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- Title
Yield curve momentum.
- Authors
Sihvonen, Markus
- 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.
- Subjects
UNITED States. Federal Open Market Committee; FEDERAL funds market (U.S.); EARNINGS announcements; YIELD curve (Finance); HUMAN behavior models; TIME series analysis; RISK premiums
- Publication
Review of Finance, 2024, Vol 28, Issue 3, p805
- ISSN
1572-3097
- Publication type
Article
- DOI
10.1093/rof/rfae003