tag:blogger.com,1999:blog-5713178645208582139.post2033937753740030499..comments2024-03-22T02:37:15.030-05:00Comments on Macro Musings Blog: Another Bond Market Conundrum?David Beckworthhttp://www.blogger.com/profile/04577612979801459194noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-5713178645208582139.post-41660712884025124272014-09-07T16:21:02.336-05:002014-09-07T16:21:02.336-05:00The actual conundrum is why all the talk is about ...The actual conundrum is why all the talk is about what rates did, instead of what they will do. Anyone that understands money and central banking already knows what's "in the cards" (seemingly like a magician). Salmo Truttahttps://www.blogger.com/profile/13910212017849902362noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-62582256447532483692014-09-07T16:04:47.914-05:002014-09-07T16:04:47.914-05:00Everyone makes the assumption that bond-holders an...Everyone makes the assumption that bond-holders and buyers judicious assessments (modeling), are always at least halfway correct. That is not even necessarily so. There's absolutely nothing perplexing about current levels and no need to fine-tune their calculations. Salmo Truttahttps://www.blogger.com/profile/13910212017849902362noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-23893784854434876442014-09-04T19:06:04.833-05:002014-09-04T19:06:04.833-05:00Japanification...the real threat to modern economi...Japanification...the real threat to modern economies, not inflation. Please tell the central bankers...Benjamin Colehttps://www.blogger.com/profile/14001038338873263877noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-80070995040933231382014-09-02T12:12:48.909-05:002014-09-02T12:12:48.909-05:00Did you decompose the 2005 time period to see term...Did you decompose the 2005 time period to see term premium was behind that divergence?<br />And has the ending of or operation twist itself impaired the yield curve in some way making comparison difficult?andyanoreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-18336989097090003582014-09-02T12:06:35.498-05:002014-09-02T12:06:35.498-05:00This theory has been floating around as to why bon...This theory has been floating around as to why bonds (and perhaps the real term premium) is "decreasing"<br /><br />http://blog.alliancebernstein.com/index.php/2014/05/30/how-low-can-the-30-year-treasury-yield-go/andyanoreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-64948592993608061242014-09-02T03:22:35.027-05:002014-09-02T03:22:35.027-05:00Garrett,
Euro area ticked up their benchmark rate ...Garrett,<br />Euro area ticked up their benchmark rate from 1% to 1.5% for part of 2011. Their core inflation rose during the tick up in the benchmark rate. Core inflation has been falling ever since 2012 when it became clear that the ECB would commit to low rates for a long time. This is the Fisher Effect.<br />Great Britain started to contract in 2010. Loans to private sector were actually Edward Lamberthttp://effectivedemand.typepad.comnoreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-34578138895675181612014-09-02T00:08:10.266-05:002014-09-02T00:08:10.266-05:00Edward,
Didn't the ECB already try raising ra...Edward,<br /><br />Didn't the ECB already try raising rates in 2011? Right before they had a second recession?g-mohttps://www.blogger.com/profile/12548436467846748892noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-22055894795504770992014-09-01T14:46:02.207-05:002014-09-01T14:46:02.207-05:00My answer to the conundrum is the Fisher Effect. A...My answer to the conundrum is the Fisher Effect. As we see ECB nominal rates heading increasingly lower due to economic stagnation, lower inflation follows with a natural real rate independent of monetary policy. There is an accompanying downward spiral of ever weaker demand.<br />As we see the US economy pick up and expectations of the Fed raising nominal rates, the real rate will rise as Edward Lamberthttp://effectivedemand.typepad.comnoreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-75447333538317171442014-09-01T14:14:20.996-05:002014-09-01T14:14:20.996-05:00David, all I am doing is filling in data for equat...David, all I am doing is filling in data for equation two above. The only hard part is getting term premium estimates, but fortunately the smart folks in macro-finance have figured out how to estimate it and some are even posting it online with regular updates. The one I used above is from the Adrian, Crump, and Moench (2013) paper that can be found <a href="http://David Beckworthhttps://www.blogger.com/profile/04577612979801459194noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-37998275707445035532014-09-01T13:40:57.250-05:002014-09-01T13:40:57.250-05:00David: Exactly how did you compute this decomposit...David: Exactly how did you compute this decomposition? Can you describe it simply here, or do I need to do two days of reading of some obscure literature? Help me out here!David Andolfattohttps://www.blogger.com/profile/12138572028306561024noreply@blogger.comtag:blogger.com,1999:blog-5713178645208582139.post-22422052852501523482014-09-01T10:37:03.276-05:002014-09-01T10:37:03.276-05:00Would be interesting to see the spread -- real ris...Would be interesting to see the spread -- real risk-free rate on 5s vs 10s -- over the long haul, and also zoomed in on recent years. Could also include the term-premium spread. I can't imagine the 5- versus 10-year inflation-expectation spread would be all that interesting, but...Steve Rothhttps://www.blogger.com/profile/11895481216028771016noreply@blogger.com