Thursday, January 21, 2016

The 10-year treasury

There has been some talk about the 10-year T-note in the business news, so I've updated this graph (here or here) [1] with some of the latest data:


The 10-year is basically where we'd expect it.

...

Footnotes

[1] I did change the weights to weigh the effective fed funds rate instead of for the 10-year T-note in the fit which gives a better description of recent data for both rates -- hence the observable difference in the curves. Basically, this is fit to the EFF and the same coefficients are used for the 10-year rate. Without this change we have this (not a huge difference):


4 comments:

  1. So the red is a recession, but the solid green is what?

    ReplyDelete
    Replies
    1. Yes, but there's dashed green and solid green. Why the change?

      Delete
    2. It was updated with "some of the latest data".

      Delete

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