[tech-spec] Re: Yield curve study

  • From: "Alex Park" <alex.park1@xxxxxxxxxxxx>
  • To: <tech-spec@xxxxxxxxxxxxx>
  • Date: Thu, 7 Oct 2004 12:16:39 +0100

I have yield data for T-Bills, 5yr, 10Yr, and 30YR. (from Yahoo - hopefully 
accurate enough to highlight any glaring correlations).  I shall conduct 
some preliminary tests along the lines of Mr Sogi's suggestions.

Having pondered such an idea before, I have some initial reservations. 
Still, I will see what results I get first and then maybe discuss later.

Alex Park
----- Original Message ----- 
From: "James Sogi" <jsogi@xxxxxxxxxxxxx>
To: <tech-spec@xxxxxxxxxxxxx>
Sent: Thursday, October 07, 2004 9:15 AM
Subject: [tech-spec] Yield curve study


> Bonds are the dog that wag the equities tail.  Bonds are way bigger than
> equities.  Debt existed millennium before the first joint stock
> companies in Rome, and it was not until in the 1800's that limited
> liability stock companies were formed to attract capital.  Credit is the
> basis of all capital formation and the rise and fall of nations.  The
> interest rates control the bonds and bonds control stocks. Prac. Spec
> had bonds correlated well with equities. So it would make sense that the
> yield curve may give us information about the equities, in advance since
> it adds information to the bonds though term structure of interest
> rates. So study is to test the relationship of the yield curve to SP
> futures continuous to see if there is a correlation. Here's a start with
> data, yc is yield curve 10yr - 2 yr yield  on CBOT index. YCC=percentage
> change, sp= es mini continuous spc=%ch.  All closing.The reason is that
> I noticed that the yield curve seems to be ahead of sp by a day or so.
> Not sure exactly where to go with this but thought I'd give it a go with
> the hard core.   I think the .12 correlation on n=274 is worth a look.
> Still starting to learn to script the lags +1 +5 etc on the series for
> test on predictiveness.  Please work this over and give me a hand. I'm
> kind of over my head and its a long way to shore.
>
> > cor(cv$ycc,cv$spc)
> [1] 0.1228439
>
>
>          Date    yc         ycc     sp         spc
> 1     9/2/2003 3.649          NA 102200          NA
> 2     9/3/2003 3.647 -0.05480954 102700  0.48923679
> 3     9/4/2003 3.571 -2.08390458 102825  0.12171373
> 4     9/5/2003 3.427 -4.03248390 102225 -0.58351568
> 5     9/8/2003 3.457  0.87540123 103050  0.80704329
> 6     9/9/2003 3.439 -0.52068267 102400 -0.63076177
> 7    9/10/2003 3.337 -2.96597848 101350 -1.02539063
> 8    9/11/2003 3.402  1.94785736 101525  0.17266897
> 9    9/12/2003 3.337 -1.91064080 101650  0.12312238
> 10   9/15/2003 3.319 -0.53940665 101250 -0.39350713
> 11   9/16/2003 3.364  1.35583007 102775  1.50617284
> 12   9/17/2003 3.264 -2.97265161 102550 -0.21892484
> 13   9/18/2003 3.252 -0.36764706 103725  1.14578255
> 14   9/19/2003 3.235 -0.52275523 103300 -0.40973729
> 15   9/22/2003 3.319  2.59659969 102125 -1.13746370
> 16   9/23/2003 3.289 -0.90388671 102550  0.41615667
> 17   9/24/2003 3.218 -2.15871085 100725 -1.77961970
> 18   9/25/2003 3.185 -1.02548167  99775 -0.94316207
> 19   9/26/2003 3.106 -2.48037677  99450 -0.32573290
> 20   9/29/2003 3.156  1.60978751 100425  0.98039216
> 21   9/30/2003 3.011 -4.59442332  99400 -1.02066219
> 22   10/1/2003 3.022  0.36532713 101650  2.26358149
> 23   10/2/2003 3.097  2.48180013 101950  0.29513035
> 24   10/3/2003 3.283  6.00581208 102850  0.88278568
> 25   10/6/2003 3.246 -1.12701797 103350  0.48614487
> 26   10/7/2003 3.342  2.95748614 103725  0.36284470
> 27   10/8/2003 3.365  0.68821065 103500 -0.21691974
> 28   10/9/2003 3.422  1.69390788 103850  0.33816425
> 29  10/10/2003 3.361 -1.78258328 104050  0.19258546
> 30  10/13/2003 3.368  0.20827135 104450  0.38443056
> 31  10/14/2003 3.463  2.82066508 104750  0.28721876
> 32  10/15/2003 3.494  0.89517759 104450 -0.28639618
> 33  10/16/2003 3.553  1.68860904 104925  0.45476304
> 34  10/17/2003 3.481 -2.02645652 103775 -1.09602097
> 35  10/20/2003 3.468 -0.37345590 104525  0.72271742
> 36  10/21/2003 3.430 -1.09573241 104350 -0.16742406
> 37  10/22/2003 3.341 -2.59475219 103050 -1.24580738
> 38  10/23/2003 3.386  1.34690213 102850 -0.19408054
> 39  10/24/2003 3.285 -2.98287064 103000  0.14584346
> 40  10/27/2003 3.324  1.18721461 103075  0.07281553
> 41  10/28/2003 3.244 -2.40673887 104475  1.35823430
> 42  10/29/2003 3.338  2.89765721 104625  0.14357502
> 43  10/30/2003 3.407  2.06710605 104850  0.21505376
> 44  10/31/2003 3.369 -1.11535075 104950  0.09537434
> 45   11/3/2003 3.447  2.31522707 105425  0.45259647
> 46   11/4/2003 3.377 -2.03075138 105225 -0.18970832
> 47   11/5/2003 3.417  1.18448327 105350  0.11879306
> 48   11/6/2003 3.491  2.16564238 105850  0.47460845
> 49   11/7/2003 3.518  0.77341736 105050 -0.75578649
> 50  11/10/2003 3.538  0.56850483 104625 -0.40456925
> 51  11/12/2003 3.484 -1.52628604 105700  1.02747909
> 52  11/13/2003 3.344 -4.01836969 105800  0.09460738
> 53  11/14/2003 3.306 -1.13636364 104900 -0.85066163
> 54  11/17/2003 3.260 -1.39140956 104350 -0.52430887
> 55  11/18/2003 3.231 -0.88957055 103275 -1.03018687
> 56  11/19/2003 3.308  2.38316311 104100  0.79883805
> 57  11/20/2003 3.232 -2.29746070 103200 -0.86455331
> 58  11/21/2003 3.235  0.09282178 103625  0.41182171
> 59  11/24/2003 3.310  2.31839258 104950  1.27864897
> 60  11/25/2003 3.266 -1.32930514 105325  0.35731301
> 61  11/26/2003 3.330  1.95958359 105675  0.33230477
> 62  11/28/2003 3.412  2.46246246 105775  0.09462976
> 63   12/1/2003 3.495  2.43259086 106900  1.06357835
> 64   12/2/2003 3.463 -0.91559371 106700 -0.18709074
> 65   12/3/2003 3.498  1.01068438 106500 -0.18744142
> 66   12/4/2003 3.468 -0.85763293 106950  0.42253521
> 67   12/5/2003 3.320 -4.26758939 106225 -0.67788686
> 68   12/8/2003 3.386  1.98795181 106900  0.63544363
> 69   12/9/2003 3.460  2.18546958 106050 -0.79513564
> 70  12/10/2003 3.431 -0.83815029 105950 -0.09429514
> 71  12/11/2003 3.366 -1.89449140 107100  1.08541765
> 72  12/12/2003 3.365 -0.02970885 107300  0.18674136
> 73  12/15/2003 3.395  0.89153046 106750 -0.51258155
> 74  12/16/2003 3.356 -1.14874816 107350  0.56206089
> 75  12/17/2003 3.317 -1.16209774 107625  0.25617140
> 76  12/18/2003 3.278 -1.17576123 108850  1.13821138
> 77  12/19/2003 3.275 -0.09151922 108550 -0.27560864
> 78  12/22/2003 3.303  0.85496183 109275  0.66789498
> 79  12/23/2003 3.387  2.54314260 109350  0.06863418
> 80  12/24/2003 3.315 -2.12577502 109300 -0.04572474
> 81  12/26/2003 3.301 -0.42232278 109350  0.04574565
> 82  12/29/2003 3.373  2.18115723 110775  1.30315501
> 83  12/30/2003 3.367 -0.17788319 110775  0.00000000
> 84  12/31/2003 3.350 -0.50490050 110900  0.11284135
> 85    1/2/2004 3.471  3.61194030 110900  0.00000000
> 86    1/5/2004 3.485  0.40334198 112000  0.99188458
> 87    1/6/2004 3.376 -3.12769010 112200  0.17857143
> 88    1/7/2004 3.360 -0.47393365 112550  0.31194296
> 89    1/8/2004 3.402  1.25000000 112950  0.35539760
> 90    1/9/2004 3.244 -4.64432687 112000 -0.84108012
> 91   1/12/2004 3.236 -0.24660912 112825  0.73660714
> 92   1/13/2004 3.166 -2.16316440 112125 -0.62042987
> 93   1/14/2004 3.128 -1.20025268 113125  0.89186176
> 94   1/15/2004 3.119 -0.28772379 113325  0.17679558
> 95   1/16/2004 3.152  1.05803142 113800  0.41914847
> 96   1/20/2004 3.200  1.52284264 113750 -0.04393673
> 97   1/21/2004 3.170 -0.93750000 114600  0.74725275
> 98   1/22/2004 3.117 -1.67192429 114400 -0.17452007
> 99   1/23/2004 3.199  2.63073468 114025 -0.32779720
> 100  1/26/2004 3.258  1.84432635 115425  1.22780092
> 101  1/27/2004 3.190 -2.08717004 114250 -1.01797704
> 102  1/28/2004 3.278  2.75862069 112925 -1.15973742
> 103  1/29/2004 3.280  0.06101281 113025  0.08855435
> 104  1/30/2004 3.241 -1.18902439 113000 -0.02211900
> 105   2/2/2004 3.249  0.24683740 113450  0.39823009
> 106   2/3/2004 3.188 -1.87750077 113300 -0.13221684
> 107   2/5/2004 3.263  2.35257215 112650 -0.57369815
> 108   2/6/2004 3.182 -2.48237818 113900  1.10963160
> 109   2/9/2004 3.153 -0.91137649 114000  0.08779631
> 110  2/10/2004 3.181  0.88804313 114325  0.28508772
> 111  2/11/2004 3.111 -2.20056586 115525  1.04963919
> 112  2/12/2004 3.160  1.57505625 115100 -0.36788574
> 113  2/13/2004 3.151 -0.28481013 114575 -0.45612511
> 114  2/17/2004 3.151  0.00000000 115650  0.93825005
> 115  2/18/2004 3.137 -0.44430340 115125 -0.45395590
> 116  2/19/2004 3.140  0.09563277 114725 -0.34744843
> 117  2/20/2004 3.182  1.33757962 114375 -0.30507736
> 118  2/23/2004 3.123 -1.85417976 114025 -0.30601093
> 119  2/24/2004 3.091 -1.02465578 113850 -0.15347512
> 120  2/25/2004 3.077 -0.45292786 114300  0.39525692
> 121  2/26/2004 3.114  1.20246994 114325  0.02187227
> 122  2/27/2004 3.057 -1.83044316 114450  0.10933742
> 123   3/1/2004 3.056 -0.03271181 115550  0.96111839
> 124   3/2/2004 3.104  1.57068063 114900 -0.56252704
> 125   3/3/2004 3.118  0.45103093 115075  0.15230635
> 126   3/4/2004 3.088 -0.96215523 115425  0.30414947
> 127   3/5/2004 2.904 -5.95854922 115775  0.30322720
> 128   3/8/2004 2.849 -1.89393939 114400 -1.18764846
> 129   3/9/2004 2.787 -2.17620218 113950 -0.39335664
> 130  3/10/2004 2.798  0.39468963 111925 -1.77709522
> 131  3/11/2004 2.812  0.50035740 110425 -1.34018316
> 132  3/12/2004 2.828  0.56899004 111800  1.24518904
> 133  3/15/2004 2.836  0.28288543 110500 -1.16279070
> 134  3/16/2004 2.750 -3.03244006 111025  0.47511312
> 135  3/17/2004 2.765  0.54545455 112250  1.10335510
> 136  3/18/2004 2.832  2.42314647 112275  0.02227171
> 137  3/19/2004 2.871  1.37711864 110725 -1.38053886
> 138  3/22/2004 2.801 -2.43817485 109325 -1.26439377
> 139  3/23/2004 2.788 -0.46411996 109125 -0.18294077
> 140  3/24/2004 2.796  0.28694405 109150  0.02290951
> 141  3/25/2004 2.822  0.92989986 110600  1.32844709
> 142  3/26/2004 2.921  3.50815025 110600  0.00000000
> 143  3/29/2004 2.967  1.57480315 112175  1.42405063
> 144  3/30/2004 2.969  0.06740816 112600  0.37887230
> 145  3/31/2004 2.914 -1.85247558 112500 -0.08880995
> 146   4/1/2004 2.982  2.33356211 113350  0.75555556
> 147   4/2/2004 3.213  7.74647887 114200  0.74988972
> 148   4/5/2004 3.308  2.95673825 114825  0.54728546
> 149   4/6/2004 3.253 -1.66263603 114475 -0.30481167
> 150   4/7/2004 3.249 -0.12296342 114225 -0.21838829
> 151   4/8/2004 3.284  1.07725454 113950 -0.24075290
> 152  4/12/2004 3.318  1.03532278 114400  0.39491005
> 153  4/13/2004 3.418  3.01386377 112825 -1.37674825
> 154  4/14/2004 3.448  0.87770626 112975  0.13294926
> 155  4/15/2004 3.475  0.78306265 112500 -0.42044700
> 156  4/16/2004 3.435 -1.15107914 113400  0.80000000
> 157  4/19/2004 3.450  0.43668122 113375 -0.02204586
> 158  4/20/2004 3.468  0.52173913 111450 -1.69790518
> 159  4/21/2004 3.456 -0.34602076 112250  0.71781068
> 160  4/22/2004 3.434 -0.63657407 113675  1.26948775
> 161  4/23/2004 3.500  1.92195690 113950  0.24191775
> 162  4/26/2004 3.490 -0.28571429 113800 -0.13163668
> 163  4/27/2004 3.442 -1.37535817 113800  0.00000000
> 164  4/28/2004 3.519  2.23707147 112350 -1.27416520
> 165  4/29/2004 3.591  2.04603581 111400 -0.84557187
> 166  4/30/2004 3.549 -1.16959064 110600 -0.71813285
> 167   5/3/2004 3.542 -0.19723866 111600  0.90415913
> 168   5/4/2004 3.558  0.45172219 111550 -0.04480287
> 169   5/5/2004 3.603  1.26475548 112200  0.58269834
> 170   5/6/2004 3.631  0.77713017 111300 -0.80213904
> 171   5/7/2004 3.795  4.51666208 109550 -1.57232704
> 172  5/10/2004 3.754 -1.08036891 108350 -1.09539023
> 173  5/11/2004 3.737 -0.45285029 109225  0.80756807
> 174  5/12/2004 3.790  1.41824993 109875  0.59510185
> 175  5/13/2004 3.871  2.13720317 109375 -0.45506257
> 176  5/14/2004 3.819 -1.34332214 109475  0.09142857
> 177  5/17/2004 3.722 -2.53993192 108550 -0.84494177
> 178  5/18/2004 3.709 -0.34927458 109025  0.43758637
> 179  5/19/2004 3.778  1.86033971 108675 -0.32102729
> 180  5/20/2004 3.714 -1.69401800 109050  0.34506556
> 181  5/21/2004 3.760  1.23855681 109250  0.18340211
> 182  5/24/2004 3.728 -0.85106383 109650  0.36613272
> 183  5/25/2004 3.667 -1.63626609 111250  1.45918833
> 184  5/26/2004 3.619 -1.30897191 111600  0.31460674
> 185  5/27/2004 3.549 -1.93423598 112275  0.60483871
> 186  5/28/2004 3.603  1.52155537 112025 -0.22266756
> 187   6/1/2004 3.611  0.22203719 112125  0.08926579
> 188   6/2/2004 3.588 -0.63694268 112550  0.37904125
> 189   6/3/2004 3.565 -0.64102564 111500 -0.93291870
> 190   6/4/2004 3.597  0.89761571 112325  0.73991031
> 191   6/7/2004 3.581 -0.44481512 114025  1.51346539
> 192   6/8/2004 3.529 -1.45210835 114200  0.15347512
> 193   6/9/2004 3.570  1.16180221 113100 -0.96322242
> 194  6/10/2004 3.524 -1.28851541 113625  0.46419098
> 195  6/14/2004 3.531  0.19863791 112550 -0.94609461
> 196  6/15/2004 3.374 -4.44633248 113375  0.73300755
> 197  6/16/2004 3.455  2.40071132 113300 -0.06615215
> 198  6/17/2004 3.450 -0.14471780 113150 -0.13239188
> 199  6/18/2004 3.463  0.37681159 113400  0.22094565
> 200  6/21/2004 3.452 -0.31764366 112925 -0.41887125
> 201  6/22/2004 3.411 -1.18771727 113500  0.50918751
> 202  6/23/2004 3.441  0.87950748 114400  0.79295154
> 203  6/24/2004 3.392 -1.42400465 114125 -0.24038462
> 204  6/25/2004 3.373 -0.56014151 113525 -0.52573932
> 205  6/28/2004 3.457  2.49036466 113175 -0.30830214
> 206  6/29/2004 3.343 -3.29765693 113575  0.35343495
> 207  6/30/2004 3.314 -0.86748430 114050  0.41822584
> 208   7/1/2004 3.367  1.59927580 112625 -1.24945199
> 209   7/2/2004 3.195 -5.10840511 112575 -0.04439512
> 210   7/6/2004 3.226  0.97026604 111500 -0.95491894
> 211   7/7/2004 3.204 -0.68195908 111800  0.26905830
> 212   7/8/2004 3.219  0.46816479 111075 -0.64847943
> 213   7/9/2004 3.219  0.00000000 111275  0.18005852
> 214  7/12/2004 3.181 -1.18049084 111350  0.06740058
> 215  7/13/2004 3.164 -0.53442314 111425  0.06735519
> 216  7/14/2004 3.167  0.09481669 111125 -0.26923940
> 217  7/15/2004 3.168  0.03157562 110350 -0.69741282
> 218  7/16/2004 3.049 -3.75631313 110275 -0.06796556
> 219  7/19/2004 3.059  0.32797639 109875 -0.36272954
> 220  7/20/2004 3.116  1.86335404 111200  1.20591581
> 221  7/21/2004 3.165  1.57252888 109050 -1.93345324
> 222  7/22/2004 3.128 -1.16903633 109375  0.29802843
> 223  7/23/2004 3.094 -1.08695652 108550 -0.75428571
> 224  7/26/2004 3.083 -0.35552683 108300 -0.23030861
> 225  7/27/2004 3.158  2.43269543 109250  0.87719298
> 226  7/28/2004 3.165  0.22165928 109550  0.27459954
> 227  7/29/2004 3.163 -0.06319115 110025  0.43359197
> 228  7/30/2004 3.063 -3.16155549 110100  0.06816633
> 229   8/2/2004 3.020 -1.40385243 110550  0.40871935
> 230   8/3/2004 2.965 -1.82119205 109725 -0.74626866
> 231   8/4/2004 2.977  0.40472175 109700 -0.02278423
> 232   8/5/2004 2.956 -0.70540813 107850 -1.68641750
> 233   8/6/2004 2.811 -4.90527740 106350 -1.39082058
> 234   8/9/2004 2.800 -0.39131982 106425  0.07052186
> 235  8/10/2004 2.815  0.53571429 107625  1.12755462
> 236  8/11/2004 2.862  1.66962700 107575 -0.04645761
> 237  8/12/2004 2.842 -0.69881202 106375 -1.11550081
> 238  8/13/2004 2.812 -1.05559465 106625  0.23501763
> 239  8/16/2004 2.831  0.67567568 107750  1.05509965
> 240  8/17/2004 2.752 -2.79053338 108300  0.51044084
> 241  8/18/2004 2.780  1.01744186 109450  1.06186519
> 242  8/19/2004 2.769 -0.39568345 109125 -0.29693924
> 243  8/20/2004 2.777  0.28891296 109875  0.68728522
> 244  8/23/2004 2.802  0.90025207 109625 -0.22753129
> 245  8/24/2004 2.766 -1.28479657 109750  0.11402509
> 246  8/25/2004 2.749 -0.61460593 110375  0.56947608
> 247  8/26/2004 2.711 -1.38232084 110450  0.06795017
> 248  8/27/2004 2.705 -0.22132055 110825  0.33952014
> 249  8/30/2004 2.646 -2.18114603 109900 -0.83464922
> 250  8/31/2004 2.564 -3.09901738 110400  0.45495905
> 251   9/1/2004 2.576  0.46801872 110675  0.24909420
> 252   9/2/2004 2.631  2.13509317 111950  1.15202169
> 253   9/3/2004 2.681  1.90041809 111450 -0.44662796
> 254   9/7/2004 2.649 -1.19358448 112225  0.69537909
> 255   9/8/2004 2.551 -3.69950925 111925 -0.26732012
> 256   9/9/2004 2.591  1.56801254 111800 -0.11168193
> 257  9/10/2004 2.557 -1.31223466 112400  0.53667263
> 258  9/13/2004 2.535 -0.86038326 112825  0.37811388
> 259  9/14/2004 2.510 -0.98619329 113000  0.15510747
> 260  9/15/2004 2.538  1.11553785 112075 -0.81858407
> 261  9/16/2004 2.437 -3.97951143 112450  0.33459737
> 262  9/17/2004 2.459  0.90274928 112900  0.40017786
> 263  9/20/2004 2.395 -2.60268402 112225 -0.59787422
> 264  9/21/2004 2.358 -1.54488518 112725  0.44553353
> 265  9/22/2004 2.315 -1.82357930 111300 -1.26413839
> 266  9/23/2004 2.342  1.16630670 110725 -0.51662174
> 267  9/24/2004 2.340 -0.08539710 111150  0.38383382
> 268  9/27/2004 2.315 -1.06837607 110525 -0.56230319
> 269  9/28/2004 2.325  0.43196544 110975  0.40714770
> 270  9/29/2004 2.410  3.65591398 111525  0.49560712
> 271  9/30/2004 2.445  1.45228216 111500 -0.02241650
> 272  10/1/2004 2.534  3.64008180 113325  1.63677130
> 273  10/4/2004 2.522 -0.47355959 113550  0.19854401
> 274  10/5/2004 2.488 -1.34813640 113500 -0.04403347
>
>
>
>
> 


Other related posts: