...

看过krugman的blog的童鞋们,肯定留意到他经常有st louis fed的图表~

很简洁很好用~

他自己也很推荐~

于是我也去试试啦~

不过查treasury rate的时候,有个小技术难题~

有secondary market和constant maturity两个rate,搞不懂区别是什么~

网上搜的解释:

The Weekly 6-Month T-Bill (Secondary Market) is the average of the past week's daily secondary market 6-Month T-Bill rates.

The Weekly 6-Month CMT is the average of the past week's daily 6-Month Constant Maturity Treasury rates. Each Constant Maturity Treasury is a "theoretical" security based on the most recently auctioned "real" securities: 1-, 3-, 6-month bills, 2-, 3-, 5-, 10-year notes, and also the 'off-the-runs' in the 7- to 20-year maturity range. Yields on Treasury securities at "constant maturity" are interpolated by the U.S. Treasury from the daily yield curve, which is based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market.

呃...我还是半懂不懂的...有NN可以enlighten一下我吗?

按我的理解,蓝线的就是市场上还在trade的所有3-month的treasury的平均利率,有些已经发行很久了,到期日平均小于6个月,而红线理论上到期日为6个月,所以理论上红线会比蓝线高.当然,金融危机以来,短期利率接近0,6个月以内的基本一样吧,所以2008之后没分别了.这样解释不知对不对呢....