The term structure of announcement effects

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Abstract
We analyse high-frequency responses of the US yield curve to macroeconomic announcements, exploiting the high signal-to-noise ratios of these events. Surprises in the announcements evoke relatively weak reactions from the short maturities and the strong ones from the intermediate maturities. Thus the term structure of announcement effects is hump-shaped. We fit an affine-yield model to the yield changes, using the announcement surprises as instruments for the Generalised Method of Moments (GMM). The model estimates imply that the announcements impose larger shocks on an expected future target interest rate than on the current short-term interest rate and that different types of announcements generate different expectations about this target rate, how rapidly it will be approached, and how long it will be maintained.
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