The blog shares commentary on capital markets, interest rates, fixed-income securities, and the yield curve. Posts cover topics ranging from auction analysis to regime detection to yield curve similarity measures.

Instructions

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Notes

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  • each post includes tags for easy categorization
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Latest Popular
February 09, 2024 By yieldcurve.pro
Papers We Read This Week


Three articles discussing machine learning applied to the yield curve

Tags: Credit Growth, Fnancial Crises, Fnancial Stability, LightGBM, Machine Learning, Machine Learning, Neural Networks, Probit, Random Forest, Recession, Recession Forecasting, SSRN, Shapley Values, Support Vector Machine, Tree ensemble, XGBoost, Yield Curve

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January 17, 2024 By yieldcurve.pro
US Treasury Auction (Ex Post)


Evaluating the Health of Yesterday's US Treasury Auction

Tags: Auction, Bid to Coverage Ratio, Bills, Bonds, Notes, US Treasury

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January 17, 2024 By yieldcurve.pro
Monthly 60/40 Equilibrium


What do current market movements in stocks and bonds have to say about 60/40 fund weights?

Tags: 60/40, Bonds, ETFs, SPY, Stocks, TLT

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