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I entered into a private conversation about techniques that academics use to isolate the alleged effect of fiscal deficits, quantitative easing, (etc.) on bond yields. I tend to be somewhat skeptical about such attempts, but there has been some work done that looked more reasonable. (I probably should highlight that research, but I would have to get back to it at a later time.) My argument is that if you want to any research in that area, you want to go after the 5-year rate, 5 years forward (or a qualitatively similar forward). If you can explain that rate, I would be interested.This article is halfway between a rant and a serious discussion of the application of quantitative techniques. It is extremely difficult for it to not be a rant, since my argument is that the literature and the
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I entered into a private conversation about techniques that academics use to isolate the alleged effect of fiscal deficits, quantitative easing, (etc.) on bond yields. I tend to be somewhat skeptical about such attempts, but there has been some work done that looked more reasonable. (I probably should highlight that research, but I would have to get back to it at a later time.) My argument is that if you want to any research in that area, you want to go after the 5-year rate, 5 years forward (or a qualitatively similar forward). If you can explain that rate, I would be interested.This article is halfway between a rant and a serious discussion of the application of quantitative techniques. It is extremely difficult for it to not be a rant, since my argument is that the literature and the
Topics:
Mike Norman considers the following as important:
This could be interesting, too:
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I entered into a private conversation about techniques that academics use to isolate the alleged effect of fiscal deficits, quantitative easing, (etc.) on bond yields. I tend to be somewhat skeptical about such attempts, but there has been some work done that looked more reasonable. (I probably should highlight that research, but I would have to get back to it at a later time.) My argument is that if you want to any research in that area, you want to go after the 5-year rate, 5 years forward (or a qualitatively similar forward). If you can explain that rate, I would be interested.Bond EconomicsThis article is halfway between a rant and a serious discussion of the application of quantitative techniques. It is extremely difficult for it to not be a rant, since my argument is that the literature and the accepted methodology took a wrong turn a very long time ago. I will even have a bit of a rant about mainstream economists, which is probably the only bit that a lot of my readers are interested in....
Why I Am A 5-Year/5-Year Bug
Brian Romanchuk