Date of Award
2023
Document Type
Thesis
Degree Name
MS in Science
Department
Business Analytics
First Advisor
AHMAD F. VAKIL
Abstract
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 a system of equations that explain and predict the US Government yield curve levels, slopes and dynamics, a phenomenon largely responsible for driving the value of US$300 Trillion of global debt. The research results are highly relevant to institutional and retail investors, borrowers, and lenders, as well as academics and policy makers.
Recommended Citation
Yiasoumi, Katerina, "AN ECONOMETRIC MODEL OF THE US GOVERNMENT YIELD CURVE LEVELS AND DYNAMICS" (2023). Theses and Dissertations. 652.
https://scholar.stjohns.edu/theses_dissertations/652