Reference no: EM133120215
Treasury Yield Curves
For this part of the project, we will be using the U.S. Treasury Department website (Daily Treasury Par Yield Curve Rates). It is useful site for obtaining actual Treasury yield data.
1. Create a table with the interest rates data for the Treasury yield curve for the following four dates. You can simply copy-paste the dates. Present the data in your response as a table.
a. 30/12/1992
b. 12/02/2008
c. 3/26/2019
d. 2021: the most recent available business day
|
DAILY TREASURY PAR YIELD CURVE INTEREST RATES (%)
|
|
Date
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1 Month
|
2 Months
|
3 Months
|
6 Months
|
1 Year
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2 Years
|
3 Years
|
5 Years
|
7 Years
|
10 Years
|
20 Years
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30 Years
|
|
30/12/1992
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N/A
|
N/A
|
3,19
|
3,39
|
3,57
|
4,54
|
5,07
|
5,98
|
6,39
|
6,68
|
N/A
|
7,39
|
|
12/02/2008
|
2,55
|
N/A
|
2,31
|
2,12
|
2,06
|
1,94
|
2,13
|
2,71
|
3,13
|
3,66
|
4,43
|
4,46
|
|
26/03/2019
|
2,46
|
2,44
|
2,46
|
2,49
|
2,44
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2,24
|
2,18
|
2,18
|
2,29
|
2,41
|
2,67
|
2,86
|
|
31/12/2021
|
0,06
|
0,05
|
0,06
|
0,19
|
0,39
|
0,73
|
0,97
|
1,26
|
1,44
|
1,52
|
1,94
|
1,9
|
2. Create the graphs in Excel and include them in your project.
3. Contrast the yield curves data for these four business days. What curve(s) can be considered normal curves? Inverse curves? Flat curves?
4. Compare long-term and short-term interest rates for each curve. What do yield curves say about long-term versus short-term interest rates?
5. The yield curve's shape and level change due to a variety of monetary, economic, and political factors. What factors could account for this difference in shapes of the curves and in level of interest rates?
6. Using the forecast of economic trends and interest rates you found in Part 1 of the project, what shape Treasury yield curve and level of interest rates do you expect to see in the short term and in the long term?