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........
us treasury yield curve chart link
-
- Contributor
- Posts: 948
- Joined: 03 Aug 2007 14:24
- Location: Southern Ontario aka not TO
Re: us treasury yield curve chart link
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
(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 juice is worth the squeeze
Re: us treasury yield curve chart link
And what of the efficient market?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.)
Re: us treasury yield curve chart link
Indeed.NormR wrote:And what of the efficient market?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.)
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
The juice is worth the squeeze
Re: us treasury yield curve chart link
Efficient market means that the aggregate expectations of players are priced in. It doesn't mean they're right - nobody knows the future.NormR wrote:And what of the efficient market?