BZ Bread

by George Schils.

Interest rate yield curve on Oct. 27, 2008

Monday, October 27, 2008

Yet another attempt to make sense out of current treasury interest rate data is given here. I am finding it hard to find a nice analytic equation for the current interest data. Does this mean anything? I am not sure.

There is no question that this is a "fairly" bumpy time in the economy. I thought I would expend some effort to try to explain the current interest rate data (yield curve). I have not been successful so far.

Treasury note data is as of 12:45 p.m. EDT 10/27/08 is given below.

1-Month Bill 0/32 0.319
3-Month Bill -4/32 0.757
6-Month Bill -4/32 1.321
2-Year Note -4/32 1.565
5-Year Note -7/32 2.614
10-YR Note -6/32 3.703
30-Year Bond 2/32 4.050

The fitted curve to the above data is given below.

fitted yield curve