RT Journal Article
SR Electronic
T1 Monetary Policy and Interest Rate Factors
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 63
OP 70
DO 10.3905/jfi.2009.19.2.063
VO 19
IS 2
A1 Gerald W Buetow, Jr.
A1 Frank J Fabozzi
A1 Brian J Henderson
YR 2009
UL https://pm-research.com/content/19/2/63.abstract
AB Previous research establishes the stylized fact that bond returns differ across monetary policy regimes. Specifically, bond returns are higher (lower) and exhibit lower (higher) standard deviations during expan-sive (restrictive) policy periods. Using the three factors known to explain bond returns, we find that the level and slope factors drive the pattern documented in the literature. We find, however, that this pattern is not present in recent data. Our results suggest that either the linkage between monetary policy and bond returns changed or that the association documented in the extant literature arose spuriously.TOPICS: Exchanges/markets/clearinghouses, fixed-income portfolio management, factor-based models