(a) Plot the 2, 3, 4, 5, 6 and 9 months United States zero coupon yields using a line chart and compare the result in Figure 2.6.

(b) Compute the spreads on the 3-month, 5-month and 9-month zero coupon yields relative to the 2-month yield and and plot these spreads using a line chart. Compare the graph with Figure 2.6.

(c) Compare the graphs in parts (a) and (b) and discuss the time series properties of yields and spreads.

Transcribed Image Text:

8 20 CL Yields 10 50 1945 1950 1955 1960 1965 1970 1975 1980 1985