Suppose one estimates a linear regression with changes in the 5-year TIPS price as the dependent variable

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Suppose one estimates a linear regression with changes in the 5-year TIPS price as the dependent variable and changes in the 5-year nominal Treasury yield as the independent variable. The estimated slope is –4.
What does this number tell us?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:01 AM

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Suppose one estimates a linear regression with changes in the 5-year TIPS price as the dependent variable

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The estimated slope of 4 in the linear regression model tells us about the re...View the full answer

Introduction To Fixed Income Analytics

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