Social and Behavioral Sciences Commons^™

An Econometric Model Of The Us Government Yield Curve Levels And Dynamics, Katerina Yiasoumi

Theses and Dissertations

The yield curve is the graph of the relationship of the nominal yield to maturity (ytm) on bonds of a similar asset class to different bond maturities at a point in time. Yield curves exist for every sector of the fixed income asset class, e.g., corporate, municipal, emerging markets, high yield, etc. not only for the United States, but for all bond markets worldwide. This research uses graphical techniques, descriptive statistics, correlation, as well as linear and non-linear regression to model each of nine treasury bills, notes, and bond ytms along the US Government bond maturity spectrum. The result is …