Treasury Yield Surges Around Payrolls and Fed Speeches

A new analysis by economists Paul Beaudry, Paolo Cavallino, and Tim Willems reveals that nearly all of the increase in the U.S. 10-year Treasury's nominal yield since August 2020 occurred within specific three-day windows.

The researchers found that about 90% of the rise in the 10-year Treasury's yield took place around nonfarm payrolls reports and speeches by important Federal Reserve officials over the past six years.

Payrolls and Fed speeches seem to have a unique ability to cluster and trigger significant changes in the market, particularly for the 10-year Treasury. The analysis covers a broad period from August 2020 to present, indicating that this phenomenon is not limited to recent events but has been consistent over time.