Ball and Croushore show that the SPF output forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread
The yield spread
over US treasuries would be much larger if oil price continues to be at low levels, but if it increase to $50 per barrel level, yields spreads could be in the range of 200-250 bps over US Treasuries.
This is an area in the fixed income market that has been shunned by a lot of fixed income investors," said Bernstein, noting the proof of that is the wide yield spread
between munis and other bond markets.
We use past values of the yield spread
and GDP growth to project what real GDP will be in the future.
90 while the yield spread
tightened slightly to 107 basis points.
We use a sample of 13,037 yield spread
observations of industrial issuers from 1994 to 2005.
Pairwise cointegration tests are conducted by regressing each country's yield spread
versus Germany on a constant term [[beta].
The yield spread
between this issue and a longer-term bond of Promsvyazbank (-/Ba2/BB-) PROMBK-19 has been in place only since June 26.
Ainda, apontam que a falta de liquidez desses ativos e considerada como uma possivel causa para a falha desses modelos de credito em capturar a variacao do yield spread
The economic fundamentals include the federal funds rate and interest rate spreads, such as the 1-year-1-month LIBOR spread and the 10-year nominal Treasury--10-year Treasury Inflation-Protected Securities (TIPS) yield spread
The five-year debt is expected to be priced at a yield spread
of 175 basis points over comparable Treasuries.
What this means is if the same money is spent on options, and the patterns of the historic stock market repeat, the returns will come out pretty much the same over the long haul whether you use an annual point-to-point or a yield spread
or averaging or a monthly cap.