Managers of official foreign exchange reserves have been facing historically low yields on highly rated government securities, the instruments to which they have traditionally devoted the bulk of their investment portfolios. In mid-August 2003, after eight weeks of rising long-term interest...

What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...