Constant Maturity Yield Changes for Today (The Day after the Day after Yesterday)

This should be the last in a series of 3 posts. The constant maturity yields estimated by the Treasury Department (data here) today gain another 23 points at the 20-year and 30-year maturity. I assume the yields are driven by the event depicted in this article: EU Crisis Deal Buys Time for Greece: Papandreou.

Interestingly, the chart below shows that the yields on the Japanese Government Bonds head toward the opposite direction. (Data is here)  Sometimes, the discrepancy is due to the difference between the market close times for the US and Japan markets. But the change in yield has been negative for the past two days. Also, the change in yield is relatively small.

Reference: Bloomberg [Bloomberg]

Constant Maturity Yield Changes for Today (The Day after Yesterday)

Constant maturity yields estimated by the Treasury Department (data here) today recover 9 basis points at the 20-year and 30-year maturity.

The volatility in asset prices is why one should always take event studies with a grain of salt, and especially the choice in window size. A lot of papers on Quantitative Easing effects (my area of research) use event studies. A couple of examples include Gagnon, Raskin, Remache, and Sack (2011) and Swanson (2011).

Here are the headlines on Bloomberg’s main webpage at the moment (3:12pm October 26, 2011).

Banks: No EU Deal Yet on Greece
Supercommittee Dems Said to Pitch $3T Plan
U.S. Stocks Advance as EU Bank Agreement
UAW Members at Chrysler Ratify Labor Contract
Apple May Gain as VA Seeks Device Security
Bove: Goldman May Get ‘Windfall’ If It Buys MF
Stanford Proposes NYC Engineering Campus
Aflac’s Third-Quarter Profit Advances 7.8%
Trader Kupersmith Indicted for $60M Fraud

Reference: Bloomberg [Bloomberg];
  Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 41-59; 
  Eric T. Swanson, 2011. "Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2,"Working Paper Series 2011-08, Federal Reserve Bank of San Francisco.

Constant Maturity Yield Changes for Today

Constant maturity yields estimated by the Treasury Department (data here) felt 14 basis points at the 20-year and 30-year maturity.

Despite the description in the “About Me” box on the right side of the blog, I rarely talk about automation. The graph above is an example of the type of automation I do to help me keep tabs on the economy. My Linux computer runs a bash script everyday to get the constant maturity yield data from the Treasury Department website, and then the script uses Matlab to generate the graph. Finally, it emails me the graph by email. If the change in yield is large, the email adds the words “(LARGE MOVEMENT)” in the email subject.

Today, the yield changes are quite large. The numbers in the title of the graph are the day to day yield change. The top graph plots the yield curve for the past two days. The bottom graph plots the change in a bar graph. The email helps me keep tab on the economy – since large movement in the Treasury yields are usually meaningful. Of course, it is often difficult to pinpoint why.

However, for today at least, I am guessing the drop in yields is related to the Europe situation. Here are the headlines on Bloomberg’s main webpage at the moment (6:00pm October 25, 2011).

Asia Stocks Fall as Europe Uncertainty Grows
Japan Signals Coming Action as Yen Hits Record
Chinese Banks’ Profits May Not Lift Valuations
Amazon Profit Plunges; Shares Tumble
Australia Inflation Slows, Currency Declines
BlackRock Expects “Massive” Mining M&A
IBM Names Ginni Rometty as First Female CEO
Merkel Puts Rescue Fund to German Vote
S. Korea Growth May Slow, Pressuring BOK

Reference: Bloomberg [Bloomberg]

“Get 50 GB of Free Storage for Life on Box.Net” and “Upload Files To The Awesome Box.Net Directly from Windows Explorer”

The combination of the recent free space offer from Box.NET and the ability to map a drive from Windows Explorer to copy files to Box.NET means that I can now copy files easily from my computer to the cloud (Internet) and to my iPod Touch.

The primary restriction for the 50GB storage offer from Box.NET is the per file size limit. According to Lifehacker, the limit for this offer “increased file size upload limit of 100MB instead of 25MB.”  As a student whose interest is to have some work files on my iPod Touch and have it being offline, this works very well. (You can also achieve similar results with Dropbox and its iOS app, but the free space for Dropbox is 5GB.)

One you have files on Box.NET, you can use its iOS app to save it for offline viewing on your iPod Touch. Note that to get the 50GB storage, you need to sign in using the Box.NET iOS app before December 2, 2011.

The instructions for creating the network drive on your Windows machine (and this should work for Linux and Apple computers with modified instructions) can be found here: How To Upload Files To The Awesome Box.Net Directly from Windows Explorer. (The network location is https://www.box.net/dav.)

Reference: Get 50 GB of Free Storage for Life on Box.Net—IF You’re an iPhone, iPad, or iPod Touch User [Lifehacker],
  How To Upload Files To The Awesome Box.Net Directly from Windows Explorer [MakeUseOf]

Svensson Yield Curve for Euro Bonds

I can’t seem to download multiple time series (say 1yr to 30yr) easily from the web interface, but Euro area bonds’ implied Svensson yield curve data are available via the European Central Bank (ECB) here. The series are available in par, instantaneous forward, and spot rate.

The 2yr instantaneous forward rate starts at September 6, 2004. The rate for October 10, 2011 is 2.818129%. Under a lot of assumptions, this is the expected rate of a very short rate - like an overnight rate that a central bank controls - 2 years from now.  In (I hope) simpler terms, the bond market on October 10, 2011, is expecting that the very short interest rate on October 10, 2013, to be 2.81%.

The time series:

The spiffy flash version that shows the whole yield curve for various dates is here:

http://www.ecb.int/stats/money/yc/html/index.en.html

Reference: The estimation of the Term Structure of Interest Rates under the Compressive Sampling approach: Some initial considerations [Calzón, Martínez, and Rodríguez-Piñero]