Kevin L. Kliesen of the Federal Reserve Bank of St. Louis analyzes the relationship between surprise macroeconomic announcements and Treasury inflation-indexed securities yields. The dataset likely contains announcement surprises and yield responses for nearly three dozen macroeconomic indicators. The analysis covers the period from January 1997 through June 2003.
Use Cases
- Modeling the response of real long-term interest rates to macroeconomic announcement surprises based on the described relationship.
- Analyzing the influence of labor productivity growth surprises on Treasury yields as indicated by the findings.
- Testing the proposition that Federal Reserve information is already priced in the market based on the described research focus.
Strengths
- Analysis is grounded in a specific time range from January 1997 through June 2003.
- Focuses on a concrete measure, the yield on Treasury inflation-indexed securities (TIIS).
- Evaluates responses to nearly three dozen macroeconomic announcements as stated in the description.
Limitations
- Column-level documentation is absent; field semantics must be inferred after download.
- Row count is unknown, which may limit suitability assessment.
- Last update date is unknown; freshness unverified.
Provenance
- Source
- Federal Reserve Bank of St. Louis
- Time Range
- January 1997 through June 2003