Yeild curve and bond evaluation:
Description: Action Items:
1. Go to the https://www.federalreserve.gov/releases/h15/data.htm to examine historical daily interest rates on U.S. Treasuries.
2. Scroll down to “Treasury constant maturities” and in the row “1-month” under “Nominal” click “Business day.”
As you can see, rates on the one-month U.S. Treasury bill are provided for each business day from July 31, 2001 to the present. For this assignment you are asked to pick a business date five years ago this month. (For example, in January 2012 I would pick a business date in January 2007.)
Then, using this row and the subsequent rows below it under “Treasury Constant Maturities” determine the shape of the yield curve (See Figure 6.11in the textbook for examples of Treasury yield curves) on that date five years ago based on the rates published by the Fed by completing the table below for the listed Treasury maturities (see example below):
Business Date Chosen Five Years Ago
1-month Nominal T-bill Rate on that Date
3-month Nominal T-bill Rate on that Date
6-month Nominal T-bill Rate on that Date
1-year Nominal T-note Rate on that Date
5-year Nominal T-note Rate on that Date
10-year Nominal T-note Rate on that Date
20-year Nominal T-bond Rate on that Date
30-year Nominal T-bond Rate on that Date
Answer the following questions:
3. On your selected date was the yield curve rising, falling, or flat? What explanation(s) would you give for this shape?