Accessible Version
The Treasury Tantrum of 2023, Accessible Data
Figure 1. Ten-Year Treasury Yield from July 2023 to December 2023
Figure 1 shows the fluctuation of the ten-year treasury yield from mid-July to the end of December, alongside event lines at economic announcements and data releases. These events include the July FOMC, Q2 Treasury Refunding Statement, July CPI, August Employment Report, September FOMC, September Employment Report, September Retail Sales, November FOMC, October Employment Report, October CPI, and December FOMC. The x-axis is a daily time series over the indicated horizon and the y-axis shows the yield percent on that given day for each observation. The figure shows the rise and fall of the 10-year Treasury yield over the period.
Note: The Ten-Year Treasury yield corresponds to the on-the-run coupon yield, spaced at 5-minute intervals from 8:00 a.m. to 4:00 p.m. on business days.
Source: Bloomberg.
Figure 2. Distribution of 2.5-month changes in 10-year Treasury yield since 1990
Figure 2 is a histogram of the 2.5-month H15 yield changes from 1990 to present. Event lines are present for observations on October 19, 2023, the peak of the 10-year treasury yield increase, and December 28, 2023, the trough of the 10-year treasury yield movement. The x axis indicates the yield change across the indicated horizon for each bin in the histogram, and the y-axis shows the density of the observations in each bin. The figure shows that the changes over the two periods were highly unusual.
Note: The Ten-Year Treasury yield corresponds to the on-the-run coupon yield at the end of the day, based on H15 data. The interval 2.5 months reflects overlapping changes with daily data for every day since 1990 and was chosen to be consistent with the window from the July FOMC to the peak reached on October 19, 2023.
Source: Board of Governors of the Federal Reserve System, Selected Interest Rates - Business Daily, https://www.federalreserve.gov/releases/h15/.
Figure 3. Expected Average Rate for Next 10 Years and Model and Survey-Implied 10-Year Term Premiums
Figure 3 shows the expected ten-year yield and corresponding term premium from a multitude of models and surveys in two adjacent plots respectively. The models include the ACM, CR, KW, and basic linear regression models as described in the text. The surveys include the Blue Chip and SEP. The x-axis is a monthly time series from Jun 2023 to Jan 2024 and the y-axis is in yield. The figure shows that the expected average rates move similarly to the 2-year yield, while the term premiums move similarly with the 10y-2y yield (slope).
Note: The SEP typically only provides projections for year-end federal funds rate for three years in addition to a long-run projection. We use some interpolation to combine these projections to form an estimated 10-year average, which we then subtract from the 10-year yield to construct the term premium.
Source: Wolters Kluwer, Blue Chip.
Figure 4. Comparison of 10-Year Yield Change Over Recent Hiking Cycles Through 2023
Figure 4 shows a historical time series of the ten-year yield changes across different hiking cycles. The hiking cycles include the 1994, 1999, 2000, 2004, 2015, 2022, and the present hiking cycle from July to Dec 2023. The x-axis is number of business days from the first hike and the y-axis shows the yield change, motivating why all the time series start at origin of the plot. The figure shows the hiking cycle that is most similar to the current hiking cycle is the one from 1994.
Note: Plotted is the cumulative change in the 10-year yield, starting with the first hike in each cycle and ending with the last hike. The dashed black portion for 2022 corresponds to July 26, 2023 to December 29, 2023 and corresponds to what is plotted in Figure 1.
Source: Board of Governors of the Federal Reserve System, Selected Interest Rates - Business Daily, https://www.federalreserve.gov/releases/h15/.