In Tables 3 and 4, however, prior to BOE and Fed ZLB implementations (i.e., pre-ZLB) the Gilt and T-note
demonstrate weak negative correlations with gold, while the FTSE and S&P demonstrate weak positive correlations.
Cointegration tests, employing the Johansen procedure, are conducted on real M1 and also on real M2 (in their natural logs), as the dependent variable, real GDP (in natural log form), and one of the nominal interest rate variables (3-month T-bill rate / yield on 10-year T-note
) as the right-hand side variables.
The [R.sup.2]s for these regressions are 0.98, 0.94, and 0.82, respectively for T-bills, T-notes
, and T-bonds.
What happens if interest rates have plunged and the corporation owes the investment banker $20 million in intrinsic value on the short T-note
What distinguishes the ten-year T-note
from the other Treasury futures is its duration.
yield has spike over 4 bp, which in turn has generated a rotation higher in the dollar.
FX Update: The dollar took a rotation higher concomitantly with a 4bp-plus spike in the 10-year T-note
yield following news that the U.S.
yield is down 2.5 bp, and is at levels last seen in December 2017, while the yen and Swiss franc have picked up demand in currency markets.