[tech-spec] Yield c urve study

  • From: James Sogi <jsogi@xxxxxxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx, Speculators List <SPEC-LIST@xxxxxxxxxxxxxxxxxxx>
  • Date: Thu, 07 Oct 2004 16:47:05 -1000

Fundamental idea is steepening curve is pumping liquidity into  system. 
Term structure of interest rates adds information above bond correlation 
with SP discussed in Prac. Spec.
Pearson's product-moment correlation shows significant p score on % 
yield curve change to % sp mini continuous future change from 9/3/03 to 
present on daily close.   According to hypothesis tomorrow should be up 
day as today had curve gap up and steepen. Using 10yr-2yr CBOT yield 
index for curve.

data:  cv$ycc and cv$spc
t = 2.0415, df = 272, p-value = 0.04217
alternative hypothesis: true correlation is not equal to 0
95 percent confidence interval:
 0.004408132 0.237881019
sample estimates:
      cor
0.1228439



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