The independent variable and instrument are specified to be the long-term predictions that use an ARIMA model and last-year's inflation rate, respectively, to estimate the real short-term interest rate (which, in turn, is subtracted from t-bond
yields to obtain an estimate of the market's prediction of long-term inflation).
For the price-process model, the volatility of default-free, noncallable debt prices is assumed to be proportional to maturity (Murphy, 1991), and the implied volatilities on 30-year debt are estimated by applying the Black (1976) option pricing model to the nearest-to-the-money call options on the second nearest CBT T-bond
futures contract listed in the Wall Street Journal on each GNMA pricing date.
It's called the Relative Strength Index (RSI), and it is a mathematical computation of the oversold or overbought status of the market, in this case the T-bond
The appropriate strategy is to sell a sufficient number of interest rate futures, using either T-bond
futures or mortgage futures.
06 Yen/Dollar 30-Year Exchange T-Bond
Rate Rate 3-Month T-Bill 0.
The interest rate futures portfolios examined are the Eurodollar, T-bond
, and the all interest rate futures portfolio.
1] [(Split-BBB + [Epsilon] T-Bond
+ [Delta] DefaultRate).
Since that cut in late January, the 30 year T-Bond
yields have gone from 6.
Since the velocity of M1 evidently responds to the T-bill rate with a lag, I have smoothed the T-bill rate by replacing it in Figure 3 with the T-bond
14/32 MBS and buy 86 September 1992 T-bond
calls for 1.
The ystanbul Stock Market has recovered almost all of its exaggerated losses, while the exchange rate as well as interest rates have calmed down; the depreciation of the Turkish lira is much less than the depreciation of the Brazilian real or the Indian rupee, and T-Bond
rates, slightly over 6 percent, are where they have to be, keeping real interest rates still around zero.