Abstract

We show there is a much stronger negative, dynamic relation between changes in economic uncertainty and Treasury yields over weaker economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for weekly and monthly change horizons, for nominal yields and real-yield proxies, for multiple economic-state identification methods, and for different economic uncertainty metrics. We present additional findings that suggest short-term fluctuations in precautionary-savings and consumption-smoothing forces are more impactful on interest rate dynamics during weaker economic times, especially relying on surveys of expected economic growth and inflation.Received February 8, 2019; editorial decision August 24, 2020 by Editor Nikolai Roussanov. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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不确定性动力学中的经济状态变化

摘要

我们显示，至少从1990年以来，在经济疲软时期，经济不确定性变化与国债收益率之间存在更强的负动态关系。我们记录了每周和每月变化范围内名义收益率的不确定性-收益率动态变化的这种经济状态变化。和实际收益代理，适用于多种经济状态识别方法以及不同的经济不确定性指标。我们提出的其他研究结果表明，在经济疲软时期，预防性储蓄和消费平滑力量的短期波动对利率动态的影响更大，特别是依赖于对预期经济增长和通货膨胀的调查.2019年2月8日; 编辑决定尼古拉·鲁萨诺夫（Nikolai Roussanov）于2020年8月24日作出决定。作者提供了Internet附录，