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Questions tagged [yield-curve]

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What were the biggest events in terms of Monetary Policy in May 1975?

Take a look at this plot, which is the daily American zero-coupon yield curve from 1975, as reconstructed by Liu and Wu (JFE, 2021): One can see a major change of shape in May, 1975. It seems that ...
Raul Guarini Riva's user avatar
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In an inverted yield curve, why do short term yields go higher?

I understand the yield curve and why short term bonds have lower yields than long term bonds. I also understand why in an inverted yield curve, long term bonds have lower yields -- it is because ...
programmer's user avatar
1 vote
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How to calculate the correlation of yield curve extrema?

The goal is to reproduce this chart: I first looked at the legend. It reads: "Correlation of Front and Back Fed Funds curve, Pivoted Around Peak Rate (Rolling 250 Day). Then I noticed that the Y-...
Arash Howaida's user avatar
1 vote
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33 views

Data on historical, cross-country nominal and real yield curves

Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI. (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
bhalperin's user avatar
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2 votes
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Appropriate way to estimate Nelson Siegel model in R

I want to estimate the Nelson Siegel parameters of daily WTI Crude Oil Futures Term Structure. It consists of 12 contracts with maturity of approximately 1-12 months. I have 2 datasets. The first one ...
Ben's user avatar
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3 votes
1 answer
110 views

How can the Fed enforce exit criteria if they begin yield curve control?

Over the past year, the notion yield curve control has resurfaced and appeared on FOMC minutes, decades after its last implementation. According to the Fed's introduction page: As the U.S. continued ...
Arash Howaida's user avatar
2 votes
1 answer
220 views

Nelson-Siegel-Svensson parameters provided by the Bundesbank

I am a college student and I have recently learned about Nelson-Siegel-Svensson method which is used by the German Federal Bank to determine the yield curve. I have to generate yield curves of ...
Amy's user avatar
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