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.



[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):


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


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