Do jobs reports (NFP) move Treasury yields?
Verdict
- Direction (release_day): Not Significant
- Volatility (release_day): Significant
- Volatility (5d): Not Significant
On U.S. jobs-report days, the 10-year Treasury yield swings about 2× a normal day (p<0.001) — the biggest scheduled move of the macro releases we have tested. But the direction is unpredictable (p=0.55).
Bottom line: The jobs report is the single biggest scheduled day for bond volatility — but you still can’t predict which way yields go.
The Data
| Dimension | Horizon | Value | Baseline | Test stat | p-value | Verdict |
|---|---|---|---|---|---|---|
| Direction | release_day | 1.0 bps | 0.0 bps | 0.61 | 0.545 | Not Significant |
| Volatility | release_day | 8.5 bps | 4.3 bps | 1.97 | 0.001 | Significant |
| Volatility | 5d | 13.6 bps | 10.5 bps | 1.30 | 0.055 | Not Significant |
- Direction (release_day): Mean move ≈ 0 (p=0.55); strong-jobs and weak-jobs surprises offset.
- Volatility (release_day): ≈1.97× a normal day (p<0.001) — the largest of the macro releases we have tested. The rate-sensitive 2-year Treasury moves even more (≈2.35×).
- Volatility (5d): The volatility bump is concentrated on the release day and fades within a week.
Methodology
- Events (N): 36
- Window: 2023-01-06 → 2025-12-16
- 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 reacts even more strongly on jobs-report days (~2.35× a normal day).
- Surprise (vs. forecast) conditioning is not applied — only the release-day reaction is measured.
- Two late-2025 reports were delayed by the federal government shutdown but are included on their actual release dates.
- 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
- Employment Situation (jobs report) release dates, U.S. Bureau of Labor Statistics (via FRED) (Tier A) — Employment Situation