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Macroeconomic Sources of Recent Interest Rate Fluctuations

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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.

Suggested Citation

  • Stefania D'Amico & Thomas B. King & Min Wei, 2016. "Macroeconomic Sources of Recent Interest Rate Fluctuations," Chicago Fed Letter, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhle:00051
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    Cited by:

    1. Dominic Anene & Stefania D'Amico, 2017. "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series WP-2017-26, Federal Reserve Bank of Chicago.

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