Purpose

This study aims to address the fundamental question on how the major players in the economy dynamically interact with each other: among the central bank, the investors in the bond market and the firms and consumers that contribute to the economic growth, who gets information from whom, when and why?

Design/methodology/approach

To answer “who follows whom,” the authors apply a novel technique to examine the lead–lag relations between three time series, the federal funds rate, the treasury yield curve and the gross domestic product (GDP). To investigate “when and why,” the authors combine the lead–lag relations with principal component analysis to cluster economic states that are similar with respect to the eight macroeconomic variables.

Findings

The authors show that during the period 1977–2019, the bond market potentially obtained information from the federal funds rate (61% of the time) and less often (34% of time) from the changes in the GDP. Meanwhile, the funds rate decision by the Federal Reserve seems to lead the economic growth about 63% of the time. The analysis also suggests that the bond market obtained information directly from GDP when unemployment and inflation was high. In addition, the authors find that the federal funds rate was leading the GDP when the GDP deviated from the target value, consistent with the Federal Reserve’s policy of boosting and damping the economy when the GDP growth is low or high, respectively.

Originality/value

This study provides insights into the fundamental questions that have important implications for empirical work on the monetary policy, financial stability and economic activities.

中文翻译：

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GDP、美国国债收益率和联邦基金利率：谁跟随谁、何时以及为什么？

目的

本研究旨在解决经济中的主要参与者如何动态互动的基本问题：在中央银行、债券市场的投资者以及对经济增长做出贡献的公司和消费者之间，谁从谁那里获取信息，什么时候，为什么？

设计/方法/方法

为了回答“谁追随谁”，作者应用了一种新技术来检验三个时间序列、联邦基金利率、国债收益率曲线和国内生产总值 (GDP) 之间的领先-滞后关系。为了研究“何时以及为什么”，作者将领先-滞后关系与主成分分析相结合，对八个宏观经济变量相似的经济状态进行聚类。

发现

作者表明，在 1977 年至 2019 年期间，债券市场可能从联邦基金利率（61% 的时间）中获取信息，而较少（34% 的时间）从 GDP 的变化中获取信息。与此同时，美联储的基金利率决定似乎在大约 63% 的时间里引领经济增长。分析还表明，当失业率和通货膨胀率很高时，债券市场直接从 GDP 中获取信息。此外，作者发现，当 GDP 偏离目标值时，联邦基金利率领先于 GDP，这与美联储在 GDP 增长低或高时分别提振和抑制经济的政策是一致的。

原创性/价值

本研究提供了对对货币政策、金融稳定和经济活动的实证研究具有重要影响的基本问题的见解。