Guillaume, Rebonato and Pogudin (2010) established that rate volatility or the amount an interest rate can move is related to the initial level of the yield. In this brief note, I take their analysis one step further to show that this level dependence is related to inflation volatility being...

Barnichon and Nekarda (2012) have brought attention to forecasting the labor market using the bathtub model. In addition Diebold and Yilmaz (2009) have made substantial advances to the spillover literature by introducing connectedness tables and plots. We blend the two works to answer two...

Cieslak and Povala (2011) discovered that conditioning levels of interest rates on trend inflation helps to forecast bond returns. This note explores that theme using other measures of trend including trend GDP growth. I find that a model free de-trending of rates by trend GDP performs as well...

I study the relationship between two old bond topics: The Government bond dealer and new-seasoned bond spreads. I establish empirical support for the Gaines (1962) 'amplification hypothesis' that changes in net positions have a causal effect on the spreads offered by primary dealers: net...

There has never been a thorough analysis of Treasury spline errors. All that is known is the consequence of assumption. Measurement without theory ruffles the waters surrounding theories of liquidity risk in Treasury markets. A central question posited by this paper is: Is the on-off spread...

The vast collections of the St. Louis Fed's Archival Publications database, FRASER, provides a unique opportunity for the world of economic research. This white paper describes the detail behind a new set of monthly series made possible by FRASER and FRED: U.S. imports and exports by country and...