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:
Dan Crawford writes Weekly Indicators for February 22 – 26
Lars Syll writes Chicago economics — the triumph of empty formalism
Lars Pålsson Syll writes Chicago economics — the triumph of empty formalism
Ken Melvin writes Bearing Witness
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....