Slope Of Yield Curve Research Articles

An analysis of implied tax rates on long-term taxable and tax-exempt bonds

We examine the impact of differences in interest rate volatility, the taxation of capital gains and losses, callability, the Tax Reform Act of 1986, corporate and personal tax rates, and the value of the tax-timing option on the quilibrium yield relationship between long-term tax-exempt and taxable bonds. Tax consequences of each of these factors for investors potentially influence the implied tax rate associated with tax-exempt and taxable bonds. Using monthly data from 1957 through 1988 we estimate time series regression equations that relate the ratio of par yields on 20-year and 30-year tax-exempt and Treasury securities to these tax and volatility factors. The empirical results indicate that (1) increased volatility of municipal yields had a strong, positive impact on the equilibrium yield ratio, (2) changes in marginal personal income tax rates negatively affected the yield ratio; and (3) changes in the Treasury yield curve slope negatively influenced the yield ratio. None of these factors affected the yield ratio differently after 1986.

Riding the yield curve: Term premiums and excess returns

AbstractRiding the yield curve is an active portfolio strategy consisting of buying bonds with maturities longer than one's holding period and selling before maturity. The objective is to profit from a higher initial yield and a possible capital gain as the bond “rides” down an upward sloping yield curve. The evidence presented in this paper shows that compared with the buy‐and‐hold, 1‐year rides with 2‐year Treasury securities produce higher average returns, but do not yield excess risk‐adjusted returns. Incremental returns from riding represent term premiums, instead of pure profits. These findings are consistent with the liquidity premium theory of the term structure.

Performance Characteristics of Private and State‐Owned Banks: The Turkish Case

This paper investigates the performance characteristics of Turkish private and state‐owned commercial banks for the 1986– 1990 period. The link between interest margins and maturity structures of bank asset and liabilities is specified. Empirical evidence indicates that banks with longer positions experienced lower interest margins, a finding consistent with the presence of a downward sloping yield curve during most of this period. The results document that bank margins suffered after the financial reforms of 1988. Further, compared to private banks, state‐owned banks exhibited lower interest margins and longer maturities, which is a direct consequence of portfolio constraints and management style of banks.

The policy content of the yield curve slope

AbstractThe slope of the yield curve, defined as the difference between 10 year and 3 month government bond yields, has been shown to predict both inflation and real economic activity. This paper investigates whether the forecasting ability of the yield curve slope is solely due to its relationship to monetary policy or whether it contains independent information about the future course of inflation and output growth. The predictive content of the yield curve slope is measured over three separate monetary policy regimes. The empirical results suggest that the yield curve slope contains independent predictive information about a variable only when the Federal Reserve does not react to changes in that variable.

A Monetary Impulse Measure for Medium-Term Policy Analysis

The paper presents a measure of monetary impulse that is intended to reflect the medium-term inflationary implications of a nation’s current monetary policy. The measure consists of the growth rate of the monetary base, adjusted for reserve requirement changes and augmented by an implicit forecast of future growth rates of base velocity. Time series plots of the impulse measure for the G-7 countries are presented, and are compared with plots of inflation and of two alternative monetary indicators—the yield curve slope and the growth rate of a broad monetary aggregate. The impulse measure serves well as a medium-term indicator of future inflation, and on balance matches or outperforms the alternative indicators.

Further evidence on segmentation in the treasury bill market

This paper shows that differences in supplies of 13- and 12-week Treasury bills have statistically significant and economically meaningful effects on their yield differentials from January 1985 through October 1991, controlling for the general slope of the Treasury bill yield curve, the tendency of bills maturing at month-ends to have lower yields and the tendency of bills whose supply is augmented by cash management bills to have higher yields. The finding that market participants do not arbitrage away yield differentials that owe to differences in supplies indicates that demand curves for individual bills are downward sloping and that segmentation in the Treasury bill market is more pervasive than previously documented.

A Monetary Impulse Measure for Medium-Term Policy Analysis

The paper presents a measure of monetary impulse that is intended to reflect the medium-term inflationary implications of a nation`s current monetary policy. The measure consists of the growth rate of the monetary base, adjusted for reserve requirement changes and augmented by an implicit forecast of future growth rates of base velocity. Time series plots of the impulse measure for the G-7 countries are presented, and are compared with plots of inflation and of two alternative monetary indicatorsthe yield curve slope and the growth rate of a broad monetary aggregate. The impulse measure serves well as a medium-term indicator of future inflation, and on balance matches or outperforms the alternative indicators.

Derivation of theoretical Ecu yields

This paper derives theoretical Ecu yields from its basket construction. Covered interest-rate parity is used to revise the weights of currencies in the basket over time. The result reconciles theory with the observation that in the market the Ecu yield curve's slope is distinctly less than a basket average with constant weights. Equipped with this fundamental result, the paper then derives results for Ecu interest rates of variations in interest and exchange rates of component currencies, and of Ecu basket revisions.

Photonuclear spallation reactions in Cu.

Yields of 24 radioactive nuclides formed by the interaction of bremsstrahlung with maximum end-point energies of 100 MeV--1 GeV with Cu have been measured by direct \ensuremath{\gamma}-ray counting of irradiated targets. The yields in the mass range of 42 to 60 (except for $^{60}\mathrm{Cu}$) were analyzed by a nonlinear least-squares fit to obtain the mass yield and charge dispersion curves in spallation reactions. From the parameter values obtained, the energy dependence of the slope of the mass yield curve and the relationship between target N/Z and the most probable product N/Z were investigated and compared with the results of proton, \ensuremath{\alpha}, and heavy-ion-induced spallation of Cu. The characteristics of photon-induced spallation are discussed.

Spallation of V induced by 1 GeV12C-ions and by 258, 350 and 910 MeV3He-ions

Cross Sections and thick target/thick catcher recoil properties have been measured for radionuclides formed in the interaction of 258, 350 and 910 MeV3He-ions and 1032 MeV12C-ions with V in order to study the systematics of their variation with product mass and energy and type of the incident projectile. The slope of the mass yield curves is observed to decrease with increasing bombarding energy. The dominant projectile variable determining the slope is the total kinetic energy, and the slopes are independent of the type of projectile.

A Theoretical and Empirical Investigation of Debt Maturity Timing and Yield Curve Slope Analysis

A Theoretical and Empirical Investigation of Debt Maturity Timing and Yield Curve Slope Analysis

Low-Energy Sputtering Yields by Resonance Absorption and Emission Spectroscopic Methods

Low-energy sputtering yields for a (110)-oriented gold single crystal are determined by means of a resonance or atomic absorption technique wherein the sputtered atoms absorb the resonance radiation from an external gold, hollow cathode source. If the square root of the relative yield is plotted vs target voltage, a linear portion is found between 40 and 70 V. The extrapolation of the linear portion of the curves gives rise to an average intercept energy EE of 29 eV at low pressures. The discharge chamber is specially designed to permit consecutive measurements of the sputtering yields by the absorption and by a previously employed emission technique under identical chamber geometry and discharge conditions. In the direct comparison of results possible thereby, the average value of EE from the emission curves is 29.5 eV which is approximately equal to the above absorption value of 29 eV. The plasma potential for these experiments is found to be about 12 eV. Moreover, the curves themselves are proportional over the range of 40 to 100 V. These results strongly indicate that EE is an experimental invariant from which reliable threshold energies can be obtained. This coincidence of curves also indicates that the variation of excitation probability of the Au atoms with different ion and correspondingly different atom energies does not affect the emission yield curves. The sensitivity of the absorption method with the present hollow cathode is slightly poorer than that of the emission method. The observed increase in the slope of the absorption square root yield curve with increased discharge current is attributed to imperfect resonance which may be due to the difference in argon pressures and discharge currents within the gold, hollow cathode source and those within the sputtering single-crystal target chamber.

Influence of Plant Population, Hybrid, and “Productivity Level” on Irrigated Corn Production1

SynopsisHighest grain yields were obtained from adapted full season corn hybrids grown at 16,000 to 20,000 plants per acre. Portions of the yield losses associated with planting early as compared to full season hybrids can be recovered by planting at higher populations per acre. “Productivity level” of the experimental areas and hybrid markedly influenced the slope, direction, and shape of grain yield curves.

Some approaches to experimental investigations into the correlation between the slope and the sigmoidal shape of yield curves

On the basis of selected experimental data a preliminary working hypothesis is advanced which may be the starting-point of experimental work for the establishment of the correlation between the slope of the sigmoid yield curve and its position in the system of co-ordinates. The hypothesis takes into account the fixing power of the soil for the deficient nutrients and for the nutrients in the basal treatment as influenced by nutrient concentrations and by the water content of the soil and the time factor.