Abstract
We present new evidence for understanding the sources of daily movements in U.S. Treasury yields.
We use a novel narrative approach combined with Bayesian inference to identify news-based triggers of yield movements between 2001 and 2019. We show that the U.S. macroeconomic news was the core trigger of U.S.
Treasury yield volatility over most of the period under analysis. However, the importance of non-macroeconomic news associated with capital flight has increased significantly since 2011, and they became the dominant source of movements in the long end of the U.S. yield curve after 2016.
This highlights the growing importance of the U.S. Treasuries as a safe haven asset and implies possible partial loosening of the relation between U.S.
Treasury yields and the U.S. business cycle