Secular Decline in Yields around FOMC Meetings

Federal Open Market Committee meetings (aka FED meetings) have a significant influence on the number of different assets (see for example our article related to drift in equities during FED meetings). The main channel which FED uses to influence the US economy is the level of short term interest rates. Therefore, it’s not a surprise that FED meetings have influence also on long-term interest rates. But just how big? Bigger than most people think. We are presenting one interesting research paper written by Sebastian Hillenbrand, which shows that the whole secular decline in equity yields and long-term interest rates since 1980 was realized entirely in a 3-day window around FOMC meetings. Now, that’s called the influence … — The Encyclopedia of Quantitative and Algorithmic Trading Strategies