Finance and Economics Discussion Series: Data for FEDS 2013-16
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Monetary Policy Statements, Treasury Yields, and Private Yields: Before and After the Zero Lower Bound
Figure 1: Surprises in Yields Around FOMC Announcements Pre-ZLB and ZLB Period
| OBS | Surprise in 10-year Treasury yield | Change in 20-year Treasury Yield | Change in Baa Corporate Bond yield |
|---|---|---|---|
| 11/17/1993 | -0.012 | 0 | -0.0299999999999994 |
| 12/22/1993 | 0 | -0.0999999999999996 | -0.0600000000000005 |
| 2/04/1994 | 0.074 | 0.11 | 0.0499999999999998 |
| 3/22/1994 | -0.066 | -0.0899999999999999 | -0.109999999999999 |
| 4/18/1994 | 0.049 | 0.13 | 0.110000000000001 |
| 5/17/1994 | -0.095 | -0.19 | -0.199999999999999 |
| 7/06/1994 | 0.015 | 0.00999999999999979 | 0.0199999999999996 |
| 8/16/1994 | -0.047 | -0.12 | -0.0899999999999999 |
| 9/27/1994 | 0.024 | 0.0599999999999996 | 0.0499999999999989 |
| 11/15/1994 | -0.012 | -0.0499999999999989 | -0.0700000000000003 |
| 12/20/1994 | 0.006 | 0.0200000000000005 | 0 |
| 2/01/1995 | 0.032 | 0.04 | 0.00999999999999979 |
| 3/28/1995 | 0.016 | 0.0799999999999992 | 0.0600000000000005 |
| 5/23/1995 | 0.002 | -0.0500000000000007 | -0.0299999999999994 |
| 7/06/1995 | -0.134 | -0.109999999999999 | -0.0800000000000001 |
| 8/22/1995 | 0.026 | 0.0300000000000002 | 0.0199999999999996 |
| 9/26/1995 | 0.032 | 0.00999999999999979 | 0.0199999999999996 |
| 11/15/1995 | 0.016 | 0.00999999999999979 | 0.04 |
| 12/19/1995 | -0.008 | -0.0499999999999998 | -0.0599999999999996 |
| 1/31/1996 | -0.01 | -0.00999999999999979 | -0.0200000000000005 |
| 3/26/1996 | -0.002 | -0.00999999999999979 | 0.00999999999999979 |
| 5/21/1996 | 0.012 | 0.0300000000000002 | 0.0200000000000014 |
| 7/03/1996 | -0.011 | 0 | 0.00999999999999979 |
| 8/20/1996 | 0.013 | 0 | 0.00999999999999979 |
| 9/24/1996 | -0.031 | -0.04 | -0.0199999999999996 |
| 11/13/1996 | -0.024 | 0.0200000000000005 | 0.0199999999999996 |
| 12/17/1996 | 0.005 | 0.04 | 0.0300000000000002 |
| 2/05/1997 | 0.022 | 0.0299999999999994 | 0.0200000000000005 |
| 3/25/1997 | 0.056 | 0.0100000000000007 | 0.0200000000000014 |
| 5/20/1997 | -0.013 | 0.00999999999999979 | 0 |
| 7/02/1997 | -0.009 | -0.0199999999999996 | -0.0199999999999996 |
| 8/19/1997 | 0.013 | -0.00999999999999979 | -0.00999999999999979 |
| 9/30/1997 | 0.006 | 0.0299999999999994 | 0.0200000000000005 |
| 11/12/1997 | -0.023 | ||
| 12/16/1997 | -0.004 | -0.00999999999999979 | -0.0200000000000005 |
| 2/04/1998 | 0.007 | 0.0100000000000007 | 0 |
| 3/31/1998 | 0.004 | -0.04 | -0.0200000000000005 |
| 5/19/1998 | -0.008 | 0.0299999999999994 | 0.0200000000000005 |
| 7/01/1998 | 0.002 | 0 | 0 |
| 8/18/1998 | 0 | 0.00999999999999979 | 0 |
| 9/29/1998 | -0.004 | -0.04 | -0.00999999999999979 |
| 10/15/1998 | -0.15 | 0.0200000000000005 | 0.0299999999999994 |
| 11/17/1998 | -0.01 | 0.04 | -0.00999999999999979 |
| 12/22/1998 | 0.002 | 0.0700000000000003 | 0.0399999999999991 |
| 2/03/1999 | 0.024 | 0.00999999999999979 | 0 |
| 3/30/1999 | -0.006 | -0.0500000000000007 | -0.04 |
| 5/18/1999 | 0.108 | -0.00999999999999979 | 0.04 |
| 6/30/1999 | -0.077 | -0.0899999999999999 | -0.0600000000000005 |
| 8/24/1999 | -0.019 | -0.0300000000000002 | 0 |
| 10/05/1999 | 0.072 | 0.0800000000000001 | 0.0599999999999987 |
| 11/16/1999 | 0.038 | 0.0300000000000002 | -0.0199999999999996 |
| 12/21/1999 | 0.04 | 0.0200000000000005 | 0.0300000000000011 |
| 2/02/2000 | 0.046 | -0.0499999999999998 | -0.0499999999999989 |
| 3/21/2000 | -0.002 | -0.0299999999999994 | -0.00999999999999979 |
| 5/16/2000 | 0.009 | -0.04 | -0.0500000000000007 |
| 6/28/2000 | -0.015 | 0.0200000000000005 | 0.0299999999999994 |
| 8/22/2000 | 0.008 | -0.00999999999999979 | 0.0299999999999994 |
| 10/03/2000 | 0.025 | 0.0200000000000005 | 0 |
| 11/15/2000 | -0.021 | -0.04 | -0.0399999999999991 |
| 12/19/2000 | 0.026 | 0.0200000000000005 | 0.0199999999999996 |
| 1/03/2001 | 0.052 | 0.16 | 0.0599999999999996 |
| 1/31/2001 | 0.013 | -0.0299999999999994 | -0.0800000000000001 |
| 3/20/2001 | -0.008 | -0.0300000000000002 | 0 |
| 4/18/2001 | -0.027 | -0.00999999999999979 | -0.0500000000000007 |
| 5/15/2001 | -0.024 | 0.04 | 0.0499999999999989 |
| 6/27/2001 | 0.011 | -0.0100000000000007 | -0.0199999999999996 |
| 8/21/2001 | -0.006 | -0.00999999999999979 | 0.00999999999999979 |
| 10/02/2001 | -0.00195 | -0.0299999999999994 | -0.04 |
| 11/06/2001 | -0.019 | -0.00999999999999979 | 0.00999999999999979 |
| 12/11/2001 | -0.051 | -0.0300000000000002 | -0.0299999999999994 |
| 1/30/2002 | -0.01 | 0.00999999999999979 | 0.0499999999999998 |
| 3/19/2002 | -0.052 | 0.00999999999999979 | 0.0400000000000009 |
| 5/07/2002 | -0.0186 | 0 | -0.00999999999999979 |
| 6/26/2002 | 0.0081 | -0.0899999999999999 | -0.04 |
| 8/01/2002 | -0.0039 | 0 | -0.0199999999999996 |
| 8/13/2002 | -0.0515 | -0.0700000000000003 | -0.04 |
| 9/24/2002 | -0.0146 | -0.00999999999999979 | 0.00999999999999979 |
| 11/06/2002 | -0.0707 | -0.00999999999999979 | -0.0100000000000007 |
| 12/10/2002 | 0.0116 | -0.0300000000000002 | -0.0200000000000005 |
| 1/29/2003 | 0.0468 | 0.0499999999999998 | 0.00999999999999979 |
| 3/18/2003 | -0.021 | 0.0699999999999994 | 0.0299999999999994 |
| 5/06/2003 | -0.0542 | -0.04 | -0.0499999999999998 |
| 6/25/2003 | 0.0257 | 0.0900000000000007 | 0.0700000000000003 |
| 8/12/2003 | -0.0274 | 0 | 0.00999999999999979 |
| 9/16/2003 | -0.0059 | 0.0199999999999996 | 0.0300000000000002 |
| 10/28/2003 | -0.0788 | -0.0500000000000007 | -0.0500000000000007 |
| 12/09/2003 | 0.0936 | 0.0299999999999994 | 0.04 |
| 1/28/2004 | 0.1616 | 0.0999999999999996 | 0.0800000000000001 |
| 3/16/2004 | -0.0714 | -0.0599999999999996 | -0.0499999999999998 |
| 5/04/2004 | 0.0245 | 0.04 | 0.0499999999999998 |
| 6/30/2004 | 0.0119 | -0.0800000000000001 | -0.0499999999999998 |
| 8/10/2004 | 0.0231 | 0.0200000000000005 | 0.0300000000000002 |
| 9/21/2004 | -0.0249 | -0.0299999999999994 | -0.0199999999999996 |
| 11/10/2004 | -0.0295 | 0.0199999999999996 | 0.04 |
| 12/14/2004 | -0.0135 | -0.0199999999999996 | -0.0199999999999996 |
| 2/02/2005 | -0.0234 | -0.0200000000000005 | -0.00999999999999979 |
| 3/22/2005 | 0.1176 | 0.0699999999999994 | 0.0600000000000005 |
| 5/03/2005 | 0.0079 | -0.0100000000000007 | 0 |
| 6/30/2005 | -0.002 | -0.0499999999999998 | -0.0500000000000007 |
| 8/09/2005 | -0.0221 | -0.0199999999999996 | -0.0199999999999996 |
| 9/20/2005 | -0.0273 | -0.00999999999999979 | -0.0299999999999994 |
| 11/01/2005 | 0.0061 | 0.00999999999999979 | 0.0199999999999996 |
| 12/13/2005 | -0.0138 | -0.0100000000000007 | 0 |
| 1/31/2006 | 0.0359 | -0.0299999999999994 | -0.0200000000000005 |
| 3/28/2006 | 0.0426 | 0.0700000000000003 | 0.0699999999999994 |
| 5/10/2006 | 0.0381 | -0.00999999999999979 | -0.00999999999999979 |
| 6/29/2006 | -0.0083 | -0.0300000000000002 | -0.0300000000000002 |
| 8/08/2006 | 0 | 0.0200000000000005 | 0.0300000000000002 |
| 9/20/2006 | 0.0139 | -0.0100000000000007 | -0.00999999999999979 |
| 10/25/2006 | -0.0201 | -0.0499999999999998 | -0.04 |
| 12/12/2006 | -0.0353 | -0.0300000000000002 | -0.0200000000000005 |
| 1/31/2007 | -0.0123 | -0.0500000000000007 | -0.04 |
| 3/21/2007 | -0.0492 | -0.00999999999999979 | -0.00999999999999979 |
| 5/09/2007 | 0.0238 | 0.04 | 0.0300000000000002 |
| 6/28/2007 | 0.0084 | 0.0199999999999996 | 0.04 |
| 8/07/2007 | -0.0183 | 0.0299999999999994 | -0.0100000000000007 |
| 9/18/2007 | 0.0059 | 0.0499999999999998 | 0.0300000000000002 |
| 10/31/2007 | 0.0528 | 0.0700000000000003 | 0.0800000000000001 |
| 12/11/2007 | -0.0707 | -0.13 | -0.13 |
| 1/22/2008 | 0.0864 | ||
| 1/30/2008 | 0.0169 | 0.100000000000001 | 0.0899999999999999 |
| 3/18/2008 | -0.0205 | 0.0599999999999996 | 0.0300000000000002 |
| 4/30/2008 | -0.002 | -0.0699999999999994 | -0.0899999999999999 |
| 6/25/2008 | -0.0059 | 0.0199999999999996 | 0 |
| 8/05/2008 | 0.0176 | 0.0499999999999998 | 0.04 |
| 9/16/2008 | 0.0435 | -0.0199999999999996 | 0.0300000000000002 |
| 10/08/2008 | 0.0442 | 0.159999999999999 | 0.16 |
| 10/29/2008 | -0.0552 | 0.0800000000000001 | 0.0299999999999994 |
| 11/25/2008 | -0.0269 | -0.16 | -0.0900000000000016 |
| 12/01/2008 | 0.0087 | -0.2 | -0.19 |
| 12/16/2008 | -0.1424 | -0.13 | -0.15 |
| 1/28/2009 | 0.0137 | 0.16 | 0.139999999999999 |
| 3/18/2009 | -0.4389 | -0.34 | -0.229999999999999 |
| 4/29/2009 | 0.0679 | 0.04 | 0 |
| 6/24/2009 | 0.1011 | 0.0699999999999994 | 0.0600000000000005 |
| 8/12/2009 | 0.0198 | 0.0899999999999999 | 0.100000000000001 |
| 9/23/2009 | -0.0783 | 0 | -0.0199999999999996 |
| 11/04/2009 | 0.0228 | 0.0700000000000003 | 0.0899999999999999 |
| 12/16/2009 | 0.0343 | 0 | -0.0200000000000005 |
| 1/27/2010 | 0.0232 | -0.00999999999999979 | -0.00999999999999979 |
| 3/16/2010 | -0.0152 | -0.0500000000000007 | -0.0599999999999996 |
| 4/28/2010 | 0.0136 | 0.0699999999999994 | 0.0800000000000001 |
| 6/23/2010 | 0 | -0.0499999999999998 | -0.04 |
| 8/10/2010 | -0.0639 | -0.0299999999999998 | 0.0300000000000002 |
| 9/21/2010 | -0.0054 | -0.0799999999999996 | -0.0800000000000001 |
| 11/03/2010 | 0.0689 | 0.13 | 0.12 |
| 12/14/2010 | 0.0233 | 0.17 | 0.15 |
| 1/26/2011 | 0.0177 | 0.109999999999999 | 0.12 |
| 3/15/2011 | 0.0164 | -0.04 | 0 |
| 4/27/2011 | -0.0093 | 0.0499999999999998 | 0.0499999999999998 |
| 6/22/2011 | 0.0236 | 0.0100000000000002 | 0.00999999999999979 |
| 8/09/2011 | -0.0233 | -0.14 | -0.0700000000000003 |
| 9/21/2011 | -0.043 | -0.13 | -0.16 |
| 11/02/2011 | 0.0026 | 0.02 | 0.0199999999999996 |
| 12/13/2011 | -0.0139 | -0.0899999999999999 | -0.0499999999999998 |
| 1/25/2012 | -0.0511 | -0.04 | -0.00999999999999979 |
| 3/13/2012 | 0.0404 | 0.1 | 0.0899999999999999 |
| 4/25/2012 | 0.0141 | 0.00999999999999979 | 0.0299999999999994 |
| 6/20/2012 | -0.0375 | 0.00999999999999979 | -0.0199999999999996 |
| 8/01/2012 | 0.0272 | 0.04 | 0.04 |
| 9/13/2012 | 0.0772 | 0.00999999999999979 | 0.00999999999999979 |
| 10/24/2012 | -0.0035 | 0.02 | 0.0200000000000005 |
| 12/12/2012 | 0.0301 | 0.0699999999999998 | 0.0499999999999998 |
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