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fisherian decomposition

Global, Not Term Premiums: What Low Yields Really Say

By |2021-05-04T17:18:32-04:00May 4th, 2021|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

The standard explanation for low bond yields has been driven by – who else? – Ben Bernanke summing up the view from econometrics. Term premiums, he says, these made-up decomposition components which only allow for QE to save a tiny bit of its face. In other words, QE obviously didn’t lead to recovery, it sure didn’t create modest let alone [...]

You Aren’t Supposed To Reject Falsification

By |2017-10-30T13:38:30-04:00October 30th, 2017|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Why don’t economists understand bonds? The long answer involves several detours into parts of Economics that have nothing to do with interest rates or even money. More so these places are dominated by discussions of stochastic calculus and partial differential equations. Thus, the short answer is: Affine models of the term structure of interest rates are a popular tool for [...]

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