Shifting Gears

Helpless & Hopeless
By Steven J. Grisafi, PhD.

For small changes in the yield of the three month treasury bill a corresponding directly proportional change in the yield of the five year treasury note, of a size three orders of magnitude smaller, can be expected. Since interest rate changes effected by the central bank are generally limited to magnitudes measured only in basis points, this current empirical observation suggests central bank intervention upon the treasury yield curve is futile beyond the three month treasury bill. The pertinent empirical parameters leading to this conclusion are presented in the Debenture Yield Conics Data table. The computational analysis used to evaluate the Debenture Yield Conics Data is presented in the research article Conic Yields: Empirical Yield Transmission.

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