The influence of macroeconomic news on term and quality spreads

摘要

The role of macroeconomic news on interest rates and yield spreads are of great interest to market observers and policy makers alike. The study investigates the impact of U.S. macroeconomic surprises on the daily market yields of seven debt-market instruments. In addition, various measures of term and quality spreads are constructed in order to ascertain their response to economic surprises. Several important results are documented. First, of the 23 types of 'news' release announcements, 17 of them have a significant influence on interest rate changes. Second, changes in the Treasury yields and the corporate bond yield are positively impacted by surprises in the CPI and non-farm payroll figures. Third, movements in the prime interest rate, which is one of the base rates used by banks to price short-term business loans, is positively influenced by an unexpected increase in business activity. Fourth, the Fed funds rate is found to be an important driving variable in the interest rate system. Changes in the Fed funds rate significantly influences every other security in the system, with the exception of corporate bonds, but is itself largely insulated from the movement in yields of other securities. Finally, the study finds several sources of news that impact the term and quality spread measures. Interestingly, news that would encourage economic agents to revise their inflationary expectations upward have a positive influence on the term spread, but on the other hand, they are seen to narrow the quality spread. In general, the results are in accordance with the major theories of interest rate behavior and determination.