What the Current Yield Curve Says, and What the Future Prices of Energy Do

2021 ◽  
Author(s):  
Yasmeen Idilbi ◽  
Mahmoud Qadan
Keyword(s):  
Yield Curve ◽  
Current Yield ◽  
The Future

What the current yield curve says, and what the future prices of energy do

2022 ◽  
Vol 75 ◽  
pp. 102494
Author(s):  
Yasmeen Idilbi-Bayaa ◽  
Mahmoud Qadan
Keyword(s):  
Yield Curve ◽  
Current Yield ◽  
The Future

scholarly journals The gilt-edged market reformulated

1977 ◽  
Vol 104 (2) ◽  
pp. 227-240
Author(s):  
K. S. Feldman
Keyword(s):  
Interest Rates ◽  
Yield Curve ◽  
Yield Curves ◽  
Market Prices ◽  
Simple Assumption ◽  
New Model ◽  
Uniform Rate ◽  
Conventional Analysis ◽  
The Future ◽  
Yield Calculation

1.1. In this note it is argued that models of the gilt-edged market which are based on yield curves are unnecessarily restrictive and should not be expected to give a satisfactory statistical ‘fit’ in current conditions. The new model which is formulated relates market prices directly to the life and coupon without diverting into the computation of redemption yields. Indeed, it is suggested that the yield calculation destroys the inherent simplicity of the underlying equations—which follow from a simple assumption concerning the return from different portfolios. The method avoids the inconsistency inherent in the conventional analysis of discounting future investment proceeds at a uniform rate of interest when the yield curve itself implies that interest rates will vary in the future.

scholarly journals SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS

2016 ◽  
Vol 11 (01) ◽  
pp. 1650004 ◽  
Author(s):  
LIN-YEE HIN ◽  
NIKOLAI DOKUCHAEV
Keyword(s):  
Implied Volatility ◽  
Yield Curve ◽  
Stock Option ◽  
Model Parameters ◽  
Option Prices ◽  
Cross Sectional ◽  
Federal Funds Rate ◽  
Market Participants ◽  
The Future ◽  
Rate Processes

In this paper, we propose a strategy to extract the information on the market participants’ expectation of the future short rate from the cross-sectional zero coupon bond prices. In line with the current market practice of building different yield curves for different tenors, we construct multiple one-factor short rate processes to pin down the salient features of the yield curve at different tenors. We represent this information in the form of the Cox–Ingersoll–Ross model implied parameters, and show that this information can be used to forecast the future short rate. This approach of representing the information on the market participants’ consensus in the form of implied model parameters and using these implied parameters for forecasting purposes resembles the approach of representing the market expectation of the underlying asset volatility reflected by stock option prices in the form of implied volatility, and using it to forecast the realized volatility. We illustrate the implementation of this method using historical US STRIPS prices and effective Federal Funds rate.

scholarly journals The assault of finance’s ‘present futures’ on the rest of time

2019 ◽  
Author(s):  
Timo Walter ◽  
Leon Wansleben
Keyword(s):  
Interest Rates ◽  
Yield Curve ◽  
Efficient Market Hypothesis ◽  
Central Banks ◽  
Inflation Expectations ◽  
Real Interest Rates ◽  
The Future ◽  
Coordination Process ◽  
Run Up ◽  
Sole Criterion

The title of our contribution refers to Alexander Kluge’s movie, “Der Angriff der Gegenwart auf die übrige Zeit” (“the assault of the present on the rest of time”). The question we ask is how financialized capitalism shapes and formats the politics of the future. Our central tenet is that, far from providing an engine ’imagining’ futures that substantively guide (collective) actions, finance ‘consumes’ forecasts, plans, or visions in its present coordination process. While the “oscillation” between present futures and future presents has been identified as a defining feature of modern conceptions of contingency, freedom, and choice (Luhmann; Esposito), these two temporal modalities are collapsed in contemporary financial markets in an ongoing ‘pricing in’ of various possible future states. Projected futures do not substantively shape collective paths towards them or instruct social learning, but are calculatively assimilated to improve coordination between present prices. Fatally, central banks have been at the forefront of “synchronist” (Langenohl) finance, believing that as long as numeric calibration of their own and the markets’ expectations as expressed in prices align, they have rendered capitalism governable. Under this regime, central banks really do not govern inflation, but inflation expectations as expressed in the “yield curve” and built into interest rate derivatives. We argue that financial techniques built on the efficient market hypothesis and the Black-Scholes-Merton formula, as two theoretical articulations of this modern “synchronist” (Langenohl) temporality of finance, allow central banks to ignore possible “random” fluctuations in actual inflation and concentrate on the internal calibration of present futures as the sole criterion for monetary policy success. We show that the resultant “assault” on “future presents” was an important factor in the run-up to the crisis of 2007-9. Central banks deliberately attempted to eliminate uncertainties in markets about the future course of monetary policies. For that purpose, shared fictions about the underlying logics of Western economies (real interest rates, NAIRU etc.) were rigidly built into the structures of asset prices. Moreover, since central banks and market actors aligned their expectations over real interest rates, market actors could act as if their uncertainties about future liquidity needs could be neglected, since current money market and official lending rates were supposed to already define the price of liquidity tomorrow. In the last part of the contribution, we will extend this argument to contemporary quantitative easing, to show how it reinforces the pitfalls of generating expectations of economic prosperity and stability via the contemporary financial system.

scholarly journals Incorporating multi-cohort old aspen and mixedwood dynamics into a long-term forest management plan

2014 ◽  
Vol 90 (01) ◽  
pp. 50-58 ◽  
Author(s):  
Paul A. LeBlanc
Keyword(s):  
Forest Management ◽  
Forest Canopy ◽  
Sustainable Forest Management ◽  
Yield Curve ◽  
Management Plan ◽  
Stand Dynamics ◽  
Yield Curves ◽  
Forest Condition ◽  
The Future ◽  
Forest Management Plan

The 2006–2026 Sustainable Forest Management Plan for Manitoba’s Duck Mountain Provincial Forest (DMPF) was required to model the Future Forest Condition 200 years from the present. This was a significant challenge for forest stands that were already old at the beginning of the planning and modelling horizon. In the DMPF, the majority of stands were currently old and near the end of the sampled yield curve. We incorporated aspen and aspen–mixedwood Permanent Sample Plot remeasurement data, aged up to 200 years old, into the yield curves. This extended the sampled volume–age data of the yield curves from 120 to 200 years old. The recent discovery of multi-cohort aspen and mixedwood stands was also incorporated into modelling the Future Forest Condition of the Sustainable Forest Management Plan. Multi-cohort stand dynamics replaced previous modelling assumptions of single-cohort, even-aged stands “breaking up” and suffering catastrophic loss (i.e., death age) where volume equals zero at stand ages 140 years or older. Modelling the multi-cohort stand dynamics resulted in a significantly different Future Forest Condition due to: maintenance of a continuous forest canopy over the entire landscape; higher modelled biodiversity in older stands due to multiple canopies, abundant snags, and coarse woody debris; and the avoidance of a large age class imbalance due to stands being available for harvest longer, but at a lower volume.

scholarly journals Temporal measures of societal optimism reveal inversion of sentiment toward the near and distant future

2021 ◽  
Author(s):  
Calvin Isch ◽  
Marijn ten Thij ◽  
Peter M. Todd ◽  
Johan Bollen
Keyword(s):  
Yield Curve ◽  
Bond Yields ◽  
Psychological Measures ◽  
Bond Yield ◽  
The Future ◽  
Treasury Bond ◽  
Temporal Measures ◽  
Future 2 ◽  
Near Future ◽  
Time Point

Individuals can hold contrasting views about distinct times, e.g., dread over tomorrow’s appointment and excitement about next summer’s vacation. Yet, psychological measures of happiness and optimism often assess only one time-point. Taking inspiration from the Treasury bond yield curve, which compares bond yields by their date to maturity, we compare online sentiment about different future times. Using over 2.1M tweets that reference 23 points in the future (2 days-30 years), we calculate the monthly mean sentiment toward each time point and analyze how it differs across short-, medium-, and longer-term future references. We call this function the optimism curve, as it measures levels of optimism toward different times into the future. Over the three year period of August 2017 to October 2020, we generally see a downward optimism curve, i.e., the long-term future is discussed less positive than the short-term. During the COVID-19 pandemic the optimism curve temporarily inverted, indicating declining optimism about the near future. Our findings show that social media users make differentiated assessments of the future that change in real-time to reflect uncertainty and major societal events.

International determination of the total motion of the pole

1961 ◽  
Vol 13 ◽  
pp. 29-41
Author(s):  
Wm. Markowitz
Keyword(s):  
Secular Motion ◽  
The Future

A symposium on the future of the International Latitude Service (I. L. S.) is to be held in Helsinki in July 1960. My report for the symposium consists of two parts. Part I, denoded (Mk I) was published [1] earlier in 1960 under the title “Latitude and Longitude, and the Secular Motion of the Pole”. Part II is the present paper, denoded (Mk II).

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