us treasury yield curve chart link

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Profit not Prophet
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us treasury yield curve chart link

Post by Profit not Prophet » 29 Jan 2017 18:52

I ran across this and thought it was handy.

https://www.treasury.gov/resource-cente ... ation.aspx

In January with no green grass or fun distractions, reading and learning about the yield curve is further up the fun list than it usually is. I was doing some reading on inverted yield curves, recessions, blah blah and this thing is pretty handy fun chart. Thought it might be of use to others. Ain't the internet grand........

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ghariton
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Re: us treasury yield curve chart link

Post by ghariton » 29 Jan 2017 22:15

Interesting. The implied inflation rate over the next thirty years is about 2.2 per cent (eyeballing the chart). In Canada, it's 1.76 per cent.

(Note that the implied inflation is the difference between the nominal and real returns on a 30 year government bond. That includes a premium for insurance against unexpected inflation as well as the expected inflation. That suggests that expected inflation is less than 1.5% per year for the next 30 years. I don't believe it at all.)

George
The plural of anecdote is NOT data.

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NormR
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Re: us treasury yield curve chart link

Post by NormR » 29 Jan 2017 22:47

ghariton wrote:(Note that the implied inflation is the difference between the nominal and real returns on a 30 year government bond. That includes a premium for insurance against unexpected inflation as well as the expected inflation. That suggests that expected inflation is less than 1.5% per year for the next 30 years. I don't believe it at all.)
And what of the efficient market?
[url=http://www.ndir.com]www.ndir.com[/url]

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ghariton
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Re: us treasury yield curve chart link

Post by ghariton » 30 Jan 2017 01:17

NormR wrote:
ghariton wrote:(Note that the implied inflation is the difference between the nominal and real returns on a 30 year government bond. That includes a premium for insurance against unexpected inflation as well as the expected inflation. That suggests that expected inflation is less than 1.5% per year for the next 30 years. I don't believe it at all.)
And what of the efficient market?
Indeed.

Some time ago I suggested an arbitrage, going long real return bonds and short nominal bonds of the same issuer and duration. But (a) it is not easy to execute, as shorting bonds is not common (b) I am mindful that markets can stay mispriced longer than my money can last. I guess I'll leave this sort of thing to George Soros.

P.S. I guess that makes the market efficient, at least as far as I'm concerned (where "efficient" means that that arbitrages of this kind won't make me any money after costs)

George
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patriot1
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Re: us treasury yield curve chart link

Post by patriot1 » 30 Jan 2017 14:51

NormR wrote:And what of the efficient market?
Efficient market means that the aggregate expectations of players are priced in. It doesn't mean they're right - nobody knows the future.

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