KIC000014 - Nominal Yields are made up of 3...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Economic Data and Bond Yields FIN 428 Prof. Hood Economic Data Inflation most important- CPI, PPI Yro61Ju::.r Yr\cJ,. Other Prices Wages - Gold, Oil, Unit Labor Costs Output- GOP,GNP, NNP ~ ~Ct'\<U. ~cW*, Unemployment- Rate, Jobless Claims, New Jobs Fiscal Indicators ~ Budget Surplus or Deficit, National Debt Investment = Total Consurners > Income, Savings, Confidence Business rndtcators -IP, Fixed Inv., Capacity, Housing Stats Balance of Payments -Imports, Exports, Capita! Movement Exchange Rates - Key Currencies, Basket Measures, Forwards Money Supply- MO-MS, velocity, Reserves, FED Totals QK\rF4ijj rro of-daki .-L?- Inc\u':.trwJ ~ro:\0<'tiOYl 1 Data Issues ; Time lag for release of data Seasonality - ~F\ Nominal vs Real- Constant prices Index vs Actual Value Survey vs Measurement Revisions Changes to Definitions .
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Which Ones?
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Nominal Yields are made up of 3 components:-Rea! Risk Free Rate-Expected Inflation- Yield Spread - Compensation for Risk The rea! risk free rate is not constant and depends on the state of the economy Inflation depends on the state of the economy Expected loss (EL) and risk premia depend on the state of the economy. Regression Approach Forecasl yield (y) with lagged variables E)(p/flin yield (y) with concurrent variables What are the benefits end drawbacks for each? 2 Levels or Changes? We are ultimately interested in changes in yields, ie returns. Forecasting levels is easier, but should be focused on changes. Can use previous 2 methods and replace levels with % change in each variable....
View Full Document

Page1 / 2

KIC000014 - Nominal Yields are made up of 3...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online