APPENDIX - Additional figures | Sveriges Riksbank

The figure shows two non-parametric estimates of the probability distributions of daily yield changes for a U.S. 10-year government bond from 1 June 1989 to 14 March 2024. One estimate represents days when Federal Reserve meetings took place, and the second estimate shows changes on all other days. In the figure, the lines visualise the distribution of changes in these specific circumstances. The line showing the distribution of rate changes on all days other than those of Federal Reserve meetings is centred around zero with low variance. The second line showing the distribution of changes on days with Federal Reserve meetings is slightly shifted to the left with higher variance.

Note. The figure shows two non-parametric estimates of a probability distribution based on daily changes in interest rates between 1 June 1989 and 14 March 2024 on Fed meeting days and on all other days. Sources: Federal Reserve and own calculations.

Three-line figure showing how 10-year US government bond yields changed over different time windows in relation to Federal Reserve meetings from 2000 to 2024. The figure illustrates two lines where one shows the sum of yield changes on Fed meeting days while the other shows the sum of changes on Fed meeting days that do not occur in the last month of each quarter. The decline in rates is captured during Federal Reserve meetings that take place in the last month of the quarter.

Note. The lines show hypothetical time series constructed by only taking into consideration the interest rate changes realised in the 3-day window around Fed meetings between 1 January 2000 and 14 March 2024 (blue line) and the interest rate changes realised in the 3-day window around Fed meetings in all months except March, June, September and December (red line). Interest rate changes that occurred on all other days outside this window are set to zero. See, for example, Crump and Lucca (2012) for an analysis and discussion of seasonal patterns in Fed rate setting between 1987 and 2008. They show that during this period the Fed had a greater tendency to cut interest rates in the first month of each quarter. While some of this seasonal pattern can be explained by the timing of meetings, a significant part of the seasonal variation is unexplained. Sources: Federal Reserve and Macrobond.

Figure showing how 10-year government bond yields in Canada, Finland, the United Kingdom, Germany, Sweden, Denmark, France, Norway and the United States changed on the days the Federal Reserve held monetary policy meetings between 2000 and 2024. All countries show a trend decline in interest rates but to a lesser extent than those in the United States.

Note. The figure shows the cumulative change in the yield on a 10-year government bond in Canada, Denmark, Finland, France, Germany, Norway, Sweden, the United Kingdom and the United States. The lines show hypothetical time series constructed by only taking into account the interest rate changes realised in the 3-day window around Fed meetings between 1 January 2000 and 14 March 2024. Interest rate changes that occurred on all other days outside this window are set to zero. The grey line is the same as the hypothetical time series (blue line) shown in Figure 2. The difference is that the hypothetical series is calculated from 1 January 2000 in this chart but from 1 June 1989 in Figure 2. Sources: Federal Reserve and Macrobond.

The figure shows how 10-year government bond yields in Canada, Finland, the United Kingdom, Germany, Sweden, Denmark, France, Norway and the United States changed on all days between 2000 and 2024. The figure clearly shows a steady decline in rates for all countries, with the exception of the period after 2020 when the trend is broken and rates increase.

Note. The figure shows the accumulated change in the yield on a 10-year government bond in Canada, Denmark, Finland, France, the United Kingdom, Norway, Germany, the United States and Sweden since 1 January 2000. Source: Macrobond.

Figure showing how Citi Economic Surprise index in Sweden, Canada and the United States changed on the days the Federal Reserve held monetary policy meetings between 2003 and 2024. The index for Sweden is above zero throughout the period, and also for Canada with the exception of a few periods. For the United States, the index is almost exclusively below zero with the exception of the early years, it also shows a clear downward trend.

Note. The lines show time series constructed by only taking into account the index changes realised in the 3-day window around the Fed’s monetary policy meetings between 1 January 2000 and 14 March 2024. Index changes that occurred on all other days outside this window are set to zero. The Citigroup Economic Surprise Index represents the sum of the difference between economic outcomes and forecasts. With a sum above 0, outcomes are more positive than market expectations. With a sum below 0, outcomes are generally worse than expected. Sources: Macrobond and own calculations.