Sayın @jondowesAlıntı:
Originally Posted by JonDowes
http://www.frbsf.org/economic-resear...t-bond-yields/
makalesinde de var. Figure 2 'de "5- to 10-year forward rate for government bonds" verisi oluşturuluyor.
Bu veriyi nasıl oluşturuyor o kısmı anlamadım.
Figure 2 shows the 5- to 10-year forward rate, that is, the five-year interest rate that can be contracted today for an investment five years in the future, and two alternative estimates of the expectations component in this rate. This forward rate captures information in the 10-year Treasury yield relevant at a 5- to 10-year horizon, since the average of a five-year yield and a 5- to 10-year forward rate is the 10-year yield, on a zero-coupon basis. This distant-horizon forward rate is useful for measuring the long-run determinants of the yield curve because it is largely unaffected by cyclical movements in short-term interest rates and the stance of monetary policy. The expectations component in this forward rate captures the average expected nominal short rate over the 5- to 10-year horizon.
