Question: INSTRUCTIONS AND REFERENCES HERE: You will work with data relevant to the computation of the yield curve. The most relevant data sources here will likely

INSTRUCTIONS AND REFERENCES HERE:

You will work with data relevant to the computation of the yield curve. The most relevant data sources here will likely be:

https://fred.stlouisfed.org/ (FRED: Federal Reserve Economic Data; you may be particularly interested in the series titled T10Y2Y, DGS10, DGS2, DGS1, DGS1MO).
https://home.treasury.gov/policy-issues/financing-the-government/interest-rate-statistics?data=yield of particular interest is the Daily Treasury Par Yield Curve Rates, which "relates the par yield on a security to its time to maturity").

Please copy and paste the links into your browser to open.

-//-

Questions

1a) The most commonly used measure for the yield curve is the 10-2 Year Treasury Yield Spread. What was its value (in percent) on February 2, 2023?

b) Now, please compute the near-term spread between the 1-year and the 1-month Treasury Bills as of the same date, February 2, 2023; and compare it to the 10-2 Year Treasury Yield Spread you computed in the previous question.

Was the 10-2 Year Treasury Yield Spread higher or lower than the near-term spread between the 1-year and the 1-month Treasury Bills as of February 2, 2023?

Note: To answer this question correctly, please use the actual values you computed, including negative sign(s), if any. Please do not utilize just the absolute values of the two spreads. For example:

A spread of -1% is lower than the spread of 0.5% (-1% < 0.5%).
A spread of -2% is lower than the spread of 4% (-2% < 4%).

Please pick one of these answers:

As of February 2, 2023, the 10-2 Year Treasury Yield Spread was HIGHER than the near-term spread between the 1-year and the 1-month Treasury Bills.
As of February 2, 2023, the 10-2 Year Treasury Yield Spread was LOWER than the near-term spread between the 1-year and the 1-month Treasury Bills.
As of February 2, 2023, the two spreads were the SAME.

Answer?

C) Using the yield data for May 7, 2007: Was the near-term spread (between 1-year and the 1-month Treasury Bills) indicating a recession through inversion?

answer Yes or No?

D) Using the yield data for May 7, 2007: Was the 10-2 Year Treasury Yield Spread indicating a recession through inversion?

answer yes or no?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Economics Questions!

In Questions below, you will work with data relevant to the computation of the yield curve. The most relevant data sources here will likely be: https://fred.stlouisfed.org/...

Everything that needs to be utilized can be found in these two links and the instructions are complete. In Questions 1a to 1e, you will work with data relevant to the Fed's discount rate window...

Please review instructions listed below and read final paper. Right below is a link of the policy associated with this assignment. Thank you very much for your time and help. My question is, would...

In Questions I through V, you will work with data relevant to the various measures of the money supply. The most relevant data sources here will likely be: https://fred.stlouisfed.org/(Links to an...

Need help with part 3 only Part 3 Minimum Variance and Tangent Portfolios Instruction: You have two customers that have different tastes of risk. The first customer is a risk averter who find the way...

For this box you will analyze the labor market before, during, and after the financial crisis. You will analyze the 2006-2016 period; these are the years that have the same unemployment rates that...

Part 2: The Yield Curve [16 points] In Questions 7 through 10, you will work with data relevant to the computation of the yield curve. Recall from the Module 5 case study that the yield curve is an...

Write 2 paragraphs about Macro risks and the term structure of interest rates article. No max word count, page count, or formatting requirements but has to be submit to my tutor's work as my own....

Case Analysis 1. Compute the yield to maturity of Land'o'Toys' bonds before the purchase announcement and use it to determine the likely current bond rating. (Compare YTM to the table on p. 269)....

Comments on Macro Paper -- note the syllabus and example Macro paper in doc sharing Check the syllabus for the Macro paper due date. When complete, upload your paper to post MACRO paper in Doc...

Use the formula obtained in Exercise 3.58 to verify the result of Exercise 3.57. In exercise If F(x, y) is the value of the joint distribution function of the two continuous random variables X and Y...

How does a change in the taxation rate affect the deferred tax estimate?

The following table lists the components needed to assemble an end item, lead times, and quantities on hand. Item End B C D E F G H LT (week) 2 2 2 2 1 2 1 2 Amount on hand 0 11 8 26 12 28 6 0 Click...

2. Develop a good and lasting relationship

1. Avoid conflicts in the relationship

3. What is happening here and now (1 is oriented towards the proactive, 2 towards the reactive and 3 is a balance between the two). c. Source of inspiration: When I communicate it is important for me...