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The time evolution of inverted curves does model / forecast a future recession and not necessarily contains the current liquidity- / credit-related aspect. The historical Japanese style inverted yield curves do model the presence of forward negative rates, but do not guarantee the correct modelling of the observed negative rates.

Japanese invetred curves showed due to short rates becoming larger than the long ones and end by government intervention. An option would be to model the negative rates as mirroring the positive ones (an inversion of the inverted Japanese style curve). But the observed curves are rather due to the presence of negative rates on the yield curve and only a limited number of economies can intervene against negative rates, due to liquidity constrains.

Are the recently observed governmental yield curves being a sign a recession/credit risk or should they be modelled as due to a lack of liquidity? (...with such curves evolving into a normally-shaped yield curve, having more negative values for shorter horizons, as in the present situation for Denmark?)

October 9 2012, Bloomberg News:"State Street Corp. and Bank of New York Mellon Corp., two of the world’s biggest custody banks, will charge depositors to hold Danish kroner and Swiss francs as customers seek refuge from the crisis-stricken euro.

State Street will apply a negative interest rate of 0.75 percent annually to krone deposits starting Nov. 1, with a separate charge for francs, according to a note to clients last week. That means money managers, insurance companies and pension funds must pay the bank to hold their cash. BNY Mellon started charging for krone deposits last month"

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The reason no one has answered this question is that it contains too many extraneous details. You need to simplify it. –  John Sep 21 '12 at 13:32
    
Thanks @John. Could you give your opinion now ? –  user7056 Sep 21 '12 at 16:13
    
To be honest, I still don't understand what you're asking. I doubt you'll see a significant yield curve inversion when the short-term yield is kept at 0%. I just pulled on the Japanese curve on BB and saw inversion at the end of 1990 when rates were high, but nothing recent. –  John Sep 21 '12 at 17:40
    
@John, I do not know how to add pictures to this forum, but this type of curve is what I mean (except that it is also exsting for bond yields): creditwritedowns.com/2012/06/… –  user7056 Sep 26 '12 at 11:38
    
This is a site with real-time governmental bonds (for Switzerland): forexpros.com/rates-bonds/… –  user7056 Sep 26 '12 at 12:06
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