01 February 2009
The TUT spread -- playing the yield curve.
07/02/09 22:40 Filed in: Asset
management
In the second lecture we talked about trading
between ten-year and two-year bonds in order to
take advantage of differences between our forecasts
of the slope of the yield curve and the curves
current slope. The course materials
page has a link to a short paper on this
topic, albeit focused on bond futures rather
than bonds per se.
What is quantitative easing?
06/02/09 08:36
Willem Buiter’s blog on the FT gives a great
explanation of the difference between qualitative
and quantitative easing. A printable copy of the
article is available on the course materials
pages, and you can get to the original, with a
photo of our hero, here.
Monetary policy in the UK
02/02/09 16:37
Short rates play a key part in our course, so you
might be interested to see the letter from the
(former) Chancellor to the Governor of the Bank of
England setting out what the Bank’s
responsibilities are. It’s on the Course materials
page.
Pension funds and the yield curve
02/02/09 15:58 Filed in: Asset
management
We talked briefly about the possible effects of
pension fund investment on the yield curve i.e.
that they might have a preference for long-maturity
bonds, and that this might push long-rates down. We
will look at this issue later in the course but in
the meantime, the paper “In Brief - Immunization”
on the Course materials
page might be of interest.