پاسخ نامتقارن به شگفتی های سیاست های پولی در بلند مدت در پایان منحنی بازده

This paper investigates the responsiveness of asset markets to monetary policy path revisions. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of longer term Treasury securities to path revisions is significantly asymmetric, the magnitude of which increases during tightenings and decreases during easings. These findings blend nicely with the earlier literature that documents asymmetric effects of monetary policy on output.

In this paper, we analyze the responsiveness of asset markets to revisions in near-term monetary policy expectations. By investigating the sensitivity of asset markets to monetary policy surprises beyond the current month, we detect a stronger reaction to policy actions at the longer-end of the yield curve, consistent with the rational expectations hypothesis. More importantly, we are able to document an asymmetry where the responsiveness of longer term securities is significantly stronger during times of tightenings relative to times of easings. The responsiveness of asset markets to monetary policy actions has been a popular topic of investigation. A common finding in these studies is a general decline in the effectiveness of monetary policy at the longer horizons of the yield curve (see e.g. Cook and Hahn, 1989, Roley and Sellon, 1995, Kuttner, 2001, Demiralp and Jorda, 2004 and Gurkaynak et al., 2005). By pointing to an asymmetric response of the asset markets to monetary policy actions, we illustrate that the decline in the responsiveness to monetary policy along the yield curve is much more muted during tightening periods. Our findings tie together the literature on the monetary policy and the yield curve to the studies that detect an asymmetry in the effectiveness of monetary policy in influencing output (see e.g. De Long and Summers, 1988, Cover, 1992 and Morgan, 1993). We supplement our results by providing a dynamic analysis of the responsiveness of asset markets to monetary policy path revisions. The dynamic analysis underlines the evidence of an asymmetry where the responsiveness of longer term yields follows the policy changes. The rest of the paper is organized as follows: In the next section we provide a brief literature review on the anticipation effect in asset markets and provide a perspective on the issue. Section 3 presents the empirical results while Section 4 concludes. Appendix A explains the methodology of calculating policy path revisions based on federal funds futures contracts.

In this paper we analyzed the responsiveness of asset markets to monetary policy path revisions. Our findings underlined a strong asymmetry in the responsiveness of longer term Treasury yields to path revisions. We concluded that the monetary policy is more influential in controlling longer-term rates during times of tightenings relative to easings. This finding provides a smooth transition from the term structure literature to the literature that found asymmetric effects of monetary policy on output. Our findings are relevant in predicting the outlook for financial markets in the near future. As the Federal Reserve started giving signals about the end of the recession, expectations about a tightening cycle began to emerge in financial markets. Our findings in this paper suggest that the corresponding increase in longer term Treasury rates should take place rather promptly. This paper documented evidence in favor of an asymmetric response during times of policy tightenings. Our findings are robust to different sample periods or potential outliers as well as any macroeconomic news announcements that take place on our event days. Searching for the underlying causes of this asymmetry is beyond the scope of the current paper and should be an interesting topic of investigation for future research