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Relationships among bond yields of different maturities
A yield curve shows the relationship between yields and time to maturity for a set of comparable debt securities. In practice the term usually refers
Yield_curve
Phenomenon when shorter term bonds yield higher interest rates than longer term bonds
inverted yield curve is a yield curve in which short-term debt instruments (typically bonds) have a greater yield than longer term bonds. An inverted yield curve
Inverted_yield_curve
Measurement of risk in a portfolio
portfolio, as an example, include the overall level of the yield curve, the slope of the yield curve, and the credit spreads of the bonds in the portfolio
Fixed-income_attribution
Curve representing a material's response to applied forces
(see tensile testing). These curves reveal many of the properties of a material, such as the Young's modulus, the yield strength, and the ultimate tensile
Stress–strain_curve
Monetary policy tool
Yield curve control (YCC) is a monetary policy action whereby a central bank purchases variable amounts of government bonds or other financial assets
Yield_curve_control
Topics referred to by the same term
Yield curve or Yield-curve spread usually refers to the relationships among bond yields of different maturities. Yield curve or Yield-curve spread may
Yield_curve_(disambiguation)
Phenomenon of deformation due to structural stress
yield point is the point on a stress–strain curve that indicates the limit of elastic behavior and the beginning of plastic behavior. Below the yield
Yield_(engineering)
American economist
"Does the Yield Curve Predict Output?" which details the yield curve and recession correlation. His research work evaluates how well the yield curve predicts
Joseph_G._Haubrich
face value or nominal value). Par yield is used to derive the U.S. Treasury’s daily official “Treasury Par Yield Curve Rates”, which are used by investors
Par_yield
Concept in nuclear physics
with even numbers of protons and/or neutrons the curve of yield against element is not a smooth curve. It tends to alternate. In general, the higher the
Fission_product_yield
Mathematical finance concept
Yield curve § Construction of the full yield curve from market data Fixed-income attribution § Modeling the yield curve Staff (2023). "Multi-curve Framework"
Multi-curve_framework
Difference in percentage rate of return of two investments
financial instrument Y. There are several measures of yield spread relative to a benchmark yield curve, including interpolated spread (I-spread), zero-volatility
Yield_spread
Business cycle contraction
Grading Bonds on Inverted Curve Archived 7 May 2019 at the Wayback Machine By Michael Hudson Wright, Jonathan H., The Yield Curve and Predicting Recessions
Recession
Intervals of expansion and recession in economic activity
of the yield curve is one of the most powerful predictors of future economic growth, inflation, and recessions. One measure of the yield curve slope (i
Business_cycle
Financial market reaction to the COVID-19 pandemic
pandemic. The crash ended on 7 April 2020. Beginning on 13 May 2019, the yield curve on U.S. Treasury securities inverted, and remained so until 11 October
2020_stock_market_crash
Income return on an investment expressed as a percentage of its value
securities, so yield to maturity and internal rates of return cannot be calculated. Other metrics must be used. Ecological yield Yield curve 30-day yield 7-day
Yield_(finance)
Method for constructing a fixed-income yield curve
(zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. bonds and swaps. A bootstrapped curve, correspondingly, is
Bootstrapping_(finance)
Financial measurement
differ depending on what point on the price yield curve they are located. If the flat, continuously compounded yield is r {\displaystyle r} and the bond price
Bond_convexity
Capitalisation of risk-free opportunities in financial markets
price is derived from the yield curve, which is a curve of the yields of the same bond with different maturities. This curve can be used to view trends
Arbitrage
Investment strategy
capturing relative-value anomalies. Trades of interest include: Yield Curve: Trade LIBOR yield curve using combinations of futures and swaps of varying maturities
Fixed-income relative-value investing
Fixed-income_relative-value_investing
Theory in economics and finance
structure of interest rates (whose graphical representation is known as the yield curve) is the proposition that the long-term rate is determined purely by current
Expectations_hypothesis
Measure of a fixed-income instrument's sensitivity to interest rates
Duration-based estimates work best for small, parallel shifts in the yield curve. Macaulay duration is the present-value-weighted average time to the
Duration_(finance)
Policy regarding macroeconomic conditions
interest Real interest rate Stagflation Speculative bubble Too big to fail Yield curve control "Japan ends era of negative interest rates. Here's why". Yoshino
Zero_interest-rate_policy
Defunct American hedge fund
emerging market currency Long emerging market equity hedged to S&P 500 Yield curve trades Short high-tech stocks Convertible arbitrage Index arbitrage Fixed
Long-Term_Capital_Management
Z bonds
zero-volatility spread, or yield curve spread of a bond is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting
Z-spread
German and American economist (born 1971)
covered the 2008 financial crisis, monetary policy transmission, and the yield curve. Adrian was born in Kronberg, West Germany and attended Humboldtschule
Tobias_Adrian
Interest-rate model describing the stochastic evolution of the instantaneous short rate
{\displaystyle t} . Specifying the current short rate does not specify the entire yield curve. However, no-arbitrage arguments show that, under some fairly relaxed
Short-rate_model
Arbitrage exploiting differing interest rates
Bond should be higher. Yield Curve Arbitrage involves taking long and short positions at different points along the yield curve. This strategy involves
Fixed_income_arbitrage
Financial market where participants can issue new debt or buy and sell debt securities
and interest rates (or yields), the bond market is often used to indicate changes in interest rates or the shape of the yield curve, the measure of "cost
Bond_market
Type of yield spread
Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market
Option-adjusted_spread
government bond markets, the swap curve is more complete than the treasury yield curve, and is thus used as the benchmark curve. The swap rate is commonly understood
Swap_rate
Worldwide economic crisis
foreclosure rates, especially in sub-prime mortgages. August 2006: The yield curve inverted, signaling a recession was likely within a year or two. November
2008_financial_crisis
Failure Theory in continuum mechanics
deviatoric stress. This equation defines the yield surface as a circular cylinder (See Figure) whose yield curve, or intersection with the deviatoric plane
Von_Mises_yield_criterion
Situation described in Keynesian economics
sector. In their view, any interest rate different from zero along the yield curve is a sufficient condition to eliminate the possibility of the presence
Liquidity_trap
Instrument of indebtedness
between yield and the weighted mean term allowing for both interest and capital repayment) for otherwise identical bonds derives the yield curve, a graph
Bond_(finance)
Financial model
zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is particularly useful for deriving the yield curve – the process of determining spot
Affine_term_structure_model
Bond and yield
between its yield to maturity and the linearly interpolated yield for the same maturity on an appropriate reference yield curve. The reference curve may refer
I-spread
Monetary authority of Japan
purchase riskier assets like stocks and REITs. In 2016, the BOJ initiated yield curve control (YCC), and started its negative interest rates policy (NIRP)
Bank_of_Japan
Percentage of a sum of money charged for its use
Riksbank. Retrieved 21 August 2013. Figure. Irish yield curve Wigglesworth, Robin (18 July 2012). "Schatz yields turn negative for first time". Financial Times
Interest_rate
Term in finance
01% per annum parallel (i.e. uniform at all durations) movement in the yield curve. It is specified for interest rate risk and quantifies the interest rate
Basis_point_value
Monetary policy tool of central banks
Consumer price index Excess reserves Greenspan put Inflation hedge Inverted yield curve Negative interest on excess reserves Zero interest-rate policy (ZIRP)
Quantitative_tightening
Statistic about an economic activity
housing starts, consumer price index (a measure for inflation), inverted yield curve, consumer leverage ratio, industrial production, bankruptcies, gross
Economic_indicator
Process of constructing a curve that has the best fit to a series of data points
Curve fitting is the process of constructing a curve, or mathematical function, that has the best fit to a series of data points, possibly subject to constraints
Curve_fitting
Future yield on a bond
The forward rate is the future yield on a bond. It is calculated using the yield curve. For example, the yield on a three-month Treasury bill six months
Forward_rate
American economist (born 1959)
measurement and modeling of asset-return volatility, business cycles, yield curves, and network connectedness, and his most recent work begins to integrate
Francis_X._Diebold
Japanese economist (born 1951)
BoJ under Ueda decided to end the zero-interest-rate policy and the yield curve control. This was a milestone for the long-stagnant Japanese economy
Kazuo_Ueda
Strategy to minimize effects of changes in interest rates
theory assumes that the yield curve is flat, and that interest rate changes are parallel shifts up or down in that yield curve. Conceptually, the easiest
Immunization_(finance)
Monetary policy tool
inflation and worsening the low inflation issue. Quantitative tightening Yield curve control "Quantitative Easing". Bank of England. Koukouridis, Athanasios
Quantitative_easing
Excitation function (a.k.a. yield curve) is a term used in nuclear physics to describe a graphical plot of the yield of a radionuclide or reaction channel
Excitation_function
Worldwide economic event
global recession due to a decline in economic indicators and an inverted yield curve, exacerbated by supply chain disruptions due to the Russian invasion
2022_stock_market_decline
Concept asserting ongoing stock market bubble
Recovery Stagnation Interest rate Nominal interest rate Real interest rate Yield curve/Inverted Recession Balance sheet Depression Global Rolling Shapes Stagflation
AI_bubble
Mathematical model of interest rates
2010-02-16 at the Wayback Machine, Bjørn Eraker, Wisconsin School of Business Yield Curve Estimation and Prediction with the Vasicek Model, D. Bayazit, Middle
Vasicek_model
Calendar year
August 13 – The main yield curve for U.S. Treasury bonds inverts, as the yield rate for 2-year bonds rises higher than the yield rate for 10-year bonds
2019
Problem in macroeconomics
which can be used to model interest rates near the zero lower bound Yield curve control "Estimating the Effective Lower Bound on the Czech National Bank's
Zero_lower_bound
Instrument of monetary policy
Brookings Institution. Retrieved 27 January 2017. "Fig. 3 a. Irish yield curve dynamics around 2011 loan amendments. B." Ward, Andrew; Oakley, David
Negative interest on excess reserves
Negative_interest_on_excess_reserves
Return or cost of holding an asset
short-term rate). This works with an upward-sloping yield curve, but it loses money if the curve becomes inverted. Many investment banks, such as Bear
Carry_(investment)
Period of rapid progress in AI
Recovery Stagnation Interest rate Nominal interest rate Real interest rate Yield curve/Inverted Recession Balance sheet Depression Global Rolling Shapes Stagflation
AI_boom
Tech stock speculative craze, c. 1995–2003
day, the Federal Reserve raised interest rates, leading to an inverted yield curve, although stocks rallied temporarily. Tangentially to all of speculation
Dot-com_bubble
income target Open market operation Price stability Sovereign wealth fund Yield curve control Bretton Woods system International Monetary Fund Jamaica Accords
List of countries by central bank interest rates
List_of_countries_by_central_bank_interest_rates
Greek banker and politician
(1987 – 1993). His NY Fed research on margin requirements, and on the yield curve's ability to predict economic activity had a major impact in academia
Gikas_Hardouvelis
Fair price of a bond
to a benchmark, usually a government bond yield curve. Set the bond's yield to maturity as the benchmark yield plus a credit spread appropriate to its credit
Bond_valuation
Topics referred to by the same term
Normal yield may refer to: Normal yield (agriculture), a measure of productivity A form of yield curve in financial economics This disambiguation page
Normal_yield
Central banking system of the US
Unemployment vs Inflation vs Inverted yield curve Unemployment rate Inflation CPI 10 year bond minus 2 year bond inverted yield curve
Federal_Reserve
Economic downturn, primarily due to the COVID-19 pandemic
In April 2019, the U.S. yield curve inverted, which sparked fears of a 2020 recession across the world. The inverted yield curve and China–U.S. trade war
COVID-19_recession
Method of determining when the economy has entered a recession
officially determined by the NBER. Inverted yield curve - Economic indicator predicting recessions, which uses yields on 10-year and three-month Treasury securities
Sahm_rule
Overview of finance and finance-related topics
fixed-income yield curve Yield curve § Construction of the full yield curve from market data Fixed-income attribution § Modeling the yield curve Nelson-Siegel –
Outline_of_finance
US government debt instruments
to diversify the Treasury's liabilities—and also because the flatter yield curve meant that the opportunity cost of selling long-dated debt had dropped—the
United States Treasury security
United_States_Treasury_security
Economic downturn
bubble. The Bank of Japan raised interest rates to cause an inverted yield curve and reduced M2 money supply increases to tame the property asset bubble
Early_1990s_recession
Global inflation following the COVID-19 pandemic
and deepest Treasury inverted yield curve in history began in July 2022. Many analysts consider an inverted yield curve to be a harbinger of recession
2021–2023_inflation_surge
Type of interest rate derivative
economic conditions, the shape of the yield curve, and the volatility of interest rates. upsloping yield curve—caps will be more expensive than floors
Interest_rate_cap_and_floor
Financial loss due to interest rate changes
more yield curves using the Heath-Jarrow-Morton framework to ensure that the yield curve movements are both consistent with current market yield curves and
Interest_rate_risk
Interest rates to maintain banks' balance
Federal Funds Rate pushes up shorter term treasuries to cause an inverted yield curve when the Federal Reserve wants to tame demand and inflation. Federal
Federal_funds_rate
Economic model relating wages to unemployment
The Phillips curve is a representation of the relationship between unemployment and inflation in the macroeconomy, where a tradeoff between low unemployment
Phillips_curve
Stated value or face value of a financial instrument
Current yield Dirty price Duration I-spread Mortgage yield Nominal yield Option-adjusted spread Risk-free bond Weighted-average life Yield curve Yield spread
Par_value
Representation of the relationship between taxation and government revenue
In economics, the Laffer curve illustrates a theoretical relationship between rates of taxation and the resulting levels of the government's tax revenue
Laffer_curve
Rule from monetary policy
Friedman's k-percent rule Golden Rule (growth) Inflation targeting Inverted yield curve Clement, Douglas, ed. (March 8, 2006). "Interview with John B. Taylor
Taylor_rule
Bonds whose cash flows are indexed to inflation
Statistics Authority. 25 November 2020. Retrieved 15 October 2025. "TIPS yield curve and inflation compensation data". Board of Governors of the Federal Reserve
Inflation-indexed_bond
Banking crisis beginning in March 2023
its forecast since spring 2022. 1991 Indian economic crisis Inverted yield curve List of bank failures in the United States (2008–present) List of banks
2023 United States banking crisis
2023_United_States_banking_crisis
2007–2009 international economic decline
hard to assess, were marketed around the world, as they offered higher yields than U.S. government bonds. Many of these securities were backed by subprime
Great_Recession
Group making loans to developing countries
income target Open market operation Price stability Sovereign wealth fund Yield curve control Bretton Woods system International Monetary Fund Jamaica Accords
World_Bank_Group
volatility term structure, similar to the yield curve. Just as forward rates can be derived from a yield curve, forward volatilities can be derived from
Forward_volatility
Method for evaluating stock options that divides time into discrete intervals
for equilibrium-based models the yield curve is an output from the model, while for arbitrage-free models the yield curve is an input to the model. In the
Lattice_model_(finance)
dance craze of the time) began in 1961. The intent was to flatten the yield curve in order to promote capital inflows and strengthen the dollar. The Fed
History of Federal Open Market Committee actions
History_of_Federal_Open_Market_Committee_actions
Type of swap in finance
volatilities of different forward rates and therefore requires a stochastic yield curve model or some approximated methodology like a convexity adjustment, see
Constant_maturity_swap
Proposed international financial institution
income target Open market operation Price stability Sovereign wealth fund Yield curve control Bretton Woods system International Monetary Fund Jamaica Accords
Defence, Security and Resilience Bank
Defence,_Security_and_Resilience_Bank
Document tied to a bank account with a fixed term
agreed-upon term, although this may vary in situations like an inverted yield curve. Certificates of deposit (CDs) commonly offer fixed rates, but some institutions
Certificate_of_deposit
Process of valuing debt securities by assessing their risk and return
the market yield on bonds of the same credit quality but different maturities (known as the term structure of interest rates, or yield curve) the taxability
Fixed_income_analysis
When a creditor delays payments from a debtor in exchange for a fee
present value. For a zero-rate (also called spot rate) r, taken from a yield curve, and a time to cash flow T (in years), the discount factor is: D F (
Discounting
Non-fixed interest rate over the term of a debt
loans will cost less than fixed rate loans, depending in part on the yield curve. In return for paying a lower loan rate, the borrower takes the interest
Floating_interest_rate
List of notable quantitative analysts
(born 1949), one of the authors of the Cox–Ingersoll–Ross model of the yield curve. Kiyoshi Itō, (1915–2008) was a Japanese mathematician whose work is
List_of_quantitative_analysts
Contract to buy or sell a commodity, security or currency for immediate settlement
are curves of currently trading prices of securities with various maturities (these would be: yield curve, swap curve, cash curve or coupon curve). Spot
Spot_contract
Topics referred to by the same term
Look up curve or curves in Wiktionary, the free dictionary. A curve is a geometrical object in mathematics. Curve(s) may also refer to: Curve (band),
Curve_(disambiguation)
S-shaped curve
A logistic function or logistic curve is a common S-shaped curve (sigmoid curve) with the equation f ( x ) = L 1 + e − k ( x − x 0 ) {\displaystyle f(x)={\frac
Logistic_function
Period of economic stagnation in Japan
Japan bonds, inverted yield curve in 1990 30-year 20-year 10-year 5-year 2-year 1 year
Lost_Decades
Political Policy
sufficiently to climb above their longer maturity bonds, causing an inverted yield curve. This scenario usually predates a recession, which is deflationary. The
Monetary policy of the United States
Monetary_policy_of_the_United_States
Estimate of future interest rates
direction.[citation needed] Real versus nominal value (economics) Yield Yield curve Interest rate Inflation Cooper, Russell and John, A. Andrew. Theory
Fisher_equation
Canadian economist
long-term rates (an inverted yield curve), recessions followed. In the time since his thesis was published, the yield curve has inverted five times—in 1989
Campbell_Harvey
Treasury yield spreads Inverted yield curve in late 1989 and early 1990 30 year minus 3 month 10 year minus 2 year 10 year minus 3 month 10 year
Early 1990s recession in the United States
Early_1990s_recession_in_the_United_States
Policy of interest rates or money supply
(equivalent risk) five-year bonds might be 5%, 4.75%, or, in cases of inverted yield curves, even below the short-term rate. Many central banks have one primary
Monetary_policy
Investment strategy using staggered-maturity financial instruments
a more favorable rate, assuming the economy is experiencing a normal yield curve during this time. Generally an initial investment of $10,000-$20,000
Laddering
YIELD CURVE
YIELD CURVE
Surname or Lastname
English
English : topographic name for someone who lived on land which had been cleared of forest, but not brought into cultivation, from Old English feld ‘pasture’, ‘open country’, as opposed on the one hand to æcer ‘cultivated soil’, ‘enclosed land’ (see Acker) and on the other to weald ‘wooded land’, ‘forest’ (see Wald).Possibly also Scottish or Irish : reduced form of McField (see McPhail).Jewish (American) : Americanized and shortened form of any of the many Jewish surnames containing Feld.
Boy/Male
Australian, British, English
A Field
Boy/Male
English
Fern field.
Girl/Female
Hebrew
Flowering field.
Boy/Male
Anglo, British, English
Field with Ferns; Fern Field
Boy/Male
English
Fern field.
Boy/Male
English
Gathering field; meeting field.
Boy/Male
British, English
Fern Field
Boy/Male
British, English
Field Town
Boy/Male
English
Pasture; field.
Girl/Female
Japanese American
Valley field.
Boy/Male
African, American, Anglo, Australian, British, Christian, English, Jamaican
Battlefield; Spear Field; Triangular Field
Boy/Male
British, English
Field Town
Girl/Female
Tamil
Hay field
Boy/Male
British, English
Fern Field
Girl/Female
Indian
Hay field
Boy/Male
English
Pasture; field.
Girl/Female
Hebrew
Flowering field.
Boy/Male
Anglo, British, English
Field with Ferns; Fern Field
Boy/Male
English
In the field.
YIELD CURVE
YIELD CURVE
YIELD CURVE
YIELD CURVE
YIELD CURVE
YIELD CURVE
YIELD CURVE
v. t.
To give up, as something that is claimed or demanded; to make over to one who has a claim or right; to resign; to surrender; to relinquish; as a city, an opinion, etc.
p. pr. & vb. n.
of Yield
obs. p. p.
of Yield
n.
To yield fruit.
v. t.
To give a reward to; to bless.
v. i.
To give up the contest; to submit; to surrender; to succumb.
imp. & p. p.
of Yield
v. i.
To give place, as inferior in rank or excellence; as, they will yield to us in nothing.
v. t.
To give in return for labor expended; to produce, as payment or interest on what is expended or invested; to pay; as, money at interest yields six or seven per cent.
v. i.
To take the field.
v. i.
To give way; to cease opposition; to be no longer a hindrance or an obstacle; as, men readily yield to the current of opinion, or to customs; the door yielded.
v. t.
To permit; to grant; as, to yield passage.
n.
The whole surface of an escutcheon; also, so much of it is shown unconcealed by the different bearings upon it. See Illust. of Fess, where the field is represented as gules (red), while the fess is argent (silver).
v. t.
To furnish; to afford; to render; to give forth.
v. t.
To admit to be true; to concede; to allow.
v. i.
To comply with; to assent; as, I yielded to his request.
v. t.
To use with full command or power, as a thing not too heavy for the holder; to manage; to handle; hence, to use or employ; as, to wield a sword; to wield the scepter.
v. i.
To yield harvest.
v. i.
To stand out in the field, ready to catch, stop, or throw the ball.
n.
Amount yielded; product; -- applied especially to products resulting from growth or cultivation.