Does GDP move Treasury yields?

Verdict

Direction (release_day): Not Significant

Volatility (release_day): Not Significant

Volatility (5d): Not Significant

GDP measures the previous quarter — and by the time it lands, the market already knows. On GDP-release days the 10-year Treasury yield moves about as much as a normal day (1.1×, not significant), with no consistent direction.

Bottom line: GDP is backward-looking — the quarter is already over and well-estimated, so Treasuries barely react.

The Data

Dimension	Horizon	Value	Baseline	Test stat	p-value	Verdict
Direction	release_day	1.7 bps	0.0 bps	0.90	0.388	Not Significant
Volatility	release_day	4.8 bps	4.3 bps	1.12	0.295	Not Significant
Volatility	5d	11.0 bps	10.5 bps	1.05	0.383	Not Significant

Direction (release_day): Mean +1.7 bp (p=0.39); no consistent direction.
Volatility (release_day): ≈1.12× a normal day (p=0.30) — not a significant volatility event. The rate-sensitive 2-year moves a bit more but still not significantly (≈1.37×, p=0.14).
Volatility (5d): No elevation over a week (~1.0× normal).

Methodology

Events (N): 12
Window: 2023-01-26 → 2025-12-23
Baseline: Unconditional distribution of k-trading-day changes
Look-ahead protected: Yes
Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline

Caveats

Only 12 quarterly advance estimates fall in this window (2023–2025), so statistical power is limited — a modest real effect could go undetected.
Uses advance (first) estimates only — the market-moving release; later revisions move yields even less.
Surprise (vs. forecast) 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
GDP (advance estimate) release dates, U.S. Bureau of Economic Analysis (via FRED) (Tier A) — Gross Domestic Product