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Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks

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  • Marfatia, Hardik A.

Abstract

This paper provides a novel analysis on the Treasury yield curve's response to monetary policy shocks and the role of financial market volatility and risks in assessment of the monetary policy impact. The results show that unlike the fixed coefficient approach usually used in the literature, the time varying parameter framework of the paper is needed to aptly unveil the latent dynamics of monetary policy impact on the bond markets. Wide time variation exists in the response of bond yields across all the maturities to the Federal Reserve's policy surprises. While the short-term rates respond more widely even the long-term rates show significant variation. Further, these time varying policy effects on interest rates are inversely related with the level of financial risks and economic uncertainty. These results are robust to several alternative aspects of risk and uncertainty.

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  • Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    • Handle: RePEc:eee:ecofin:v:34:y:2015:i:c:p:103-123
    DOI: 10.1016/j.najef.2015.08.006
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    7. Marfatia Hardik A., 2021. "Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 73-117, January.
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    9. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2022. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 241-261, July.
    10. Hüning, Hendrik, 2017. "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 160-177.
    11. Lassaâd Mbarek & Hardik A. Marfatia & Sonja Juko, 2018. "Time-varying Response of Treasury Yields to Monetary Policy Shocks: Evidence from the Tunisian Bond Market," Working Papers 1243, Economic Research Forum, revised 23 Oct 2018.
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    14. Hüning, Hendrik, 2016. "Asset market response to monetary policy news from SNB press releases," HWWI Research Papers 177, Hamburg Institute of International Economics (HWWI).

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