Posts Tagged ‘yield curve

18
Aug
11

Gráfico du Jour: Perspectiva histórica…

(Fuente: EconomPic Data)

23
Feb
11

Paper: Equity manda…

The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

Abstract:
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anticorrelated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including and especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen at key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.

Link al Paper

17
Nov
10

Finanzas 101: Yield Curve y la Fed

Mark Thoma, armó un post sencillo y explicativo (gráficos gráficos) sobre el QE2 (alias maquinita).

So that’s QEII. It’s nothing more than conventional monetary policy moved out along the yield curve.

09
Apr
10

Explicando el comportamiento de la yield curve

EconomPIC tiene un útil ejercicio que intenta dar un marco a la interpretación de Krugman acerca del actual comportamiento de la US yield curve.

(…)

This is where things get interesting. The Fed Funds rate is zero. They cannot go negative. Thus, flip your coin for a 25 bps hike or cut. If you get hike, rates rise to 25 bps. If you get a cut… well, you can’t cut any more. Go to period two. Now under the initial hike, rates can go back to 0% or jump to 50 bps. Under the initial cut, they can only go to 25 bps or stay at 0%. Thus, the four outcomes in period 2 are 0, 0, 25 bps, and 50 bps. An average of 18.75 bps (they went up).

(…)


01
Apr
10

Yield Curve, indicador de actividad

Bespoke Invesment tiene un breve e informativo post sobre la Yield Curve como indicador de la actividad económica.

In short, high values in the yield curve are positive for the economy, while an inverted yield curve (negative spread between long and short term rates) is a harbinger of economic weakness down the line.  While there are many variant definitions of the yield curve, for our analysis we defer to the NY Fed which defines the yield curve as the difference (in basis points) between the yield on the 10-Year and 3-Month US Treasury Note.

Link al Paper (2006) de la Fed

06
Feb
10

Paper: Yield Curve y Retornos

Yield Curve Predictors of Foreign Exchange Returns

Abstract:
In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only one of many factors affecting domestic yield curves. We find that in addition to interest rate levels other yield curve predictors have significant ability to forecast the cross section of currency returns. In particular, changes of interest rates and term spreads significantly predict excess foreign exchange returns, exhibit low skewness risk, and are lowly correlated with carry returns. Predictability from these yield curve variables persists up to 12 months and is robust to controlling for other predictors of currency returns.

Link al Paper




Fun & Finance

Vimeo

Fun & Finance Rollover

Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

December 2019
M T W T F S S
« Nov    
 1
2345678
9101112131415
16171819202122
23242526272829
3031  

Top Posts

Categorias

Archivo

Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 34 other followers

Web Analytics Clicky