Does a Fed rate decision move Treasury yields?
Verdict
- Direction (release_day): Not Significant
- Volatility (release_day): Significant
- Volatility (5d): Not Significant
On Fed (FOMC) decision days, the 10-year Treasury yield swings about 1.4× a normal day (p=0.035). Yields leaned lower across 2023–2025, but that direction is not a reliable rule.
Bottom line: Fed decision days are big days for bonds — but “big” means volatile, not predictable in direction.
The Data
| Dimension | Horizon | Value | Baseline | Test stat | p-value | Verdict |
|---|---|---|---|---|---|---|
| Direction | release_day | -3.8 bps | 0.0 bps | -2.79 | 0.010 | Not Significant |
| Volatility | release_day | 6.3 bps | 4.3 bps | 1.45 | 0.035 | Significant |
| Volatility | 5d | 12.5 bps | 10.5 bps | 1.19 | 0.167 | Not Significant |
- Direction (release_day): Yields averaged −3.8 bp on FOMC days (p=0.01 in this 2023–2025 sample). But this spans a single hiking-to-cutting regime and does not survive multiple-comparison correction, so we do not treat it as a robust, repeatable effect.
- Volatility (release_day): The FOMC-day absolute move is about 1.45× a normal day — the same volatility pattern independently seen on CPI days.
- Volatility (5d): The volatility bump is concentrated on the decision day and fades within a week.
Methodology
- Events (N): 24
- Window: 2023-02-01 → 2025-12-10
- Baseline: Unconditional distribution of k-trading-day changes
- Look-ahead protected: Yes
- Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline
Caveats
- The rate-sensitive 2-year Treasury shows a similar but borderline pattern (direction p=0.05).
- Direction results cover a single 2023–2025 policy regime; another regime could differ.
- Surprise (vs. expectations) conditioning is not applied — only the release-day reaction is measured.
- Historical statistics for informational purposes only, not financial advice. Results may vary with sample, period, and baseline definition.
Source
- 10-Year Treasury Constant Maturity, Federal Reserve Board via FRED (Tier A) — DGS10
- FOMC meeting dates, Federal Reserve Board (public domain) (Tier A) — FOMC calendar