If I'm regressing changes in individual points along a yield curve and measures of changes in level/slope/curvature of that yield curve against the returns of some random variable then do I want to use % changes in yields or absolute changes in yields (eg yield change from 1% to 0.95% would be -0.05)?
I am new to fixed income and my experience with volatility tells me that I should use absolute changes since it is already measured in %. For example, the R^2 is much higher when regressing 1-month vix futures changes in points against spx returns than % change against spx returns. However, since I'm new to fixed income I'm running myself in circles (because I don't know what I don't know).
Thanks in advance for any help!