Salomon Brothers Understanding the Yield Curve Part 7.pdf

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1、SalomonBrothersAnttiIlmanen(212)783-5833TheDynamicsoftheRaymondIwanowski(212)783-6127ShapeoftheYieldriwanowski@sbi.comCurve:EmpiricalEvidence,EconomicInterpretationsandTheoreticalFoundationsUnderstandingtheYieldCurve:Part7TABLEOFCONTENTSPAGEIntroduction1HowShouldWeInterprettheYieldCurveSteepne

2、ss?2•EmpiricalEvidence3•Interpretations5•InvestmentImplications8HowShouldWeInterprettheYieldCurveCurvature?8•EmpiricalEvidence9•Interpretations13•InvestmentImplications16HowDoestheYieldCurveEvolveOverTime?17•Time-SeriesEvidence17•Cross-SectionalEvidence20AppendixA.SurveyofTermStructureModels22

3、•Factor-ModelApproach22•Arbitrage-FreeRestriction25•OneExample:TheVasicekModel26•ComparisonsofVariousModels27AppendixB.TermStructureModelsandMoreGeneralAssetPricingModels31References33FIGURES1.EvaluatingtheImpliedTreasuryForwardYieldCurve’sAbilitytoPredictActualRate3Changes,1968-952.60-MonthRo

4、llingCorrelationsBetweentheImpliedForwardRateChangesandSubsequent4SpotRateChanges,1968-953.EvaluatingtheImpliedEurodepositandTreasuryForwardYieldCurve’sAbilitytoPredict5ActualRateChanges,1987-954.AverageBusinessCyclePatternofU.S.RealizedBondRiskPremiumandCurveSteepness,61968-955.TreasurySpotYi

5、eldCurvesinThreeEnvironments96.CorrelationMatrixofYieldCurveLevel,SteepnessandCurvature,1968-9597.CurvatureandSteepnessoftheTreasuryCurve,1968-95108.CurvatureandVolatilityintheTreasuryMarket,1982-95119.AverageYieldCurveShape,1968-951210.EvaluatingtheImpliedForwardYieldCurve’sAbilitytoPredictAc

6、tualChangesintheSpotYieldCurve’sSteepness,1968-951211.AverageTreasuryMaturity-SubsectorReturnsasaFunctionofReturnVolatility1412.MeanReversionandAutocorrelationofU.S.YieldLevelsandCurveSteepness,1968-951813.24-MonthRollingSpotRateVolatilitiesintheUnitedStates1914.TermStructureofSpotRateVolatili

7、tiesintheUnitedStates2015.Basis-PointYieldVolatilitiesandReturnVolatilitiesforVariousModels21February1996SalomonBrothersINTRODUCTIONHowcanweinterprettheshape(steepnessandcurvature)oftheyieldcurveonagivenday?Andhowdoestheyieldcurveevolve