Constructing a Yield Curve 1. Go to the St. Louis Federal Reserve FRED database, and find...

Constructing a Yield Curve 1. Go to the St. Louis Federal Reserve FRED database, and find daily yield data on the following U.S. treasuries securities: One-month (DGS1MO) Three-month (DGS3MO) Six-month (DGS6MO) One-year (DGS1) Two-year (DGS2) Three-year (DGS3) Five-year (DGS5) Seven-years (DGS7) Ten-year (DGS10) 20-year (DGS20) 30-year (DGS30) Download the last full year of data available into a spreadsheet.

a. Construct a yield curve by creating a line graph for the most recent day of data available, and for the same day (or as close to the same day as possible) one year prior, across all maturities. How do the yield curves compare? What does the changing slope say about potential changes in economic conditions?

b. Determine the date of the most recent Federal Open Market Committee (FOMC) policy statement. Construct yield curves for both the day before the policy statement was released and the day on which the policy was released. Was there any significant change in the yield curve as a result of the policy statement? How might this be explained?

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Expert Solution

Part B

Rahul Sunny answered 1 year ago

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