The Federal Open Market Committee meeting minutes release can have an impact on Treasury Bond yields, especially when the tone differs from the mood of the post-meeting statement, according to the Federal Reserve Bank of San Francisco.
"Evidence suggests the release of the minutes can have a sizable impact on Treasury bond yields," Fernanda Nechio, a senior economist in the Economic Research Department of the Federal Reserve Bank of San Francisco, and Daniel J. Wilson is a research advisor in department, write in the Bank's latest
The authors measured changes in 2-, 5- and 10-year Treasury bond yields on days the statements and minutes were released from January 2009 to June 2016. While changes on the days the minutes were released were smaller than the statement days, the change on minutes days "still is meaningful."
For the five-year, the authors saw a 6.5 basis point change on statement days and an average change just under 5 basis points on minutes days. Since 2009, the average daily change is three basis points, the authors report.
Additionally, the authors note, "Fed communication became particularly important during the period when the Fed had little room to move its policy rate and thus used communication to shape expectations about future policy."
