Term-Structure Factor Shifts and Economic News

Empirical evidence on jumps in the term structure of the US Treasury Market

“…Barrett, Gosnell and Heuson (2004) found that the unexpected news component of four announcements had the same impact across the maturity spectrum using zero coupon yields. In contrast, de Goeij and Marquering (2006) find that macroeconomic announcements are more influential at the intermediate and long end of the yield curve, while monetary policy changes affect short-term bonds most.…”

An evaluation of contingent immunization

“…5 The first three factors can be identified (as usual) as parallel, slope and curvature changes of the yield curve accounting for 77.94%, 15.69% and 4.68% of the total variance respectively. Compared with other countries (see Barrett, Gosnell andHeuson 2004 andDriessen, Melenberg andNijman 2003) parallel shifts seem to explain less of the behaviour of the term structure so the risk of failure of immunization strategies due to twists of the yield curve is greater than in other default free bond markets. 6…”

News, No-News and Jumps in the Us Treasury Market

“…In the case of q = 1 which corresponds to the univariate tests above equations (14) and (15) correspond to…”