Uploaded by tscherer on Sep 28, 2010
This video presents 20 years of yield curve data from 1990 up to the 24th of September 2010. Originally rendered at 24 frames per second, the video depicts the shifts and shocks to the US Treasury Yield curve over 5188 trading days.
The Yield curve represents the lending rate available to the US government and is also used a core reference rate by the market. Shifts and shocks to the yield curve are monitored on an ongoing basis and considered one of the core market performance metrics.
It is often said that the yield curve gives an insight into the market's opinion of future economic conditions. Each yield curve consist of 11 data points representing different treasury maturities: 1 month, 3mo, 6mo, 1 year, 2yrs, 3yrs, 5yrs, 7yrs, 10yrs, 20yrs & 30yrs. The market prices in higher yields for good economic conditions and lowers the yield in times of duress. The US treasury market prices its opinion across the maturity horizon and is the result of a daily global price discovery process unmatched by almost any other security.
Further background details regarding this curve are available on the website of TwentyFourSomething: http://www.24-something.com/
Original source data obtained from US Treasury constant maturity yield curves. Data for the 1 month and 30 year contracts were extrapolated. Complete extrapolation method and original scrubbed primary data are available on the TwentyFour Website.
Any correlation between the yield curve and Bach's: Air on a G String is purely coincidental.
Category:
Tags:
- US Treasury
- Yield Curve
- TwentyFourSomething
- Bach
- extrapolation
- us t-notes
- t-bills
- t-bonds
- inflation
- deflation
- price discovery
- capital markets
- sovereign finance
License:
Standard YouTube License
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