Table 1: Open in new tab Yield changes...

		3-day FOMC window	Outside window
(1)	1y Treasury yield (GSW)	–0.94***	(–5.02)	839	–0.01	(–0.24)	7,169	Jun 1989
(2)	2y Treasury yield (GSW)	–0.86***	(–4.16)	839	–0.02	(–0.27)	7,169	Jun 1989
(3)	5y Treasury yield (GSW)	–0.88***	(–3.88)	839	–0.00	(–0.06)	7,169	Jun 1989
(4)	5y on–the–run Treasury yield (BB)	–0.80***	(–3.13)	827	–0.02	(–0.22)	7,229	Jun 1989
(5)	5y inst. forward rate (GSW)	–0.89***	(–3.31)	839	0.01	(0.14)	7,169	Jun 1989
(6)	5y5y Treasury forward rate (GSW)	–0.73***	(–2.89)	839	–0.00	(–0.03)	7,169	Jun 1989
(7)	9y inst. forward rate (GSW)	–0.63**	(–2.51)	839	–0.01	(–0.16)	7,169	Jun 1989
(8)	10y Treasury yield (GSW)	–0.81***	(–3.64)	839	–0.00	(–0.05)	7,169	Jun 1989
(9)	10y on–the–run Treasury yield (BB)	–0.77***	(–3.27)	837	–0.01	(–0.14)	7,286	Jun 1989
(10)	30y Treasury yield (GSW)	–0.49**	(–2.40)	839	–0.03	(–0.45)	7,169	Jun 1989
(11)	30y on–the–run Treasury yield (BB)	–0.63***	(–3.12)	837	–0.02	(–0.27)	7,286	Jun 1989
(12)	10y Treasury yield (GSW)	–0.66**	(–2.29)	555	0.00	(0.02)	5,062	Jan 1999
(13)	10y TIPS yield (GSW)	–0.66**	(–2.58)	555	–0.02	(–0.35)	5,063	Jan 1999
(14)	10y on–the–run TIPS yield (BB)	–0.70***	(–2.75)	577	–0.00	(–0.06)	5,255	Feb 1997
(15)	10y Breakeven yield (GSW)	0.00	(0.02)	555	0.02	(0.47)	5,063	Jan 1999
(16)	10y Inflation swaps (BB)	0.13	(0.56)	414	–0.02	(–0.39)	3,978	Jul 2004
(17)	20y TIPS yield (GSW)	–0.62***	(–2.84)	555	–0.01	(–0.22)	5,063	Jan 1999
(18)	30y on–the–run TIPS yield (BB)	–0.57**	(–2.58)	563	–0.01	(–0.25)	5,156	Apr 1998

3-day FOMC window

Outside window

mean

t-stat

mean

t–stat

Start date

(1)

1y Treasury yield (GSW)

–0.94***

(–5.02)

839

–0.01

(–0.24)

7,169

Jun 1989

(2)

2y Treasury yield (GSW)

–0.86***

(–4.16)

839

–0.02

(–0.27)

7,169

Jun 1989

(3)

5y Treasury yield (GSW)

–0.88***

(–3.88)

839

–0.00

(–0.06)

7,169

Jun 1989

(4)

5y on–the–run Treasury yield (BB)

–0.80***

(–3.13)

827

–0.02

(–0.22)

7,229

Jun 1989

(5)

5y inst. forward rate (GSW)

–0.89***

(–3.31)

839

0.01

(0.14)

7,169

Jun 1989

(6)

5y5y Treasury forward rate (GSW)

–0.73***

(–2.89)

839

–0.00

(–0.03)

7,169

Jun 1989

(7)

9y inst. forward rate (GSW)

–0.63**

(–2.51)

839

–0.01

(–0.16)

7,169

Jun 1989

(8)

10y Treasury yield (GSW)

–0.81***

(–3.64)

839

–0.00

(–0.05)

7,169

Jun 1989

(9)

10y on–the–run Treasury yield (BB)

–0.77***

(–3.27)

837

–0.01

(–0.14)

7,286

Jun 1989

(10)

30y Treasury yield (GSW)

–0.49**

(–2.40)

839

–0.03

(–0.45)

7,169

Jun 1989

(11)

30y on–the–run Treasury yield (BB)

–0.63***

(–3.12)

837

–0.02

(–0.27)

7,286

Jun 1989

(12)

10y Treasury yield (GSW)

–0.66**

(–2.29)

555

0.00

(0.02)

5,062

Jan 1999

(13)

10y TIPS yield (GSW)

–0.66**

(–2.58)

555

–0.02

(–0.35)

5,063

Jan 1999

(14)

10y on–the–run TIPS yield (BB)

–0.70***

(–2.75)

577

–0.00

(–0.06)

5,255

Feb 1997

(15)

10y Breakeven yield (GSW)

0.00

(0.02)

555

0.02

(0.47)

5,063

Jan 1999

(16)

10y Inflation swaps (BB)

0.13

(0.56)

414

–0.02

(–0.39)

3,978

Jul 2004

(17)

20y TIPS yield (GSW)

–0.62***

(–2.84)

555

–0.01

(–0.22)

5,063

Jan 1999

(18)

30y on–the–run TIPS yield (BB)

–0.57**

(–2.58)

563

–0.01

(–0.25)

5,156

Apr 1998

		3-day FOMC window	Outside window
(1)	1y Treasury yield (GSW)	–0.94***	(–5.02)	839	–0.01	(–0.24)	7,169	Jun 1989
(2)	2y Treasury yield (GSW)	–0.86***	(–4.16)	839	–0.02	(–0.27)	7,169	Jun 1989
(3)	5y Treasury yield (GSW)	–0.88***	(–3.88)	839	–0.00	(–0.06)	7,169	Jun 1989
(4)	5y on–the–run Treasury yield (BB)	–0.80***	(–3.13)	827	–0.02	(–0.22)	7,229	Jun 1989
(5)	5y inst. forward rate (GSW)	–0.89***	(–3.31)	839	0.01	(0.14)	7,169	Jun 1989
(6)	5y5y Treasury forward rate (GSW)	–0.73***	(–2.89)	839	–0.00	(–0.03)	7,169	Jun 1989
(7)	9y inst. forward rate (GSW)	–0.63**	(–2.51)	839	–0.01	(–0.16)	7,169	Jun 1989
(8)	10y Treasury yield (GSW)	–0.81***	(–3.64)	839	–0.00	(–0.05)	7,169	Jun 1989
(9)	10y on–the–run Treasury yield (BB)	–0.77***	(–3.27)	837	–0.01	(–0.14)	7,286	Jun 1989
(10)	30y Treasury yield (GSW)	–0.49**	(–2.40)	839	–0.03	(–0.45)	7,169	Jun 1989
(11)	30y on–the–run Treasury yield (BB)	–0.63***	(–3.12)	837	–0.02	(–0.27)	7,286	Jun 1989
(12)	10y Treasury yield (GSW)	–0.66**	(–2.29)	555	0.00	(0.02)	5,062	Jan 1999
(13)	10y TIPS yield (GSW)	–0.66**	(–2.58)	555	–0.02	(–0.35)	5,063	Jan 1999
(14)	10y on–the–run TIPS yield (BB)	–0.70***	(–2.75)	577	–0.00	(–0.06)	5,255	Feb 1997
(15)	10y Breakeven yield (GSW)	0.00	(0.02)	555	0.02	(0.47)	5,063	Jan 1999
(16)	10y Inflation swaps (BB)	0.13	(0.56)	414	–0.02	(–0.39)	3,978	Jul 2004
(17)	20y TIPS yield (GSW)	–0.62***	(–2.84)	555	–0.01	(–0.22)	5,063	Jan 1999
(18)	30y on–the–run TIPS yield (BB)	–0.57**	(–2.58)	563	–0.01	(–0.25)	5,156	Apr 1998

Table 1:

Open in new tab

Yield changes within vs. outside the 3-day FOMC window

		3-day FOMC window			Outside window
		mean	t-stat	N	mean	t–stat	N	Start date
(1)	1y Treasury yield (GSW)	–0.94***	(–5.02)	839	–0.01	(–0.24)	7,169	Jun 1989
(2)	2y Treasury yield (GSW)	–0.86***	(–4.16)	839	–0.02	(–0.27)	7,169	Jun 1989
(3)	5y Treasury yield (GSW)	–0.88***	(–3.88)	839	–0.00	(–0.06)	7,169	Jun 1989
(4)	5y on–the–run Treasury yield (BB)	–0.80***	(–3.13)	827	–0.02	(–0.22)	7,229	Jun 1989
(5)	5y inst. forward rate (GSW)	–0.89***	(–3.31)	839	0.01	(0.14)	7,169	Jun 1989
(6)	5y5y Treasury forward rate (GSW)	–0.73***	(–2.89)	839	–0.00	(–0.03)	7,169	Jun 1989
(7)	9y inst. forward rate (GSW)	–0.63**	(–2.51)	839	–0.01	(–0.16)	7,169	Jun 1989
(8)	10y Treasury yield (GSW)	–0.81***	(–3.64)	839	–0.00	(–0.05)	7,169	Jun 1989
(9)	10y on–the–run Treasury yield (BB)	–0.77***	(–3.27)	837	–0.01	(–0.14)	7,286	Jun 1989
(10)	30y Treasury yield (GSW)	–0.49**	(–2.40)	839	–0.03	(–0.45)	7,169	Jun 1989
(11)	30y on–the–run Treasury yield (BB)	–0.63***	(–3.12)	837	–0.02	(–0.27)	7,286	Jun 1989
(12)	10y Treasury yield (GSW)	–0.66**	(–2.29)	555	0.00	(0.02)	5,062	Jan 1999
(13)	10y TIPS yield (GSW)	–0.66**	(–2.58)	555	–0.02	(–0.35)	5,063	Jan 1999
(14)	10y on–the–run TIPS yield (BB)	–0.70***	(–2.75)	577	–0.00	(–0.06)	5,255	Feb 1997
(15)	10y Breakeven yield (GSW)	0.00	(0.02)	555	0.02	(0.47)	5,063	Jan 1999
(16)	10y Inflation swaps (BB)	0.13	(0.56)	414	–0.02	(–0.39)	3,978	Jul 2004
(17)	20y TIPS yield (GSW)	–0.62***	(–2.84)	555	–0.01	(–0.22)	5,063	Jan 1999
(18)	30y on–the–run TIPS yield (BB)	–0.57**	(–2.58)	563	–0.01	(–0.25)	5,156	Apr 1998

		3-day FOMC window			Outside window
		mean	t-stat	N	mean	t–stat	N	Start date
(1)	1y Treasury yield (GSW)	–0.94***	(–5.02)	839	–0.01	(–0.24)	7,169	Jun 1989
(2)	2y Treasury yield (GSW)	–0.86***	(–4.16)	839	–0.02	(–0.27)	7,169	Jun 1989
(3)	5y Treasury yield (GSW)	–0.88***	(–3.88)	839	–0.00	(–0.06)	7,169	Jun 1989
(4)	5y on–the–run Treasury yield (BB)	–0.80***	(–3.13)	827	–0.02	(–0.22)	7,229	Jun 1989
(5)	5y inst. forward rate (GSW)	–0.89***	(–3.31)	839	0.01	(0.14)	7,169	Jun 1989
(6)	5y5y Treasury forward rate (GSW)	–0.73***	(–2.89)	839	–0.00	(–0.03)	7,169	Jun 1989
(7)	9y inst. forward rate (GSW)	–0.63**	(–2.51)	839	–0.01	(–0.16)	7,169	Jun 1989
(8)	10y Treasury yield (GSW)	–0.81***	(–3.64)	839	–0.00	(–0.05)	7,169	Jun 1989
(9)	10y on–the–run Treasury yield (BB)	–0.77***	(–3.27)	837	–0.01	(–0.14)	7,286	Jun 1989
(10)	30y Treasury yield (GSW)	–0.49**	(–2.40)	839	–0.03	(–0.45)	7,169	Jun 1989
(11)	30y on–the–run Treasury yield (BB)	–0.63***	(–3.12)	837	–0.02	(–0.27)	7,286	Jun 1989
(12)	10y Treasury yield (GSW)	–0.66**	(–2.29)	555	0.00	(0.02)	5,062	Jan 1999
(13)	10y TIPS yield (GSW)	–0.66**	(–2.58)	555	–0.02	(–0.35)	5,063	Jan 1999
(14)	10y on–the–run TIPS yield (BB)	–0.70***	(–2.75)	577	–0.00	(–0.06)	5,255	Feb 1997
(15)	10y Breakeven yield (GSW)	0.00	(0.02)	555	0.02	(0.47)	5,063	Jan 1999
(16)	10y Inflation swaps (BB)	0.13	(0.56)	414	–0.02	(–0.39)	3,978	Jul 2004
(17)	20y TIPS yield (GSW)	–0.62***	(–2.84)	555	–0.01	(–0.22)	5,063	Jan 1999
(18)	30y on–the–run TIPS yield (BB)	–0.57**	(–2.58)	563	–0.01	(–0.25)	5,156	Apr 1998

The table shows the mean yield change on days within the 3-day FOMC window and on days outside the 3-day FOMC window. Daily yield changes are reported in basis points. t-statistics based on Bell-McCaffrey standard errors are shown in parentheses.

p < .1,

p < .05,

***

p < .01

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