文期刊>The North American journal of economics and finance >Reactions of US government bond yields to explicit FOMC forward guidance
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Reactions of US government bond yields to explicit FOMC forward guidance

机译：美国政府债券收益率对明确的FOMC前瞻性指导的反应

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摘要

We quantify the effect of explicit policy rate guidance by the FOMC at the zero lower bound of the policy rate on US government bond yields with maturities up to 10 years. We distinguish between different kinds of announcements, namely open-ended and time-contingent forward guidance announcements, and forward guidance announcements containing state-contingency. We find that open-ended and time-contingent forward guidance announcements led to a significant reduction in forward US Treasury yields at a wide range of horizons, with the largest reduction occurring at the 5-year ahead horizon for both kinds of announcements. By contrast, forward guidance announcements containing state-contingency led to a significant increase in forward US Treasury yields for horizons of 3-7 years ahead; this increase could however be due to associated asset purchase announcements. (C) 2015 Elsevier Inc. All rights reserved.
机译：我们量化了联邦公开市场委员会在政策利率为零下限的明确政策利率指导对期限长达10年的美国政府债券收益率的影响。我们区分不同类型的公告，即不限成员名额和时变的前瞻性公告，以及包含州突发事件的前瞻性公告。我们发现开放式和时空性的前瞻性指导公告导致美国远期国债收益率在广泛的范围内显着下降，两种类型的公告在未来5年的展望中跌幅最大。相比之下，包含州紧急状态的前瞻性指导公告导致未来3至7年的美国国库券远期收益率显着提高；但是，该增加可能是由于相关的资产购买公告。 （C）2015 Elsevier Inc.保留所有权利。

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