[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Yield curve sensitivity to investor positioning around economic shocks

Patrick Altmeyer (), Leva Boneva (), Rafael Kinston (), Shreyosi Saha () and Evarist Stoja ()
Additional contact information
Patrick Altmeyer: TU Delft
Leva Boneva: Swiss National Bank
Rafael Kinston: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Shreyosi Saha: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Evarist Stoja: University of Bristol

No 1029, Bank of England working papers from Bank of England

Abstract: Speculative trading activity may either support efficient market functioning or introduce price distortions. Using granular, daily EMIR Trade Repository data on short sterling futures, we investigate the interaction of speculative trading and macroeconomic shocks on UK yield curve pricing over a 16-month sample period from 2018 to 2020. Our results are largely consistent with efficient market functioning throughout the period, although we find some evidence that short speculative positions amplified yield curve moves in response to Brexit shocks, while long speculative positions had a dampening effect.

Keywords: Yield curve; economic data surprises; monetary policy surprises; positioning; market efficiency. (search for similar items in EconPapers)
JEL-codes: E43 G14 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2023-07-21
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... -economic-shocks.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1029

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().

 
Page updated 2024-12-21
Handle: RePEc:boe:boeewp:1029