Do weekly jobless claims move Treasury yields?
Verdict
- Direction (release_day): Not Significant
- Volatility (release_day): Not Significant
- Volatility (5d): Not Significant
Despite the weekly attention, jobless-claims days move the 10-year Treasury about as much as a normal day (1.15×, not significant) — and with 150 releases tested, that is a confident 'no'.
Bottom line: Weekly jobless claims are high-frequency noise — markets mostly shrug. The monthly jobs report is a different story.
The Data
| Dimension | Horizon | Value | Baseline | Test stat | p-value | Verdict |
|---|---|---|---|---|---|---|
| Direction | release_day | 0.5 bps | 0.0 bps | 1.09 | 0.280 | Not Significant |
| Volatility | release_day | 5.0 bps | 4.3 bps | 1.15 | 0.050 | Not Significant |
| Volatility | 5d | 10.9 bps | 10.5 bps | 1.04 | 0.330 | Not Significant |
- Direction (release_day): No consistent direction (p=0.28).
- Volatility (release_day): ≈1.15× a normal day (p=0.05, not significant). With 150 weekly events this is a confident result, not low power: claims barely move Treasuries.
- Volatility (5d): No elevation over a week.
Methodology
- Events (N): 150
- Window: 2023-01-05 → 2025-12-31
- Baseline: Unconditional distribution of k-trading-day changes
- Look-ahead protected: Yes
- Tests: ttest_1samp_vs_zero, bootstrap_vs_baseline
Caveats
- Weekly release (others here are monthly); the 5-day windows overlap.
- Surprise (vs. forecast) conditioning is not applied.
- Historical statistics for informational purposes only, not financial advice. Results may vary with sample, period, and baseline definition.
Source
- 10-Year Treasury Constant Maturity, Federal Reserve Board via FRED (Tier A) — DGS10
- Weekly jobless-claims release dates, U.S. Department of Labor (via FRED) (Tier A) — Unemployment Insurance Weekly Claims