[tech-spec] Yield curve study
- From: James Sogi <jsogi@xxxxxxxxxxxxx>
- To: tech-spec@xxxxxxxxxxxxx
- Date: Wed, 06 Oct 2004 22:15:10 -1000
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
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