Long-term nominal interest rates are surprisingly sensitive to high-frequency (daily or monthly) movements in short-term rates. Since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes (at 6- or 12-month horizons) in long- and short-term rates, which was also strong before 2000, has weakened substantially. This puzzling post-2000 pattern arises because increases in short rates temporarily raise the term premium component of long-term yields, leading long rates to temporarily overreact to changes in short rates. The frequency-dependent excess sensitivity of long-term rates that we observe in recent years is best understood using a model in which (i) declines in short rates trigger “rate-amplifying” shifts in investor demand for long-term bonds, and (ii) the arbitrage response to these demand shifts is both limited and slow. We study, theoretically and empirically, how such rate-amplifying demand can be traced to mortgage-refinancing activity, investors who extrapolate recent changes in short rates, and investors who “reach for yield” when short rates fall. We discuss the implications of our findings for the validity of event study methodologies and the transmission of monetary policy.

中文翻译：

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利率放大的需求和长期利率的过度敏感

长期名义利率对短期利率的高频（每日或每月）变动非常敏感。自 2000 年以来，这种高频敏感性在美国数据中变得更加强烈。相比之下，长期和短期利率的低频变化（在 6 个月或 12 个月的范围内）之间的关联在 2000 年之前也很强劲，但已大幅减弱。这种令人费解的 2000 年后模式之所以出现，是因为短期利率的上涨暂时提高了长期收益率的期限溢价部分，导致长期利率暂时对短期利率的变化反应过度。我们近年来观察到的长期利率与频率相关的过度敏感性最好使用以下模型来理解：(i) 短期利率下降触发投资者对长期债券需求的“利率放大”转变，(ii) 对这些需求变化的套利反应既有限又缓慢。我们从理论上和经验上研究了这种放大利率的需求如何可以追溯到抵押贷款再融资活动、推断近期短期利率变化的投资者以及在短期利率下跌时“寻求收益”的投资者。我们讨论了我们的发现对事件研究方法的有效性和货币政策传导的影响。