The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models

By R. Gürkaynak, Brian P. Sack, Eric T. Swanson. 2005

928 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/aeaf5f1db8b828cd60d35644284260fd772a8d32

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In Economics and Econometrics

Citations in the corpus

A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY* (2003, background): “As stressed by Gürkaynak et al. (2005), long rates do appear empirically to respond to news about macroeconomic variables; however, standard macroeconomic models generally cannot reproduce such movements because their variables revert to the steady state too quickly. By allowing for time variation i”
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018, positive): “…by Fed Funds surprises controlling for employment report announcements, and Kuttner (2001), Cochrane and Piazzesi (2002), Faust et al. (2003), G€urkaynak et al. (2005) and Bernanke and Kuttner (2005), all of whom used interest rate changes around Federal Reserve announcement dates to measure…”
Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, neutral): “Gurkaynak, Sack, and Swanson (2005) also find that modeling a short rate with a central tendency is required to match the high-frequency response of long term bond yields to macroeconomic announcements.”
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014, methodology): “Note that 10–15 bp is the typical response of 5- and 10-year Treasury yields to a 100-bp surprise change in the federal funds rate target (Gürkaynak et al. 2005b), so the changes in Table 3 are large.”
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, neutral): “See Weber (2000a, 2000b), Shiller (2000), SEC (2000), Hasset (2000), Bushee, Matsumoto, and Miller (2004), Duarte, Han, Harford, and Young (2008).”
The Role of Central Bank Transparency for Guiding Private Sector Forecasts (2012, neutral): “We therefore opted for the measure proposed by Lacy (2006), and also applied in Badarinza and Buchmann (2009):”
Has U.S. Monetary Policy Tracked the Efficient Interest Rate (2014, neutral): “This is a common feature in the recent empirical DSGE literature, which helps capture the low-frequency movements in inflation and the nominal interest rate that are evident even in our relatively short sample (Gürkaynak et al., 2005; Ireland, 2007; Cogley et al., 2010; Del Negro and Eusepi, 2011; D”
Expectations, Bond Yields and Monetary Policy (2005, background): “…or an unexpected policy move, will shift the yield curve in response to innovations in market sentiment about future economic scenarios.1 Gurkaynak, Sack, and Swanson (2005a) find that a significant source of variation in long yields is the information content in Federal Reserve…”
The Voice of Monetary Policy (2021, neutral): “As macroeconomic news can move financial markets (Gurkaynak et al., 2005), we introduce an additional control in specification (4), the Citigroup Economic Surprise Index, which aggregates macroeconomic surprises in released data into one indicator.”
The science of monetary policy: an imperfect knowledge perspective (2018, neutral): “In contrast, the baseline New Keynesian model implies near-constant medium-term forecasts see, for example, Gürkaynak, Sack, and Swanson (2005).”