RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No! Appendix B: Additional Results

Jonathan Hambur and Qazi Haque

May 2023

Table B1: Robust F-statistics
  Baseline sample Orthogonalised No GFC Bootstrapped
Action shock(a) 9.84 6.62 7.68 8.89
Path shock(b) 0.14 0.34 0.32 1.31
Premia shock(b) 1.46 1.73 0.08 2.05
3-month OIS change(a) 9.21 na na na
24-month yield change(a) 8.32 na na na
Action shock – quarterly(a) 15.37 na 3.96 na
Path shock – quarterly(b) 1.77 na 0.47 na
Premia shock – quarterly(b) 2.12 na 0.56 na
Action shock – all events(a) 13.32 na na 14.03
Path shock – all events(b) 0.90 na na 1.01
Premia shock – all events(b) 1.82 na na 7.01

Notes: (a) Instrumenting for first principal component of yield curve.

(b) Instrumenting for second principal component of yield curve.

Figure B1: Factor Loadings
Factors for average expected rates, different event sets
Figure B1: Factor Loadings
Figure B2: Decomposition of High-frequency Yield Curve Changes
Other events
Figure B2: Decomposition of High-frequency Yield Curve Changes

Notes: Decomposition based on regression of yield changes on shock. Residuals excluded. Quarterly sum.

Figure B3: Response to Action Shock
Scaled to unit increase in first principal component of yield curve
Figure B3: Response to Action Shock
Figure B4: Response to Path Shock
Scaled to unit increase in second principal component of yield curve
Figure B4: Response to Path Shock
Figure B5: Response to Premia Shock
Scaled to unit increase in second principal component of yield curve
Figure B5: Response to Premia Shock
Figure B6: Response to Simpler Shocks
Scaled to unit increase in first principal component of yield curve
Figure B6: Response to Simpler Shocks
Figure B7: Response to Action Shock – All Events
Scaled to unit increase in first principal component of yield curve
Figure B7: Response to Action Shock – All Events

Note: Dashed lines denote 90 per confidence intervals (bootstrapped).

Figure B8: Response to Action Shock – Local Projections
Scaled to unit increase in first principal component of yield curve, selected variables
Figure B8: Response to Action Shock – Local Projections

Notes: Dashed lines denote 90 per cent confidence intervals. 10-year yield and cash rate bands excluded as their responses are constructed based on factor responses.