Duration Risk versus Local Supply Channel in Treasury Yields: Evidence from the Federal Reserve's Asset Purchase Announcements

Michael E. Cahill, Stefania D Amico, Canlin Li, and John S. Sears

Figure 23: Parameter Optimization Surface

R^2 Values	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta	Theta
Value	0.05	0.1	0.15	0.2	0.25	0.3	0.35	0.4	0.45	0.5	0.55	0.6	0.65	0.7	0.75	0.8	0.85	0.9	0.95	1
Gamma:0.05	0.64	0.65	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.74	0.75	0.77	0.78	0.78	0.79	0.79	0.79	0.78	0.78	0.77
Gamma:0.1	0.65	0.66	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.74	0.75	0.76	0.77	0.78	0.79	0.79	0.79	0.78	0.77	0.77
Gamma:0.15	0.64	0.65	0.66	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.74	0.75	0.76	0.77	0.78	0.78	0.78	0.78	0.77	0.76
Gamma:0.2	0.63	0.64	0.65	0.66	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.74	0.75	0.76	0.77	0.77	0.77	0.77	0.76	0.75
Gamma:0.25	0.62	0.63	0.64	0.65	0.66	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.74	0.75	0.76	0.77	0.77	0.76	0.75	0.74
Gamma:0.3	0.60	0.61	0.62	0.63	0.64	0.65	0.67	0.68	0.69	0.70	0.71	0.72	0.73	0.75	0.75	0.76	0.76	0.76	0.75	0.74
Gamma:0.35	0.59	0.60	0.61	0.62	0.63	0.64	0.65	0.66	0.67	0.69	0.70	0.71	0.73	0.74	0.75	0.75	0.75	0.75	0.74	0.73
Gamma:0.4	0.58	0.59	0.60	0.61	0.62	0.63	0.64	0.65	0.67	0.68	0.69	0.70	0.72	0.73	0.74	0.75	0.75	0.75	0.74	0.73
Gamma:0.45	0.56	0.58	0.59	0.60	0.61	0.62	0.63	0.65	0.66	0.67	0.68	0.70	0.71	0.73	0.74	0.74	0.74	0.74	0.73	0.72
Gamma:0.5	0.55	0.57	0.58	0.59	0.60	0.61	0.63	0.64	0.65	0.66	0.68	0.69	0.71	0.72	0.73	0.74	0.74	0.74	0.73	0.72
Gamma:0.55	0.55	0.56	0.57	0.58	0.60	0.61	0.62	0.63	0.64	0.66	0.67	0.69	0.70	0.72	0.73	0.73	0.74	0.73	0.73	0.71
Gamma:0.6	0.54	0.55	0.56	0.58	0.59	0.60	0.61	0.63	0.64	0.65	0.67	0.68	0.70	0.71	0.72	0.73	0.74	0.73	0.72	0.71
Gamma:0.65	0.53	0.54	0.56	0.57	0.58	0.60	0.61	0.62	0.63	0.65	0.66	0.68	0.70	0.71	0.72	0.73	0.73	0.73	0.72	0.71
Gamma:0.7	0.53	0.54	0.55	0.56	0.58	0.59	0.61	0.62	0.63	0.64	0.66	0.68	0.69	0.71	0.72	0.73	0.73	0.73	0.72	0.71
Gamma:0.75	0.52	0.53	0.55	0.56	0.57	0.59	0.60	0.61	0.63	0.64	0.66	0.67	0.69	0.71	0.72	0.73	0.73	0.73	0.72	0.70
Gamma:0.8	0.52	0.53	0.54	0.56	0.57	0.59	0.60	0.61	0.62	0.64	0.66	0.67	0.69	0.70	0.72	0.73	0.73	0.73	0.72	0.70
Gamma:0.85	0.51	0.53	0.54	0.55	0.57	0.58	0.60	0.61	0.62	0.64	0.65	0.67	0.69	0.70	0.72	0.72	0.73	0.73	0.72	0.70
Gamma:0.9	0.51	0.52	0.54	0.55	0.56	0.58	0.59	0.61	0.62	0.64	0.65	0.67	0.69	0.70	0.71	0.72	0.73	0.72	0.71	0.70
Gamma:0.95	0.51	0.52	0.53	0.55	0.56	0.58	0.59	0.60	0.62	0.63	0.65	0.67	0.69	0.70	0.71	0.72	0.73	0.72	0.71	0.70
Gamma:1	0.50	0.52	0.53	0.54	0.56	0.58	0.59	0.60	0.62	0.63	0.65	0.67	0.68	0.70	0.71	0.72	0.73	0.72	0.71	0.70

Return to figure 23

^♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text