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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | The impact of Monetary Policy Surprises on Treasury and Agency yields |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 36 |
| Date | 2020 |
| Abstract Text | In this thesis, I investigate the impact of monetary policy surprises on Treasury and agency yields. Using the methodology to calculate surprise changes, proposed by Kuttner (2001), I find a strong relationship between the unexpected part of the monetary policy decision and bond yields. Anticipated target rate changes on the other hand have very little influence on bond yields. The effects of interest rate surprises differ across residual maturities, having a greater effect in the short to medium term than in the long term. The results suggest that monetary policy surprises have a higher influence on Treasury bond yields than on agency bond yields. |
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