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Looking for historical rate data, I found this amusing rate curve animation which comes with simple explanatory text for major curve shapes. They don't put the dot on the I and tell outright that the US economy is in for a rough ride next 24 months, but I let you play with the applet...

http://www.smartmoney.com/onebond/index.cfm?story=yieldcurve

I'm still looking for another animation that would give me some 3D with GDP growth on the side wall to visualize the predictive strength of the inverted curve.

Also an animation that would have a "shadow" would be nice: at any instant in the film, superimpose the curve with the one you got from the implied forward rates (for accordingly shifted maturities) in the previous curves - this would tell you how smart the market was, historically, in guessing future rates...

If anybody knows of a good public repository of historical data, maybe I could build it with simple excel charts.

Pierre

by Pierre on Mon Jun 25th, 2007 at 11:21:48 AM EST

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