by Summary:
When looking at bond yields, one should keep in mind that the entire yield curve is a mathematical object. A venerable research approach is to attempt to use time series econometrics to either isolated tenors or slopes. This approach leads to misleading degrees of freedom in bond yield dynamics.In this article, I will do the simplest step towards modelling the yield curve -- looking at the relationships between selected slopes. We see that slopes move together, which pins down how disjointed various parts of the curve can get. Digging further would require access to a fitted curve....Bond Economics Yield Curve Slope CorrelationsBrian Romanchuk
Topics:
Mike Norman considers the following as important:
This could be interesting, too:
When looking at bond yields, one should keep in mind that the entire yield curve is a mathematical object. A venerable research approach is to attempt to use time series econometrics to either isolated tenors or slopes. This approach leads to misleading degrees of freedom in bond yield dynamics.In this article, I will do the simplest step towards modelling the yield curve -- looking at the relationships between selected slopes. We see that slopes move together, which pins down how disjointed various parts of the curve can get. Digging further would require access to a fitted curve....Bond Economics Yield Curve Slope CorrelationsBrian Romanchuk
Topics:
Mike Norman considers the following as important:
This could be interesting, too:
New Economics Foundation writes New Economics Podcast: Why is the benefits system failing disabled people
Michael Hudson writes Jill Stein: Splitting the Pro-Imperial Vote
Editor writes In search of radical alternatives
Stavros Mavroudeas writes «Οι καταστροφικές επιπτώσεις της ΕΕ στην Ελλάδα και τους εργαζόμενους» – Στ.Μαυρουδέας ΠΡΙΝ 20-21/4/2024
When looking at bond yields, one should keep in mind that the entire yield curve is a mathematical object. A venerable research approach is to attempt to use time series econometrics to either isolated tenors or slopes. This approach leads to misleading degrees of freedom in bond yield dynamics.In this article, I will do the simplest step towards modelling the yield curve -- looking at the relationships between selected slopes. We see that slopes move together, which pins down how disjointed various parts of the curve can get. Digging further would require access to a fitted curve....