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Consta negati during FRE

Consta negati during FRE

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The subsequent figures show the evolution of the spread between the 10-Year Treasury Constant Maturity and the 2-Year Treasury Constant Maturity. Apparently this spread turns negative before a recession (Figure 1). As becomes apparent the spread become negative during the year 2019 again (Figure 2). FRED- 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity 30 25 20 13 10 10 2000 2002 2004 2000 2010 2012 Snaded areas indicate U.S. recessions Source: Federal Reserve Bank of St. Louis red.stiouisfed.org Figure 1: 10-Year Treasury Constant Maturity minus the 2-Year Treasury Constant Maturity for the time period 2000-2012 Percent
Transcribed Image Text:The subsequent figures show the evolution of the spread between the 10-Year Treasury Constant Maturity and the 2-Year Treasury Constant Maturity. Apparently this spread turns negative before a recession (Figure 1). As becomes apparent the spread become negative during the year 2019 again (Figure 2). FRED- 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity 30 25 20 13 10 10 2000 2002 2004 2000 2010 2012 Snaded areas indicate U.S. recessions Source: Federal Reserve Bank of St. Louis red.stiouisfed.org Figure 1: 10-Year Treasury Constant Maturity minus the 2-Year Treasury Constant Maturity for the time period 2000-2012 Percent
FRED - 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity 30 20 15 10 10 2015-01 2015-07 2016-01 2010-07 2017-01 2017-07 2013-01 201807 2019-01 201907 Shaded areas indicate US. recessions Source Federal Reserve Bank of St. Louis fred. stiouisfed.org Figure 2: 10-Year Treasury Constant Maturity minus the 2-Year Treasury Constant Maturity for the time period 01/2015-09/2019 Having considered the scenario above complete the following tasks: a) What does this negative spread imply for the yield curve? Give reasons for a negative spread ahead of a recession (- b) Some economists argue that the yield curve and the signals it sends out have been distorted by central banks' interventions in the aftermath of the financial crisis. Analyse this statement critically (r- Percent
Transcribed Image Text:FRED - 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity 30 20 15 10 10 2015-01 2015-07 2016-01 2010-07 2017-01 2017-07 2013-01 201807 2019-01 201907 Shaded areas indicate US. recessions Source Federal Reserve Bank of St. Louis fred. stiouisfed.org Figure 2: 10-Year Treasury Constant Maturity minus the 2-Year Treasury Constant Maturity for the time period 01/2015-09/2019 Having considered the scenario above complete the following tasks: a) What does this negative spread imply for the yield curve? Give reasons for a negative spread ahead of a recession (- b) Some economists argue that the yield curve and the signals it sends out have been distorted by central banks' interventions in the aftermath of the financial crisis. Analyse this statement critically (r- Percent
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