Seasonal Variations in Two-Year Treasury Note Yields

Abstract

We study seasonality in the two-year Treasury Note yields. We find that most anecdotally observed seasonal variations of yields do not pass the more rigorous statistical significance test. In addition, the seasonality findings depend on how me measure yields and what kind of seasonal patterns we test. No statistical significance is found with tests using nominal yields, most likely due to the fact that yields have been dropping substantially since the 1980s which distorted the mean values of yields. When we instead use the rank of monthly yields in a year to test the seasonality, however, we find strong statistical significance to support the variation of high yields from March to August and low yields from September to February.

Keywords: Seasonality, Treasury Yields, Asset Pricing

JEL Classification: G10, G12, G14