Tuesday , November 5 2024
Home / Mike Norman Economics / Why Rate Expectations Dominates Bond Yield Fair Value Estimates — Brian Romanchuk

Why Rate Expectations Dominates Bond Yield Fair Value Estimates — Brian Romanchuk

Summary:
Although there are various attempts to downplay rate expectations as an explanation for bond yields. the reality is that they dominate any other attempt to generate a fair value estimate by using "fundamental data". (Since we cannot hope to explain every last wiggle of bond yields without having a largely content-free model, we need to look at fair value estimates.) The reasoning is rather straightforward: so long as the risk free curve slope is related to the state of the economy, bond yields are pinned down by the front of the curve, and the slope.... Bond Economics Why Rate Expectations Dominates Bond Yield Fair Value EstimatesBrian Romanchuk

Topics:
Mike Norman considers the following as important: , , ,

This could be interesting, too:

Matias Vernengo writes More on the possibility and risks of a recession

Angry Bear writes Open Thread January 4 2024 overly “restrictive” monetary policy

NewDealdemocrat writes The “bearish steepening” and the death of refinancing

Hasan Cömert & T. Sabri Öncü writes Monetary Policy Debates in the Age of Deglobalisation: the Turkish Experiment – III

Although there are various attempts to downplay rate expectations as an explanation for bond yields. the reality is that they dominate any other attempt to generate a fair value estimate by using "fundamental data". (Since we cannot hope to explain every last wiggle of bond yields without having a largely content-free model, we need to look at fair value estimates.) The reasoning is rather straightforward: so long as the risk free curve slope is related to the state of the economy, bond yields are pinned down by the front of the curve, and the slope....
Bond Economics
Why Rate Expectations Dominates Bond Yield Fair Value Estimates
Brian Romanchuk
Mike Norman
Mike Norman is an economist and veteran trader whose career has spanned over 30 years on Wall Street. He is a former member and trader on the CME, NYMEX, COMEX and NYFE and he managed money for one of the largest hedge funds and ran a prop trading desk for Credit Suisse.

Leave a Reply

Your email address will not be published. Required fields are marked *