ACTV - How Do Economic Surprises Impact The Yield Curve?
2024-05-24 09:45:00 ET
Summary
- It is widely known that markets can be influenced by economic data releases that deviate significantly from consensus.
- We have quantified the impact of economic surprises on the US government bond market for different tenors, as measured by the quintile spread.
- There are notable differences in the market movements of the various tenors of the US yield curve, with longer maturities having a larger impact.
By Maria Vieira
In this insight, we examine the way significant deviations from the consensus in economic data releases can influence markets, and how economic surprises affect the yield curve, observing interesting correlations and differences in market movements. We discuss:
- How economic surprises impact the US yield curve in connection with its tenor dependency.
- The most influential indicators and which maturities have a larger impact on the yield curve.
- What really moves the markets through our wider series focussing on Economic surprises. To discover more, access our white paper and the first blog .