https://github.com/asaficontact/term_spread_combinations

In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might hold true depending on the combination and component of term spread that we are taking into consideration. This project provides a mechanism through which we can identify the best combination of a term spread for creating an efficient􏰐 macro 􏰍finance model.
https://github.com/asaficontact/term_spread_combinations

econometrics economic-analysis finance interest-rates latex macroeconomics plotly r recession recession-indicator unemployment yield-curve

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In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might hold true depending on the combination and component of term spread that we are taking into consideration. This project provides a mechanism through which we can identify the best combination of a term spread for creating an efficient􏰐 macro 􏰍finance model.

• Host: GitHub
• URL: https://github.com/asaficontact/term_spread_combinations
• Owner: asaficontact
• Created: 2019-09-17T03:51:24.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2022-12-05T17:36:31.000Z (about 2 years ago)
• Last Synced: 2024-10-11T19:12:13.710Z (3 months ago)
• Topics: econometrics, economic-analysis, finance, interest-rates, latex, macroeconomics, plotly, r, recession, recession-indicator, unemployment, yield-curve
• Language: R
• Homepage:
• Size: 56.7 MB
• Stars: 8
• Watchers: 1
• Forks: 3
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# Term Spread Combinations: Its ability to Span different Macro-economic variables and explain their future movements.

In this project, I show how different combinations and components of term spread have varying shapes, 

which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion 

can help us better price risk in the bond market. Term spread combinations have varying power in explaining future 

movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might

hold true depending on the combination and component of term spread that we are taking into consideration. 

This project provides a mechanism through which we can identify the best combination of a term spread for creating an 

efficient macro finance model.

Full Paper: [CLICK HERE](https://github.com/asaficontact/term_spread_combinations/blob/master/Final%20Paper.pdf)

Project Presentation: [CLICK HERE](https://github.com/asaficontact/term_spread_combinations/blob/master/Project%20Presentation.pdf)