US yield curve shift and slope shocks: Domestic transmission and global spillovers

We identify two novel US monetary policy shocks by combining high-frequency surprises around policy announcements with an estimated yield curve. The first, termed the shift shock, generates a humpshaped movement of the yield curve in the US without altering its slope. The second, the slope shock, steepens the yield curve in the US mainly through changes in short-term rates. We show that Federal Reserve information effects likely confound the slope shock and exhibit no spillover to global asset prices or the South African economy. In contrast, the shift shock appears to be free of such information effects and leads to a significant decline in global asset prices, including an increase in long-term yields and a rise in the slope of the yield curve in South Africa. Unlike the slope shock, the shift shock also causes a depreciation of the ZAR with respect to the USD. These findings contribute to the literature on US monetary policy by identifying shocks through the yield curve, which is ce