IESET.
Hypotheses·monetary·fed_qt_balance_sheet_unwind_2022_2025_market_response

Fed quantitative tightening (QT) 2022-06 to 2025 — running off Treasury and MBS holdings at peak ~$95B/month (slowed to ~$60B in 2024-Q2) — produced small but detectable upward pressure on term premia and mortgage spreads, consistent with the QE channel operating in reverse but at materially weaker magnitude per dollar of balance-sheet change.

Asymmetric: QT effects are roughly half the size of QE effects per equivalent balance-sheet movement, supporting the "stock-not-flow" channel and suggesting market segmentation matters less in unwind than in accumulation.

REFUTEDengine/runs/fed_qt_balance_sheet_unwind_2022_2025_market_response

REFUTED - cumulative term-premium response is non-positive

confidence cueThis test cuts against the claim as written or misses its pre-declared threshold.

policy briefNeeds review

In ordinary language

In plain terms, this asks whether fed balance sheet walcl is actually linked to better or worse treasury yield 10y from 2020 to 2025.

plain answer

The data did not support the prediction. cumulative term-premium response is non-positive

why it matters

This matters because monetary claims should change belief only when they survive a pre-declared empirical test.

how the test works

It compares 1 country or place units from 2020 to 2025, using a event study design.

what was measured
What changed
  • Fed balance sheet walcl
  • Qt announcement event
What we checked
  • Treasury yield 10y
  • Treasury yield 30y
  • Ny fed acm term premium 10y
what this does not prove

A single test is not the whole truth. It narrows the claim under a specific sample, time period, and method. Strong policy conclusions need the pattern to survive nearby tests, alternative data, and serious objections.

verification

0 input datasets, 0 unresolved missing series, provenance status: no input vintages recorded.

Results

engine/runs/fed_qt_balance_sheet_unwind_2022_2025_market_response
1007550250202020232025USA
illustrative sketch · run pending
No coefficients yet. When the model fires, this chart will show treasury_yield_10y across 1 sampled countries over 2020–2025.
The shapes above are stylised — none of the lines are real data.
Placeholder for fed_qt_balance_sheet_unwind_2022_2025_market_response. Published chart will be generated from engine/runs/fed_qt_balance_sheet_unwind_2022_2025_market_response/chart_data.json.

Pre-registration

pre-registered
first-spec commit 098ce96 · 2026-04-30T12:57:33Z
run generated · 2026-05-17T18:10:06Z

Fed quantitative tightening (QT) 2022-06 to 2025 — running off Treasury and MBS holdings at peak ~$95B/month (slowed to ~$60B in 2024-Q2) — produced small but detectable upward pressure on term premia and mortgage spreads, consistent with the QE channel operating in reverse but at materially weaker magnitude per dollar of balance-sheet change. Asymmetric: QT effects are roughly half the size of QE effects per equivalent balance-sheet movement, supporting the "stock-not-flow" channel and suggesting market segmentation matters less in unwind than in accumulation.

Falsification criterion — what would disprove this

set before the run · honoured after

This hypothesis is considered falsified if:

Daily event study around six QT-related Fed communications: 2022-05-04 (May FOMC QT plan), 2022-06-01 (QT begins), 2022-09-01 (cap doubles), 2024-05-01 (QT taper announced), 2024-06-01 (taper begins), 2025-01 (further taper or end announcement). For each event, compute 1-day and 5-day changes in 10y term premium (NY Fed ACM model) and 30y mortgage spread to 10y Treasury. SUPPORTED if (a) cumulative 1-day term-premium change across all six events is positive AND in [+10bp, +40bp] AND (b) per-dollar effect (cumulative bp / cumulative balance-sheet movement in $T) is in [3bp/$T, 12bp/$T], materially smaller than QE-era estimate (~25bp/$T per Bauer-Rudebusch 2014). REFUTED if cumulative term-premium change <=0 (no QT effect) OR per-dollar effect >20bp/$T (symmetric, contradicts asymmetry prediction).

formal test & threshold
test:      fed_qt_2022_2025_event_study_term_premium_mortgage_spread
threshold: SUPPORTED: cumul 1-day TP change in [+10bp, +40bp] AND per-$T effect in [3, 12] bp/$T. REFUTED: cumul TP <= 0 OR per-$T effect > 20bp/$T.

Method

Template
event_study
Clustering
announcement
Sample
1 countries · 2020 – 2025
Evidence type
associational

Daily event study, mirroring qe_zlb_effectiveness_term_premia.yaml structure on the unwind side. Per-dollar effect normalisation enables direct comparison to QE-era literature estimates. Asymmetry test is the distinctive contribution beyond binary direction-of-effect.

Data

VariableSourceTransform
treasury_yield_10y
outcome
fred:DGS10tier 1
level
treasury_yield_30y
outcome
fred:DGS30tier 1
level
ny_fed_acm_term_premium_10y
outcome
fred:THREEFYTP10tier 1
level
mortgage_30y_rate
outcome
fred:MORTGAGE30UStier 1
level
mortgage_treasury_spread
outcome
fred:MORTGAGE30UStier 1
fred:DGS10tier 1
spread_bps
mbs_oas_spread
outcome
fred:BAMLC0A0CMTRIVtier 1
level
fed_balance_sheet_walcl
treatment
fred:WALCLtier 1
log_diff
qt_announcement_event
treatment
constructed:6 events 2022-05-04, 2022-06-01, 2022-09-01, 2024-05-01, 2024-06-01, 2025-01-XXtier 5
event_date
fed_funds_target
treatment
fred:DFEDTARUtier 1
level
treasury_issuance_pace
control
fred:MTSDS133FMStier 1
log_diff
vix
control
fred:VIXCLStier 1
level
cpi_yoy
control
fred:CPIAUCSLtier 1
pct_change_yoy

● ready  · ● pending  · ● reconstruct-needed

Detailed result card

Result card - fed_qt_balance_sheet_unwind_2022_2025_market_response

Verdict: REFUTED - cumulative term-premium response is non-positive

QT Event Responses

| Event | 10y term-premium 1d bp | Mortgage-Treasury spread bp | | --- | ---: | ---: | | 2022-05-04 | -2.28 | -6.00 | | 2022-06-01 | 4.75 | -18.00 | | 2022-09-01 | 4.35 | -4.00 | | 2024-05-01 | -2.58 | 12.00 | | 2024-06-03 | -5.20 | 29.00 |

  • Cumulative term-premium response: -0.96 bp.
  • Balance-sheet runoff through 2024-06: -1.659 trillion dollars.
  • Term-premium response per absolute trillion dollars runoff: -0.58 bp/$T.

The non-positive cumulative term-premium response fails the registered reverse-QE direction gate.

Generated by engine/runs/fed_qt_balance_sheet_unwind_2022_2025_market_response/replication.py at 2026-05-17T18:10:06+00:00

Strongest opposing argument

Every hypothesis ships with its charitable opposing argument. The framework earns credibility by handling objections at their strongest, not weakest.

Notes

Reverse-QE test on the 2022-2025 unwind. Asymmetry prediction (QT < QE in absolute size) is the central testable claim distinct from "QT works same as QE backwards". Tests Bauer-Rudebusch, Krishnamurthy-Vissing-Jorgensen reverse-channel implications.

Authored framework. Read the transparency note.