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| | Yield curve - Wikipedia, the free encyclopedia |
 | | In finance, the yield curve is the relation between the interest rate (or cost of borrowing) and the maturity of the debt for a given borrower in a given currency. | | | The yield of a debt instrument is the annualized percentage increase in the value of the investment. | | | The yield curves corresponding to the bonds issued by governments in their own currency are called the government bond yield curve (government curve). |
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http://en.wikipedia.org/wiki/Yield_curve
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| | U.S. Treasury - Daily Treasury Yield Curve |
| | The yield values are read from the yield curve at fixed maturities, currently 1, 3 and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. | | | Yields are interpolated by the Treasury from the daily yield curve. | | | This curve, which relates the yield on a security to its time to maturity is based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market. |
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http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.html
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| | Riding the Yield Curve |
| | A common fear is that a humped curve signals the beginning of a recession because the yield curve must pass through this intermediate stage in order to become inverted. | | | Investors should examine the yield curve for Treasury securities as part of their investment decision-making process. | | | The curve is generally upward sloping -- with the rates of one-year bonds a few percentage points below the rates of 30-year bonds -- in times of economic growth. |
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http://www.kiplinger.com/basics/archives/2003/04/bonds4.html
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| | FDIC: FYI - What the Yield Curve Does (and Doesn’t) Tell Us |
| | Second, the flatness of the yield curve could be due to the easing of long-term inflation expectations, which are an important component of the term premium. | | | The second component of NIM, the NIM on non-interest-bearing liabilities, is the net return on assets funded by non-interest liabilities (for example, equity and demand deposits). | | | As a result, the yield curve appears to have lost some of its usefulness as an indicator of the banking industry’s overall health and profitability. |
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http://www.fdic.gov/bank/analytical/fyi/2006/022206fyi.html
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| | Capital Markets - Federal Reserve Bank of New York |
| | Since yield curve inversions and economic recessions correspond to extreme values of those variables, a connection between inversions and recessions may be systematically detectable even if parameters change over time within reasonable bounds. | | | Thus, a simple explanation of the predictive power of the yield curve for future output growth is that a monetary tightening both slows down the economy and flattens (or even inverts) the yield curve. | | | The measures of the yield curve most frequently employed are based on differences between interest rates on Treasury securities of contrasting maturities, for instance, ten years minus three months. |
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http://www.ny.frb.org/research/capital_markets/ycfaq.html
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| | Yield Curve |
| | This yield curve is used as a benchmark for other debt in the market, such as mortgage rates or bank lending rates. | | | A normal yield curve (pictured here) is one in which longer maturity bonds have a higher yield compared to shorter-term bonds due to the risks associated with time. | | | A Model For The Yield Curve - This paper by Ruben Cohen describes an intuitive model for the yield curve. |
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http://www.investopedia.com/terms/y/yieldcurve.asp
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| | Bloomberg.com: Financial Glossary |
| | A yield calculation in which bonds are retired routinely during the life of the issue. | | | Since bond prices and yields move in opposite directions, when the bonds are marked up, they "burn down" the yield, which may violate federal tax rules and diminishes tax revenues. | | | The calculation of yield to call is based on coupon rate, length of time to call, and market price. |
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http://www.bloomberg.com/analysis/glossary/bfglosy.htm
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| | Historical Yield Curve |
| | Typically the yield on 30-year Treasury bonds is three percentage points above the yield on three-month Treasury bills. | | | When it gets wider than that -- and the slope of the yield curve increases sharply -- long-term bond holders are sending a message that they think the economy will improve quickly in the future. | | | Ordinarily, short-term bonds carry lower yields to reflect the fact that an investor's money is under less risk. |
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http://fixedincome.fidelity.com/fi/FIHistoricalYield
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| | BONDTALK.com: Bond Basics - Education |
| | The yield curve is basically a chart that plots the yields on bonds carrying different maturities usually ranging from 3 months to 30 years. | | | When bond investors analyze the yield curve to try to glean its meaning, they look at the difference between yields on short-term securities compared to that of long-term securities. | | | The shape of the yield curve can mean a variety of things to bond investors but there are two basic ways of looking at it. |
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http://www.bondtalk.com/global.cfm?S=rultra&SS=education2&LID=21
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| | http://www.qando.net/ - The Yield Curve |
| | So, to create a yield curve, you line up all the bonds from the shortest maturity to the longest maturity, and plot the yields each bond is paying. | | | If so, then looking at the yield curve and seeing an inversion may not mean that a recession is in the offing, as it often has in the past. | | | So, the yield is the rate of return you get on a bond, based on the price you paid for it. |
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http://www.qando.net/details.aspx?Entry=3234
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| | Econbrowser: The real yield curve |
| | I had the impression from these remarks that Greenspan was suggesting that the recent flattening of the yield curve may be a reflection of changes in inflation expectations or risk premiums and therefore not a source of concern. | | | For example, the yield curve narrowed sharply over the period 1992-1994 even as the economy was entering the longest sustained expansion of the postwar period. | | | Although the slope of the yield curve remains an important financial indicator, it needs to be interpreted carefully. |
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http://www.econbrowser.com/archives/2005/12/the_real_yield.html
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| | What's With the Yield Curve? - Mises Institute |
| | The recent "inversion" of the yield curve (which displays the relationship between interest rates and the term to maturity of identical fixed income securities) is said to sound the alarm that US economy might be heading for difficult times. | | | This means that the shift in the shape of the yield curve is ultimately set by the central banks monetary policies and not by investors’ expectations. | | | It is this gradual increase in the effect of a change in the monetary policy that makes the change in the shape of the yield curve a good predictive tool. |
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http://www.mises.org/story/382
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| | What Does the Inverted Yield Curve Really Mean? [Fool.com: Commentary] January 5, 2006 |
| | What an inverted yield curve has tended to mean in past events was that the cost of securing credit was too high, or that lenders were too tight with their capital. | | | The yield curve is a single graph that shows what the current interest rate is for U.S. Treasury debt obligations of various lengths. | | | The yield curve, she's invertin', and Driver 8's been on this shift too long. |
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http://www.fool.com/news/commentary/2006/commentary06010504.htm
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| | Econbrowser: Inverted yield curve edges closer |
| | One reason that the yield curve inverts prior to an economic slowdown is that economic recessions tend to mean lower interest rates, both because of lower demand for borrowed funds as well as the fact that the Fed is likely to lower rates aggressively in response to an economic downturn. | | | It means that the yield on short term debt is higher than the yield on longer term debt. | | | The most common story I've heard for why the yield curve inversion won't mean a recession this time is that it's caused by large foreign purchases of long-term Treasuries. |
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http://www.econbrowser.com/archives/2005/11/inverted_yield.html
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| | Twists and Turns in the Yield Curve [Fool.com: Motley Fool Take] December 28, 2005 |
| | Interestingly enough, therefore, an inverted yield curve may be a positive for equities, not a negative, and investors may become more interested in equities, which have lagged other asset classes (e.g., commodities) over the past few years. | | | "The inverted yield curve is most likely the result of heavy buying of our long-term U.S. Treasuries by the Chinese in order to peg their currency, the yuan, to the dollar," he says. | | | In fact, according to New York Fed economist Arturo Estrella, the yield curve inverted in 1967 (link opens a PDF file) without a recession occurring afterwards. |
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http://www.fool.com/News/mft/2005/mft05122816.htm
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| | The Big Picture: Explaining Yield Curve Inversions |
| | While the flattening yield curve is part of the process, it shouldn't be taken lightly. | | | Treasury yields should be viewed in concert with central-bank policy and changes in the availability of money and credit. | | | The real curve is steeper now than a similar nominal curve would have been in the 1970s or 1980s. |
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http://bigpicture.typepad.com/comments/2005/12/explaining_yile.html
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| | The Yield Curve... - Print Version |
| | The slope of the yield curve is generally constructed by taking the yield on a long term bond like the 30 year minus the yield on a short term Treasury bill like the 3 month. | | | The calculation that I use is the yield on the 30 year Treasury bond divided by the yield on the short term 3 month Treasury bill. | | | It appears that a trend line break of the ratio yield curve is a significant event. |
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http://www.gold-eagle.com/editorials_04/lerner063004pv.html
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| | Is the inverted yield curve cause for worry? - Dec. 27, 2005 |
| | The yield curve refers to the slope of rates in the Treasury bond market, and an inverted yield curve traditionally signals a slowing economy or a recession. | | | Earlier in the session, the yield on 10-year Treasuries temporarily fell below that of 2-year notes, a rare event because investors tend to demand higher yields on longer-dated bonds to compensate for the risk of higher inflation later. | | | A flat yield curve, therefore, squeezes margins and an inverted one would hurt a bank's profits. |
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http://money.cnn.com/2005/12/27/news/economy/inverted_yield_curve
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| | Glossary - Quanto Financial Technology |
| | A yield calculations in which bonds are retired during the life of the issue. | | | This is the most frequently used measure of value for a bond. | | | The discount rate that equates the present value of the future cash flows to the dirty price, where the cash flows take into account the bond's amortization schedule. |
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http://www.equanto.com/glossary/y.html
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| | Techbooks Bookshop : Yield Curve Analysis by Livingstone Douglas |
| | Challenging, where appropriate, the accepted norms of fixed- income investing; proposing realistic methods for dealing with the realities of bond portfolio management; applying techniques of yield curve analysis to the new developments of bond indexation and active portfolio management, Yield Curve Analysis is a professional tool. | | | Yield Curve Analysis is unique in its pragmatic and thoughtful treatment of a wide array of bond portfolio management concepts." | | | Global-Investor > Bookshop > Yield Curve Analysis by Livingstone Douglas |
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http://www.global-investor.com/cgi-bin/euler.pl?id=s21412&uid=&action=display&ref=3405
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| | KRIS-yc: Kamakura Risk Information Services, Yield Curve Data |
| | This approach produces the smoothest possible continuous zero coupon bond yields consistent with observable coupon bearing bond prices, subject to the constraint that the second derivative of the zero coupon bond yield curve is zero at the longest observable maturity point. | | | Investment managers with historical data on corporate or municipal bond yields will also be able to more accurately compare those yields to a more precisely matching maturity U.S. Treasury yield curve to calculate the historical credit spread on the bonds. | | | A bank with historical data on its three year auto loan rate, for example, can simply compare the coupon on its auto loans with the equivalent coupon from the Kamakura Risk Information Service on a U.S. Treasury security with the same maturity and amortization, for origination on the same day as the auto loan rate. |
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http://www.kamakuraco.com/KRIS_yc.htm
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| | How to make an economist cower. By Daniel Gross |
| | Most academics downplay the two-year bond and instead look at the spread between three-month Treasury bills and 10-year bonds, notes Lakshman Achuthan, managing director at the Economic Cycle Research Institute, one of the few outfits to accurately forecast the 2001 recession. | | | In June, Daniel Gross wrote about the potential for an inverted yield curve. | | | On Tuesday, the placid post-Christmas markets were rattled by news that interest rates on two-year bonds nudged higher than those for 10-year bonds. |
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http://www.slate.com/id/2133458
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| | Angry Bear |
| | NEW YORK (MarketWatch) -- The Treasury yield curve turned completely upside down early Friday, pushing the 2-year yield above the yields of both the 10-year and 30-year instruments, intensifying a debate over whether the inversion signals a looming recession. | | | The inverted yield curve effectively undermines the incentive for making long-term loans. | | | I stand by my earlier assessment that this is a Not-Very-Good-Sign for the economy in 2006. |
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http://angrybear.blogspot.com/2006/02/yield-curve-update.html
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| | yield curve Definition |
| | A curve that shows the relationship between yields and maturity dates for a set of similar bonds, usually Treasuries, at a given point in time. | | | Read about the most important fundamental concepts of bonds, including par value, maturity, coupon, nominal and current yield, yield to maturity, and duration. | | | We also explain what the various bond ratings mean. |
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http://www.investorwords.com/5365/yield_curve.html
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| | BankNet 360 - TOP STORY: Treasury Yield Curve Still Sloping Up -- for Now |
| | An inverted yield curve is generally taken to mean two-year notes are offering a yield greater than 10-year bonds, indicating that the market expects interest rates to continue increasing. | | | While short-duration Treasurys continue to threaten to give greater yields than 10-year notes, bond prices today opened with the yield curve still sloping upward – however slightly. | | | The bond market yield curve last inverted in December 2000. |
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http://www.banknet360.com/news/NewsAbstract.do?na_id=1066
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| | Morgan Stanley |
| | In our view, the Bank of Israel is not behind the curve and the current state of the country’s labour market and global competitive pressures on ‘core’ prices allow the central bank to remove monetary policy accommodation at a measured pace. | | | But if a declining term premium has recently contributed both to lower long-term yields and to a flatter yield curve, both imply faster, not slower future growth, exactly the opposite of the traditional interpretation. | | | Most important, however, I think the sharp decline in “term premiums&; has both reduced long-term yields and helped to flatten the yield curve. |
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http://www.morganstanley.com/GEFdata/digests/20051121-mon.html#anchor0
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| | Flattening yield curve squeezes banks - Aug. 9, 2005 |
| | A flattening yield curve -- the difference between short- and long-term rates -- is generally an issue of concern for banks that borrow money at low short-term rates and lend it to consumers and corporations at higher long-term rates. | | | Economists speculate that falling long-term increases have offset the braking effect of the short-term rate increases, which could allow people and companies to bypass banks altogether and obtain low, long-term rates from alternate lenders or the bond market. | | | As the spread between long- and short-term rates fall, banks are struggling to replace the loss of income. |
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http://money.cnn.com/2005/08/09/markets/bondcenter/fed_squeeze
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| | Understanding a flattening yield curve |
| | In fact, in this example, the yield for the 10-year is dropping over time and that makes the flattening yield curve even more pronounced. | | | Under normal circumstances, the longer it takes for a CD, bond or other investment to mature, the greater the yield. | | | Yields for short-term maturities, such as the one-year and five-year Treasuries, are rising faster than the yield for the 10-year Treasury. |
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http://www.bankrate.com/brm/news/sav/20050617b1.asp
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| | Ratecurve.com treasury bond yield updated daily |
| | The Yield Curve, showing the difference between interest rates of various maturities - positive yield curve or inverted yield curve - has long been a key economic indicator, and many feel that the slope of the curve is a clue as to whether rates will be higher or lower in the future. | | | Treasury Bill, Note and Bond Yield Updated Daily! | | | Users are advised that data on this site is for informational purposes only, for use at their own risk, and that we are not responsible for any consequence arising from using it.. |
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http://www.ratecurve.com
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| | Economy & Bonds Home (Economy & Bonds) SmartMoney.com |
| | BOND REPORT: Treasurys End Higher As Data Points To Weakness By Leslie Wines Treasury prices rallied to a higher close Thursday, pressuring yields, after safe-haven interest was stirred by an unexpected drop in leading indicators and a remark by a Conference Board economist that the economy is not accelerating. | | | Once you consider the replacements costs, you just might want to hang tight. | | | Try our Living Yield Curve to learn more about how interest rates affect the economy. |
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http://www.smartmoney.com/bonds
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| | LION - News Now - Weekly Yield Curve |
| | LION - News Now - Weekly Yield Curve | | | The Treasury reinstated the 30-Year Constant Maturity series in the week of February 10, 2006 after it had been discontinued February 18, 2002. |
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http://www.lioninc.com/L/lion/yield_curve
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| | Yield Curve |
| | chart in which the Yield of debt instruments of similar creditworthiness is plotted on the vertical axis and the term to maturity is plotted on the horizontal axis. | | | Smeal College of Business, Penn State University, University Park, PA 16802-3603 USA |
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http://www.smeal.psu.edu/faculty/huddart/OptionGlossary/YieldCurve.shtml
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| | Dynamic Yield Curve - StockCharts.Com |
| | Click anywhere on the SandP 500 chart to see what the yield curve looked like at that point in time. | | | The fading "trails" behind the black line show how the yield curve developed over the preceeding days. | | | You are here: Tools and Charts > Dynamic Yield Curve |
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http://www.stockcharts.com/charts/YieldCurve.html
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