Finance and Economics Discussion Series: Accessible versions of figures for 2018-055
The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror
Accessible version of figures
Figure 1: Long-term Yield Spread and Near-term Forward Spread
period |
effective lower bound |
recession |
10y/2y yield spread |
near-term forward spread |
1972M3 |
|
|
1.18 |
2.22 |
1972M6 |
|
|
0.87 |
2.18 |
1972M9 |
|
|
0.70 |
1.89 |
1972M12 |
|
|
0.50 |
1.33 |
1973M3 |
|
|
0.03 |
0.86 |
1973M6 |
|
|
-0.17 |
-0.01 |
1973M9 |
|
|
-0.68 |
-1.37 |
1973M12 |
|
1 |
-0.21 |
-1.03 |
1974M3 |
|
1 |
0.01 |
-1.00 |
1974M6 |
|
1 |
-0.52 |
-0.44 |
1974M9 |
|
1 |
-0.51 |
-0.08 |
1974M12 |
|
1 |
-0.08 |
0.10 |
1975M3 |
|
1 |
0.68 |
1.27 |
1975M6 |
|
|
0.70 |
2.27 |
1975M9 |
|
|
0.17 |
1.83 |
1975M12 |
|
|
0.70 |
2.14 |
1976M3 |
|
|
0.98 |
2.50 |
1976M6 |
|
|
0.82 |
2.23 |
1976M9 |
|
|
1.05 |
1.97 |
1976M12 |
|
|
1.46 |
1.52 |
1977M3 |
|
|
1.23 |
2.00 |
1977M6 |
|
|
1.25 |
1.73 |
1977M9 |
|
|
0.82 |
1.25 |
1977M12 |
|
|
0.47 |
1.10 |
1978M3 |
|
|
0.50 |
1.27 |
1978M6 |
|
|
0.24 |
1.61 |
1978M9 |
|
|
-0.02 |
0.97 |
1978M12 |
|
|
-0.59 |
0.01 |
1979M3 |
|
|
-0.73 |
-0.47 |
1979M6 |
|
|
-0.46 |
-0.52 |
1979M9 |
|
|
-0.47 |
-0.97 |
1979M12 |
|
|
-0.97 |
-1.77 |
1980M3 |
|
1 |
-1.19 |
-1.66 |
1980M6 |
|
1 |
0.36 |
-0.00 |
1980M9 |
|
|
0.50 |
1.31 |
1980M12 |
|
|
-0.73 |
-1.66 |
1981M3 |
|
|
-0.41 |
-2.16 |
1981M6 |
|
|
-0.92 |
-1.50 |
1981M9 |
|
1 |
-1.26 |
-0.43 |
1981M12 |
|
1 |
0.05 |
1.91 |
1982M3 |
|
1 |
-0.24 |
1.11 |
1982M6 |
|
1 |
-0.38 |
1.21 |
1982M9 |
|
1 |
0.21 |
3.54 |
1982M12 |
|
1 |
0.82 |
2.67 |
1983M3 |
|
|
1.19 |
1.99 |
1983M6 |
|
|
1.02 |
1.69 |
1983M9 |
|
|
0.93 |
2.09 |
1983M12 |
|
|
1.18 |
2.33 |
1984M3 |
|
|
1.15 |
2.13 |
1984M6 |
|
|
0.96 |
2.88 |
1984M9 |
|
|
0.43 |
2.31 |
1984M12 |
|
|
0.92 |
2.53 |
1985M3 |
|
|
1.37 |
2.85 |
1985M6 |
|
|
1.60 |
2.70 |
1985M9 |
|
|
1.69 |
2.58 |
1985M12 |
|
|
1.52 |
1.92 |
1986M3 |
|
|
1.01 |
1.18 |
1986M6 |
|
|
0.78 |
1.39 |
1986M9 |
|
|
1.25 |
1.49 |
1986M12 |
|
|
1.44 |
1.31 |
1987M3 |
|
|
1.14 |
1.06 |
1987M6 |
|
|
1.07 |
2.23 |
1987M9 |
|
|
1.28 |
2.23 |
1987M12 |
|
|
1.27 |
2.65 |
1988M3 |
|
|
1.39 |
1.97 |
1988M6 |
|
|
1.30 |
2.01 |
1988M9 |
|
|
0.85 |
1.59 |
1988M12 |
|
|
0.38 |
0.87 |
1989M3 |
|
|
-0.19 |
0.64 |
1989M6 |
|
|
-0.13 |
0.24 |
1989M9 |
|
|
0.13 |
-0.06 |
1989M12 |
|
|
0.16 |
-0.01 |
1990M3 |
|
|
0.16 |
0.56 |
1990M6 |
|
|
0.21 |
0.85 |
1990M9 |
|
1 |
0.72 |
0.73 |
1990M12 |
|
1 |
0.91 |
0.77 |
1991M3 |
|
1 |
1.19 |
1.38 |
1991M6 |
|
|
1.41 |
1.98 |
1991M9 |
|
|
1.64 |
1.76 |
1991M12 |
|
|
2.17 |
1.58 |
1992M3 |
|
|
2.34 |
2.34 |
1992M6 |
|
|
2.50 |
2.51 |
1992M9 |
|
|
2.96 |
1.91 |
1992M12 |
|
|
2.70 |
2.33 |
1993M3 |
|
|
2.57 |
1.93 |
1993M6 |
|
|
2.38 |
1.67 |
1993M9 |
|
|
1.94 |
1.53 |
1993M12 |
|
|
1.82 |
1.56 |
1994M3 |
|
|
1.78 |
1.94 |
1994M6 |
|
|
1.43 |
2.56 |
1994M9 |
|
|
1.28 |
2.35 |
1994M12 |
|
|
0.76 |
2.35 |
1995M3 |
|
|
0.47 |
1.67 |
1995M6 |
|
|
0.62 |
0.62 |
1995M9 |
|
|
0.63 |
0.59 |
1995M12 |
|
|
0.51 |
0.25 |
1996M3 |
|
|
0.81 |
0.44 |
1996M6 |
|
|
0.76 |
1.45 |
1996M9 |
|
|
0.68 |
1.40 |
1996M12 |
|
|
0.66 |
1.03 |
1997M3 |
|
|
0.63 |
1.24 |
1997M6 |
|
|
0.55 |
1.51 |
1997M9 |
|
|
0.48 |
1.01 |
1997M12 |
|
|
0.28 |
0.70 |
1998M3 |
|
|
0.28 |
0.37 |
1998M6 |
|
|
0.18 |
0.58 |
1998M9 |
|
|
0.18 |
0.29 |
1998M12 |
|
|
0.48 |
0.15 |
1999M3 |
|
|
0.47 |
0.55 |
1999M6 |
|
|
0.58 |
1.05 |
1999M9 |
|
|
0.63 |
1.19 |
1999M12 |
|
|
0.55 |
1.03 |
2000M3 |
|
|
0.14 |
1.09 |
2000M6 |
|
|
-0.18 |
0.75 |
2000M9 |
|
|
-0.15 |
-0.03 |
2000M12 |
|
|
0.01 |
-0.67 |
2001M3 |
|
|
0.69 |
-0.26 |
2001M6 |
|
1 |
1.32 |
0.96 |
2001M9 |
|
1 |
1.60 |
1.00 |
2001M12 |
|
1 |
2.28 |
1.85 |
2002M3 |
|
|
2.32 |
2.56 |
2002M6 |
|
|
2.27 |
2.56 |
2002M9 |
|
|
2.48 |
1.18 |
2002M12 |
|
|
2.55 |
1.08 |
2003M3 |
|
|
2.65 |
1.05 |
2003M6 |
|
|
2.52 |
0.80 |
2003M9 |
|
|
2.88 |
1.43 |
2003M12 |
|
|
2.74 |
1.68 |
2004M3 |
|
|
2.61 |
1.41 |
2004M6 |
|
|
2.42 |
2.24 |
2004M9 |
|
|
2.01 |
1.64 |
2004M12 |
|
|
1.58 |
1.18 |
2005M3 |
|
|
0.99 |
1.26 |
2005M6 |
|
|
0.62 |
1.00 |
2005M9 |
|
|
0.34 |
0.70 |
2005M12 |
|
|
0.23 |
0.55 |
2006M3 |
|
|
0.05 |
0.12 |
2006M6 |
|
|
0.15 |
0.20 |
2006M9 |
|
|
0.04 |
-0.21 |
2006M12 |
|
|
-0.02 |
-0.47 |
2007M3 |
|
|
0.00 |
-0.50 |
2007M6 |
|
|
0.12 |
-0.14 |
2007M9 |
|
|
0.46 |
-0.07 |
2007M12 |
|
|
0.98 |
-0.06 |
2008M3 |
|
1 |
1.98 |
-0.03 |
2008M6 |
|
1 |
1.82 |
1.10 |
2008M9 |
|
1 |
1.81 |
1.14 |
2008M12 |
|
1 |
2.85 |
0.87 |
2009M3 |
1 |
1 |
2.54 |
0.90 |
2009M6 |
1 |
1 |
2.81 |
1.37 |
2009M9 |
1 |
|
2.94 |
1.54 |
2009M12 |
1 |
|
2.97 |
1.43 |
2010M3 |
1 |
|
3.13 |
1.45 |
2010M6 |
1 |
|
2.90 |
1.28 |
2010M9 |
1 |
|
2.50 |
0.64 |
2010M12 |
1 |
|
2.63 |
0.57 |
2011M3 |
1 |
|
3.01 |
1.05 |
2011M6 |
1 |
|
2.88 |
0.92 |
2011M9 |
1 |
|
2.31 |
0.41 |
2011M12 |
1 |
|
1.90 |
0.39 |
2012M3 |
1 |
|
1.85 |
0.33 |
2012M6 |
1 |
|
1.58 |
0.30 |
2012M9 |
1 |
|
1.43 |
0.21 |
2012M12 |
1 |
|
1.48 |
0.23 |
2013M3 |
1 |
|
1.76 |
0.27 |
2013M6 |
1 |
|
1.78 |
0.37 |
2013M9 |
1 |
|
2.47 |
0.68 |
2013M12 |
1 |
|
2.56 |
0.53 |
2014M3 |
1 |
|
2.52 |
0.70 |
2014M6 |
1 |
|
2.30 |
0.85 |
2014M9 |
1 |
|
2.05 |
1.08 |
2014M12 |
1 |
|
1.80 |
1.06 |
2015M3 |
1 |
|
1.42 |
1.09 |
2015M6 |
1 |
|
1.63 |
1.07 |
2015M9 |
1 |
|
1.59 |
1.09 |
2015M12 |
1 |
|
1.42 |
1.11 |
2016M3 |
|
|
1.15 |
0.81 |
2016M6 |
|
|
1.04 |
0.73 |
2016M9 |
|
|
0.87 |
0.61 |
2016M12 |
|
|
1.18 |
0.92 |
2017M3 |
|
|
1.27 |
1.05 |
2017M6 |
|
|
1.01 |
0.62 |
2017M9 |
|
|
0.92 |
0.49 |
2017M12 |
|
|
0.70 |
0.68 |
2018M3 |
|
|
0.61 |
0.85 |
2018M6 |
|
|
0.45 |
0.89 |
2018M9 |
|
|
0.27 |
0.83 |
2018M12 |
|
|
0.25 |
0.60 |
2019M1 |
|
|
0.17 |
0.12 |
Return to text
Figure 2: Near-term Forward Spread and Market-Expected Paths of Short Rates
period |
effective lower bound |
recession |
slope near-term Blue Chip |
near-term forward spread |
1972M3 |
|
|
NaN |
2.22 |
1972M6 |
|
|
NaN |
2.18 |
1972M9 |
|
|
NaN |
1.89 |
1972M12 |
|
|
NaN |
1.33 |
1973M3 |
|
|
NaN |
0.86 |
1973M6 |
|
|
NaN |
-0.01 |
1973M9 |
|
|
NaN |
-1.37 |
1973M12 |
|
1 |
NaN |
-1.03 |
1974M3 |
|
1 |
NaN |
-1.00 |
1974M6 |
|
1 |
NaN |
-0.44 |
1974M9 |
|
1 |
NaN |
-0.08 |
1974M12 |
|
1 |
NaN |
0.10 |
1975M3 |
|
1 |
NaN |
1.27 |
1975M6 |
|
|
NaN |
2.27 |
1975M9 |
|
|
NaN |
1.83 |
1975M12 |
|
|
NaN |
2.14 |
1976M3 |
|
|
NaN |
2.50 |
1976M6 |
|
|
NaN |
2.23 |
1976M9 |
|
|
NaN |
1.97 |
1976M12 |
|
|
NaN |
1.52 |
1977M3 |
|
|
NaN |
2.00 |
1977M6 |
|
|
NaN |
1.73 |
1977M9 |
|
|
NaN |
1.25 |
1977M12 |
|
|
NaN |
1.10 |
1978M3 |
|
|
NaN |
1.27 |
1978M6 |
|
|
NaN |
1.61 |
1978M9 |
|
|
NaN |
0.97 |
1978M12 |
|
|
NaN |
0.01 |
1979M3 |
|
|
NaN |
-0.47 |
1979M6 |
|
|
NaN |
-0.52 |
1979M9 |
|
|
NaN |
-0.97 |
1979M12 |
|
|
NaN |
-1.77 |
1980M3 |
|
1 |
NaN |
-1.66 |
1980M6 |
|
1 |
NaN |
-0.00 |
1980M9 |
|
|
NaN |
1.31 |
1980M12 |
|
|
NaN |
-1.66 |
1981M3 |
|
|
NaN |
-2.16 |
1981M6 |
|
|
NaN |
-1.50 |
1981M9 |
|
1 |
NaN |
-0.43 |
1981M12 |
|
1 |
NaN |
1.91 |
1982M3 |
|
1 |
NaN |
1.11 |
1982M6 |
|
1 |
NaN |
1.21 |
1982M9 |
|
1 |
NaN |
3.54 |
1982M12 |
|
1 |
-0.07 |
2.67 |
1983M3 |
|
|
0.47 |
1.99 |
1983M6 |
|
|
0.55 |
1.69 |
1983M9 |
|
|
-0.04 |
2.09 |
1983M12 |
|
|
0.47 |
2.33 |
1984M3 |
|
|
0.60 |
2.13 |
1984M6 |
|
|
1.17 |
2.88 |
1984M9 |
|
|
0.70 |
2.31 |
1984M12 |
|
|
0.94 |
2.53 |
1985M3 |
|
|
1.19 |
2.85 |
1985M6 |
|
|
0.80 |
2.70 |
1985M9 |
|
|
0.60 |
2.58 |
1985M12 |
|
|
0.30 |
1.92 |
1986M3 |
|
|
0.29 |
1.18 |
1986M6 |
|
|
0.48 |
1.39 |
1986M9 |
|
|
0.27 |
1.49 |
1986M12 |
|
|
0.36 |
1.31 |
1987M3 |
|
|
0.36 |
1.06 |
1987M6 |
|
|
0.26 |
2.23 |
1987M9 |
|
|
0.47 |
2.23 |
1987M12 |
|
|
0.12 |
2.65 |
1988M3 |
|
|
0.51 |
1.97 |
1988M6 |
|
|
0.79 |
2.01 |
1988M9 |
|
|
0.30 |
1.59 |
1988M12 |
|
|
-0.28 |
0.87 |
1989M3 |
|
|
-0.88 |
0.64 |
1989M6 |
|
|
-1.27 |
0.24 |
1989M9 |
|
|
-0.99 |
-0.06 |
1989M12 |
|
|
-0.57 |
-0.01 |
1990M3 |
|
|
-0.20 |
0.56 |
1990M6 |
|
|
-0.12 |
0.85 |
1990M9 |
|
1 |
-0.63 |
0.73 |
1990M12 |
|
1 |
-0.78 |
0.77 |
1991M3 |
|
1 |
0.03 |
1.38 |
1991M6 |
|
|
0.65 |
1.98 |
1991M9 |
|
|
0.61 |
1.76 |
1991M12 |
|
|
0.41 |
1.58 |
1992M3 |
|
|
0.93 |
2.34 |
1992M6 |
|
|
1.26 |
2.51 |
1992M9 |
|
|
1.06 |
1.91 |
1992M12 |
|
|
1.10 |
2.33 |
1993M3 |
|
|
0.92 |
1.93 |
1993M6 |
|
|
0.88 |
1.67 |
1993M9 |
|
|
0.84 |
1.53 |
1993M12 |
|
|
0.72 |
1.56 |
1994M3 |
|
|
0.96 |
1.94 |
1994M6 |
|
|
1.07 |
2.56 |
1994M9 |
|
|
1.09 |
2.35 |
1994M12 |
|
|
1.43 |
2.35 |
1995M3 |
|
|
0.78 |
1.67 |
1995M6 |
|
|
0.21 |
0.62 |
1995M9 |
|
|
-0.32 |
0.59 |
1995M12 |
|
|
-0.50 |
0.25 |
1996M3 |
|
|
-0.46 |
0.44 |
1996M6 |
|
|
-0.06 |
1.45 |
1996M9 |
|
|
0.26 |
1.40 |
1996M12 |
|
|
0.04 |
1.03 |
1997M3 |
|
|
-0.03 |
1.24 |
1997M6 |
|
|
0.09 |
1.51 |
1997M9 |
|
|
0.03 |
1.01 |
1997M12 |
|
|
-0.05 |
0.70 |
1998M3 |
|
|
-0.21 |
0.37 |
1998M6 |
|
|
-0.10 |
0.58 |
1998M9 |
|
|
-0.26 |
0.29 |
1998M12 |
|
|
-0.50 |
0.15 |
1999M3 |
|
|
-0.17 |
0.55 |
1999M6 |
|
|
0.04 |
1.05 |
1999M9 |
|
|
0.06 |
1.19 |
1999M12 |
|
|
0.14 |
1.03 |
2000M3 |
|
|
0.46 |
1.09 |
2000M6 |
|
|
0.34 |
0.75 |
2000M9 |
|
|
-0.09 |
-0.03 |
2000M12 |
|
|
-0.42 |
-0.67 |
2001M3 |
|
|
-0.61 |
-0.26 |
2001M6 |
|
1 |
-0.13 |
0.96 |
2001M9 |
|
1 |
0.31 |
1.00 |
2001M12 |
|
1 |
1.09 |
1.85 |
2002M3 |
|
|
1.44 |
2.56 |
2002M6 |
|
|
1.94 |
2.56 |
2002M9 |
|
|
1.33 |
1.18 |
2002M12 |
|
|
1.12 |
1.08 |
2003M3 |
|
|
1.17 |
1.05 |
2003M6 |
|
|
0.86 |
0.80 |
2003M9 |
|
|
0.93 |
1.43 |
2003M12 |
|
|
1.27 |
1.68 |
2004M3 |
|
|
1.39 |
1.41 |
2004M6 |
|
|
1.96 |
2.24 |
2004M9 |
|
|
2.06 |
1.64 |
2004M12 |
|
|
1.70 |
1.18 |
2005M3 |
|
|
1.54 |
1.26 |
2005M6 |
|
|
1.29 |
1.00 |
2005M9 |
|
|
0.91 |
0.70 |
2005M12 |
|
|
0.59 |
0.55 |
2006M3 |
|
|
0.26 |
0.12 |
2006M6 |
|
|
0.02 |
0.20 |
2006M9 |
|
|
-0.34 |
-0.21 |
2006M12 |
|
|
-0.42 |
-0.47 |
2007M3 |
|
|
-0.29 |
-0.50 |
2007M6 |
|
|
-0.28 |
-0.14 |
2007M9 |
|
|
-0.39 |
-0.07 |
2007M12 |
|
|
-0.45 |
-0.06 |
2008M3 |
|
1 |
-0.34 |
-0.03 |
2008M6 |
|
1 |
0.49 |
1.10 |
2008M9 |
|
1 |
0.91 |
1.14 |
2008M12 |
|
1 |
0.50 |
0.87 |
2009M3 |
1 |
1 |
0.59 |
0.90 |
2009M6 |
1 |
1 |
0.62 |
1.37 |
2009M9 |
1 |
|
0.94 |
1.54 |
2009M12 |
1 |
|
1.13 |
1.43 |
2010M3 |
1 |
|
1.36 |
1.45 |
2010M6 |
1 |
|
1.27 |
1.28 |
2010M9 |
1 |
|
0.82 |
0.64 |
2010M12 |
1 |
|
0.50 |
0.57 |
2011M3 |
1 |
|
0.74 |
1.05 |
2011M6 |
1 |
|
1.07 |
0.92 |
2011M9 |
1 |
|
0.06 |
0.41 |
2011M12 |
1 |
|
0.06 |
0.39 |
2012M3 |
1 |
|
0.06 |
0.33 |
2012M6 |
1 |
|
0.12 |
0.30 |
2012M9 |
1 |
|
0.08 |
0.21 |
2012M12 |
1 |
|
0.03 |
0.23 |
2013M3 |
1 |
|
0.04 |
0.27 |
2013M6 |
1 |
|
0.05 |
0.37 |
2013M9 |
1 |
|
0.08 |
0.68 |
2013M12 |
1 |
|
0.08 |
0.53 |
2014M3 |
1 |
|
0.15 |
0.70 |
2014M6 |
1 |
|
0.38 |
0.85 |
2014M9 |
1 |
|
0.77 |
1.08 |
2014M12 |
1 |
|
1.00 |
1.06 |
2015M3 |
1 |
|
1.30 |
1.09 |
2015M6 |
1 |
|
1.31 |
1.07 |
2015M9 |
1 |
|
1.35 |
1.09 |
2015M12 |
1 |
|
1.19 |
1.11 |
2016M3 |
|
|
1.02 |
0.81 |
2016M6 |
|
|
0.94 |
0.73 |
2016M9 |
|
|
0.72 |
0.61 |
2016M12 |
|
|
0.82 |
0.92 |
2017M3 |
|
|
0.91 |
1.05 |
2017M6 |
|
|
0.94 |
0.62 |
2017M9 |
|
|
0.87 |
0.49 |
2017M12 |
|
|
0.92 |
0.68 |
2018M3 |
|
|
1.03 |
0.85 |
2018M6 |
|
|
1.01 |
0.89 |
2018M9 |
|
|
0.95 |
0.83 |
2018M12 |
|
|
0.73 |
0.60 |
2019M1 |
|
|
NaN |
0.12 |
Return to text
Figure 3: Estimated Recession Probabilities
period |
effective lower bound |
recession |
probit results for 10y/2y spread |
probit results for near-term forward spread |
1972M3 |
|
|
0.06 |
0.00 |
1972M6 |
|
|
0.11 |
0.00 |
1972M9 |
|
|
0.16 |
0.00 |
1972M12 |
|
|
0.23 |
0.03 |
1973M3 |
|
|
0.44 |
0.13 |
1973M6 |
|
|
0.55 |
0.58 |
1973M9 |
|
|
0.78 |
0.99 |
1973M12 |
|
1 |
0.57 |
0.96 |
1974M3 |
|
1 |
0.46 |
0.96 |
1974M6 |
|
1 |
0.71 |
0.81 |
1974M9 |
|
1 |
0.71 |
0.62 |
1974M12 |
|
1 |
0.50 |
0.52 |
1975M3 |
|
1 |
0.17 |
0.04 |
1975M6 |
|
|
0.16 |
0.00 |
1975M9 |
|
|
0.38 |
0.00 |
1975M12 |
|
|
0.16 |
0.00 |
1976M3 |
|
|
0.09 |
0.00 |
1976M6 |
|
|
0.13 |
0.00 |
1976M9 |
|
|
0.08 |
0.00 |
1976M12 |
|
|
0.03 |
0.02 |
1977M3 |
|
|
0.05 |
0.00 |
1977M6 |
|
|
0.05 |
0.01 |
1977M9 |
|
|
0.13 |
0.04 |
1977M12 |
|
|
0.24 |
0.07 |
1978M3 |
|
|
0.23 |
0.04 |
1978M6 |
|
|
0.34 |
0.01 |
1978M9 |
|
|
0.47 |
0.10 |
1978M12 |
|
|
0.74 |
0.57 |
1979M3 |
|
|
0.79 |
0.82 |
1979M6 |
|
|
0.68 |
0.84 |
1979M9 |
|
|
0.69 |
0.95 |
1979M12 |
|
|
0.87 |
1.00 |
1980M3 |
|
1 |
0.92 |
1.00 |
1980M6 |
|
1 |
0.29 |
0.57 |
1980M9 |
|
|
0.23 |
0.03 |
1980M12 |
|
|
0.79 |
1.00 |
1981M3 |
|
|
0.66 |
1.00 |
1981M6 |
|
|
0.86 |
0.99 |
1981M9 |
|
1 |
0.93 |
0.80 |
1981M12 |
|
1 |
0.43 |
0.00 |
1982M3 |
|
1 |
0.58 |
0.07 |
1982M6 |
|
1 |
0.65 |
0.05 |
1982M9 |
|
1 |
0.36 |
0.00 |
1982M12 |
|
1 |
0.13 |
0.00 |
1983M3 |
|
|
0.06 |
0.00 |
1983M6 |
|
|
0.08 |
0.01 |
1983M9 |
|
|
0.10 |
0.00 |
1983M12 |
|
|
0.06 |
0.00 |
1984M3 |
|
|
0.06 |
0.00 |
1984M6 |
|
|
0.09 |
0.00 |
1984M9 |
|
|
0.26 |
0.00 |
1984M12 |
|
|
0.10 |
0.00 |
1985M3 |
|
|
0.03 |
0.00 |
1985M6 |
|
|
0.02 |
0.00 |
1985M9 |
|
|
0.01 |
0.00 |
1985M12 |
|
|
0.02 |
0.00 |
1986M3 |
|
|
0.08 |
0.05 |
1986M6 |
|
|
0.14 |
0.03 |
1986M9 |
|
|
0.05 |
0.02 |
1986M12 |
|
|
0.03 |
0.03 |
1987M3 |
|
|
0.06 |
0.08 |
1987M6 |
|
|
0.07 |
0.00 |
1987M9 |
|
|
0.04 |
0.00 |
1987M12 |
|
|
0.04 |
0.00 |
1988M3 |
|
|
0.03 |
0.00 |
1988M6 |
|
|
0.04 |
0.00 |
1988M9 |
|
|
0.12 |
0.01 |
1988M12 |
|
|
0.28 |
0.12 |
1989M3 |
|
|
0.55 |
0.21 |
1989M6 |
|
|
0.53 |
0.43 |
1989M9 |
|
|
0.40 |
0.61 |
1989M12 |
|
|
0.38 |
0.58 |
1990M3 |
|
|
0.38 |
0.25 |
1990M6 |
|
|
0.36 |
0.13 |
1990M9 |
|
1 |
0.16 |
0.18 |
1990M12 |
|
1 |
0.11 |
0.16 |
1991M3 |
|
1 |
0.05 |
0.03 |
1991M6 |
|
|
0.03 |
0.00 |
1991M9 |
|
|
0.02 |
0.01 |
1991M12 |
|
|
0.00 |
0.01 |
1992M3 |
|
|
0.00 |
0.00 |
1992M6 |
|
|
0.00 |
0.00 |
1992M9 |
|
|
0.00 |
0.00 |
1992M12 |
|
|
0.00 |
0.00 |
1993M3 |
|
|
0.00 |
0.00 |
1993M6 |
|
|
0.00 |
0.01 |
1993M9 |
|
|
0.01 |
0.02 |
1993M12 |
|
|
0.01 |
0.01 |
1994M3 |
|
|
0.01 |
0.00 |
1994M6 |
|
|
0.03 |
0.00 |
1994M9 |
|
|
0.04 |
0.00 |
1994M12 |
|
|
0.15 |
0.00 |
1995M3 |
|
|
0.24 |
0.01 |
1995M6 |
|
|
0.19 |
0.22 |
1995M9 |
|
|
0.19 |
0.24 |
1995M12 |
|
|
0.23 |
0.42 |
1996M3 |
|
|
0.13 |
0.31 |
1996M6 |
|
|
0.15 |
0.02 |
1996M9 |
|
|
0.17 |
0.02 |
1996M12 |
|
|
0.18 |
0.08 |
1997M3 |
|
|
0.18 |
0.04 |
1997M6 |
|
|
0.22 |
0.02 |
1997M9 |
|
|
0.24 |
0.09 |
1997M12 |
|
|
0.32 |
0.19 |
1998M3 |
|
|
0.32 |
0.35 |
1998M6 |
|
|
0.37 |
0.24 |
1998M9 |
|
|
0.37 |
0.40 |
1998M12 |
|
|
0.24 |
0.48 |
1999M3 |
|
|
0.24 |
0.26 |
1999M6 |
|
|
0.20 |
0.08 |
1999M9 |
|
|
0.19 |
0.05 |
1999M12 |
|
|
0.21 |
0.08 |
2000M3 |
|
|
0.39 |
0.07 |
2000M6 |
|
|
0.55 |
0.17 |
2000M9 |
|
|
0.53 |
0.59 |
2000M12 |
|
|
0.45 |
0.89 |
2001M3 |
|
|
0.17 |
0.72 |
2001M6 |
|
1 |
0.04 |
0.10 |
2001M9 |
|
1 |
0.02 |
0.09 |
2001M12 |
|
1 |
0.00 |
0.00 |
2002M3 |
|
|
0.00 |
0.00 |
2002M6 |
|
|
0.00 |
0.00 |
2002M9 |
|
|
0.00 |
0.05 |
2002M12 |
|
|
0.00 |
0.07 |
2003M3 |
|
|
0.00 |
0.08 |
2003M6 |
|
|
0.00 |
0.15 |
2003M9 |
|
|
0.00 |
0.02 |
2003M12 |
|
|
0.00 |
0.01 |
2004M3 |
|
|
0.00 |
0.02 |
2004M6 |
|
|
0.00 |
0.00 |
2004M9 |
|
|
0.00 |
0.01 |
2004M12 |
|
|
0.02 |
0.05 |
2005M3 |
|
|
0.09 |
0.04 |
2005M6 |
|
|
0.19 |
0.09 |
2005M9 |
|
|
0.30 |
0.19 |
2005M12 |
|
|
0.35 |
0.26 |
2006M3 |
|
|
0.43 |
0.50 |
2006M6 |
|
|
0.38 |
0.45 |
2006M9 |
|
|
0.44 |
0.70 |
2006M12 |
|
|
0.47 |
0.82 |
2007M3 |
|
|
0.46 |
0.83 |
2007M6 |
|
|
0.40 |
0.65 |
2007M9 |
|
|
0.25 |
0.62 |
2007M12 |
|
|
0.09 |
0.61 |
2008M3 |
|
1 |
0.00 |
0.59 |
2008M6 |
|
1 |
0.01 |
0.07 |
2008M9 |
|
1 |
0.01 |
0.06 |
2008M12 |
|
1 |
0.00 |
0.12 |
2009M3 |
1 |
1 |
0.00 |
0.12 |
2009M6 |
1 |
1 |
0.00 |
0.03 |
2009M9 |
1 |
|
0.00 |
0.01 |
2009M12 |
1 |
|
0.00 |
0.02 |
2010M3 |
1 |
|
0.00 |
0.02 |
2010M6 |
1 |
|
0.00 |
0.04 |
2010M9 |
1 |
|
0.00 |
0.21 |
2010M12 |
1 |
|
0.00 |
0.24 |
2011M3 |
1 |
|
0.00 |
0.08 |
2011M6 |
1 |
|
0.00 |
0.11 |
2011M9 |
1 |
|
0.00 |
0.33 |
2011M12 |
1 |
|
0.01 |
0.34 |
2012M3 |
1 |
|
0.01 |
0.37 |
2012M6 |
1 |
|
0.02 |
0.39 |
2012M9 |
1 |
|
0.03 |
0.45 |
2012M12 |
1 |
|
0.02 |
0.43 |
2013M3 |
1 |
|
0.01 |
0.41 |
2013M6 |
1 |
|
0.01 |
0.35 |
2013M9 |
1 |
|
0.00 |
0.20 |
2013M12 |
1 |
|
0.00 |
0.26 |
2014M3 |
1 |
|
0.00 |
0.19 |
2014M6 |
1 |
|
0.00 |
0.13 |
2014M9 |
1 |
|
0.00 |
0.07 |
2014M12 |
1 |
|
0.01 |
0.07 |
2015M3 |
1 |
|
0.03 |
0.07 |
2015M6 |
1 |
|
0.02 |
0.07 |
2015M9 |
1 |
|
0.02 |
0.07 |
2015M12 |
1 |
|
0.03 |
0.06 |
2016M3 |
|
|
0.06 |
0.15 |
2016M6 |
|
|
0.08 |
0.18 |
2016M9 |
|
|
0.12 |
0.22 |
2016M12 |
|
|
0.06 |
0.11 |
2017M3 |
|
|
0.04 |
0.08 |
2017M6 |
|
|
0.08 |
0.22 |
2017M9 |
|
|
0.10 |
0.28 |
2017M12 |
|
|
0.16 |
0.20 |
2018M3 |
|
|
0.19 |
0.13 |
2018M6 |
|
|
0.25 |
0.12 |
2018M9 |
|
|
0.33 |
0.14 |
2018M12 |
|
|
0.34 |
0.23 |
2019M1 |
|
|
0.38 |
0.50 |
Return to text
Figure 4: Estimated Shape of the Probit curve
period |
probability |
1972M3 |
1.00 |
1972M6 |
1.00 |
1972M9 |
1.00 |
1972M12 |
1.00 |
1973M3 |
0.99 |
1973M6 |
0.99 |
1973M9 |
0.96 |
1973M12 |
0.96 |
1974M3 |
0.95 |
1974M6 |
0.89 |
1974M9 |
0.84 |
1974M12 |
0.83 |
1975M3 |
0.82 |
1975M6 |
0.82 |
1975M9 |
0.81 |
1975M12 |
0.80 |
1976M3 |
0.72 |
1976M6 |
0.70 |
1976M9 |
0.65 |
1976M12 |
0.62 |
1977M3 |
0.62 |
1977M6 |
0.61 |
1977M9 |
0.61 |
1977M12 |
0.59 |
1978M3 |
0.59 |
1978M6 |
0.58 |
1978M9 |
0.58 |
1978M12 |
0.57 |
1979M3 |
0.57 |
1979M6 |
0.52 |
1979M9 |
0.50 |
1979M12 |
0.50 |
1980M3 |
0.48 |
1980M6 |
0.45 |
1980M9 |
0.45 |
1980M12 |
0.43 |
1981M3 |
0.43 |
1981M6 |
0.42 |
1981M9 |
0.41 |
1981M12 |
0.40 |
1982M3 |
0.39 |
1982M6 |
0.37 |
1982M9 |
0.35 |
1982M12 |
0.35 |
1983M3 |
0.34 |
1983M6 |
0.33 |
1983M9 |
0.31 |
1983M12 |
0.28 |
1984M3 |
0.26 |
1984M6 |
0.26 |
1984M9 |
0.26 |
1984M12 |
0.25 |
1985M3 |
0.24 |
1985M6 |
0.24 |
1985M9 |
0.24 |
1985M12 |
0.23 |
1986M3 |
0.22 |
1986M6 |
0.22 |
1986M9 |
0.22 |
1986M12 |
0.21 |
1987M3 |
0.21 |
1987M6 |
0.20 |
1987M9 |
0.20 |
1987M12 |
0.19 |
1988M3 |
0.19 |
1988M6 |
0.19 |
1988M9 |
0.18 |
1988M12 |
0.18 |
1989M3 |
0.17 |
1989M6 |
0.16 |
1989M9 |
0.15 |
1989M12 |
0.15 |
1990M3 |
0.14 |
1990M6 |
0.13 |
1990M9 |
0.13 |
1990M12 |
0.13 |
1991M3 |
0.13 |
1991M6 |
0.12 |
1991M9 |
0.12 |
1991M12 |
0.12 |
1992M3 |
0.12 |
1992M6 |
0.11 |
1992M9 |
0.11 |
1992M12 |
0.10 |
1993M3 |
0.10 |
1993M6 |
0.09 |
1993M9 |
0.09 |
1993M12 |
0.09 |
1994M3 |
0.08 |
1994M6 |
0.08 |
1994M9 |
0.08 |
1994M12 |
0.08 |
1995M3 |
0.08 |
1995M6 |
0.08 |
1995M9 |
0.08 |
1995M12 |
0.07 |
1996M3 |
0.07 |
1996M6 |
0.07 |
1996M9 |
0.07 |
1996M12 |
0.07 |
1997M3 |
0.07 |
1997M6 |
0.07 |
1997M9 |
0.07 |
1997M12 |
0.07 |
1998M3 |
0.07 |
1998M6 |
0.06 |
1998M9 |
0.06 |
1998M12 |
0.05 |
1999M3 |
0.05 |
1999M6 |
0.05 |
1999M9 |
0.05 |
1999M12 |
0.05 |
2000M3 |
0.04 |
2000M6 |
0.04 |
2000M9 |
0.04 |
2000M12 |
0.04 |
2001M3 |
0.04 |
2001M6 |
0.04 |
2001M9 |
0.03 |
2001M12 |
0.03 |
2002M3 |
0.03 |
2002M6 |
0.03 |
2002M9 |
0.03 |
2002M12 |
0.03 |
2003M3 |
0.02 |
2003M6 |
0.02 |
2003M9 |
0.02 |
2003M12 |
0.02 |
2004M3 |
0.02 |
2004M6 |
0.02 |
2004M9 |
0.02 |
2004M12 |
0.02 |
2005M3 |
0.02 |
2005M6 |
0.02 |
2005M9 |
0.01 |
2005M12 |
0.01 |
2006M3 |
0.01 |
2006M6 |
0.01 |
2006M9 |
0.01 |
2006M12 |
0.01 |
2007M3 |
0.01 |
2007M6 |
0.01 |
2007M9 |
0.01 |
2007M12 |
0.01 |
2008M3 |
0.01 |
2008M6 |
0.01 |
2008M9 |
0.00 |
2008M12 |
0.00 |
2009M3 |
0.00 |
2009M6 |
0.00 |
2009M9 |
0.00 |
2009M12 |
0.00 |
2010M3 |
0.00 |
2010M6 |
0.00 |
2010M9 |
0.00 |
2010M12 |
0.00 |
2011M3 |
0.00 |
2011M6 |
0.00 |
2011M9 |
0.00 |
2011M12 |
0.00 |
2012M3 |
0.00 |
2012M6 |
0.00 |
2012M9 |
0.00 |
2012M12 |
0.00 |
2013M3 |
0.00 |
2013M6 |
0.00 |
2013M9 |
0.00 |
2013M12 |
0.00 |
2014M3 |
0.00 |
2014M6 |
0.00 |
2014M9 |
0.00 |
2014M12 |
0.00 |
2015M3 |
0.00 |
2015M6 |
0.00 |
2015M9 |
0.00 |
2015M12 |
0.00 |
2016M3 |
0.00 |
2016M6 |
0.00 |
2016M9 |
0.00 |
2016M12 |
0.00 |
2017M3 |
0.00 |
2017M6 |
0.00 |
2017M9 |
0.00 |
2017M12 |
0.00 |
2018M3 |
0.00 |
2018M6 |
0.00 |
2018M9 |
0.00 |
2018M12 |
0.00 |
2019M1 |
0.00 |
Return to text
Figure 5: Cumulative Log Returns to Market Timing Strategies
period |
hold market strategy |
near-term forward spread strategy |
asterisk (near-term forward spread) |
10y/1qtr yield spread strategy |
asterisk (10y/1qtr yield spread) |
10y/2y yield spread strategy |
asterisk (10y/2y yield spread) |
1972M3 |
1.0006 |
1.0006 |
|
1.0006 |
|
1.0006 |
|
1972M6 |
1.0243 |
1.0243 |
|
1.0243 |
|
1.0243 |
|
1972M9 |
1.0968 |
1.0968 |
|
1.0968 |
|
1.0968 |
|
1972M12 |
1.0113 |
1.0113 |
|
1.0113 |
|
1.0113 |
|
1973M3 |
0.9274 |
0.9274 |
|
0.9274 |
|
0.9274 |
|
1973M6 |
1.0024 |
0.9428 |
1 |
0.9428 |
1 |
0.9428 |
1 |
1973M9 |
0.8911 |
0.9627 |
1 |
0.9627 |
1 |
0.9627 |
1 |
1973M12 |
0.8762 |
0.9809 |
1 |
0.9809 |
1 |
0.9809 |
1 |
1974M3 |
0.7825 |
0.9998 |
1 |
0.9998 |
1 |
0.9998 |
1 |
1974M6 |
0.5904 |
1.0204 |
1 |
1.0204 |
1 |
1.0204 |
1 |
1974M9 |
0.6421 |
1.0415 |
1 |
1.0415 |
1 |
1.0415 |
1 |
1974M12 |
0.7993 |
1.0609 |
1 |
1.0609 |
1 |
1.0609 |
1 |
1975M3 |
0.928 |
1.0763 |
1 |
1.0763 |
1 |
1.0763 |
1 |
1975M6 |
0.8191 |
1.0909 |
1 |
1.0909 |
1 |
1.0909 |
1 |
1975M9 |
0.882 |
1.1747 |
|
1.1747 |
|
1.1083 |
1 |
1975M12 |
1.0273 |
1.3682 |
|
1.3682 |
|
1.2908 |
|
1976M3 |
1.0519 |
1.4009 |
|
1.4009 |
|
1.3217 |
|
1976M6 |
1.0694 |
1.4243 |
|
1.4243 |
|
1.3438 |
|
1976M9 |
1.1181 |
1.4892 |
|
1.4892 |
|
1.405 |
|
1976M12 |
1.0507 |
1.3994 |
|
1.3994 |
|
1.3203 |
|
1977M3 |
1.0982 |
1.4626 |
|
1.4626 |
|
1.3799 |
|
1977M6 |
1.0714 |
1.4269 |
|
1.4269 |
|
1.3462 |
|
1977M9 |
1.0849 |
1.4449 |
|
1.4449 |
|
1.3632 |
|
1977M12 |
1.05 |
1.3985 |
|
1.3985 |
|
1.3194 |
|
1978M3 |
1.1509 |
1.5329 |
|
1.5329 |
|
1.4462 |
|
1978M6 |
1.259 |
1.6768 |
|
1.6768 |
|
1.582 |
|
1978M9 |
1.1776 |
1.5684 |
|
1.5684 |
|
1.6111 |
1 |
1978M12 |
1.2818 |
1.7071 |
|
1.6023 |
1 |
1.646 |
1 |
1979M3 |
1.3349 |
1.7476 |
1 |
1.6404 |
1 |
1.6851 |
1 |
1979M6 |
1.4446 |
1.7891 |
1 |
1.6792 |
1 |
1.725 |
1 |
1979M9 |
1.4651 |
1.8328 |
1 |
1.7203 |
1 |
1.7672 |
1 |
1979M12 |
1.3749 |
1.8878 |
1 |
1.7719 |
1 |
1.8203 |
1 |
1980M3 |
1.5916 |
1.9519 |
1 |
1.8321 |
1 |
1.882 |
1 |
1980M6 |
1.7936 |
1.9994 |
1 |
1.8766 |
1 |
1.9278 |
1 |
1980M9 |
1.9521 |
2.0456 |
1 |
1.92 |
1 |
1.9724 |
1 |
1980M12 |
1.9908 |
2.1163 |
1 |
1.9864 |
1 |
2.0406 |
1 |
1981M3 |
1.9746 |
2.1937 |
1 |
2.059 |
1 |
2.1151 |
1 |
1981M6 |
1.7392 |
2.2768 |
1 |
2.1371 |
1 |
2.1953 |
1 |
1981M9 |
1.8742 |
2.3641 |
1 |
2.219 |
1 |
2.2795 |
1 |
1981M12 |
1.7143 |
2.4348 |
1 |
2.2853 |
1 |
2.3476 |
1 |
1982M3 |
1.6965 |
2.5139 |
1 |
2.3595 |
1 |
2.4239 |
1 |
1982M6 |
1.8906 |
2.5932 |
1 |
2.434 |
1 |
2.5003 |
1 |
1982M9 |
2.257 |
3.0958 |
|
2.9057 |
|
2.5592 |
1 |
1982M12 |
2.5065 |
3.438 |
|
3.2269 |
|
2.6103 |
1 |
1983M3 |
2.8313 |
3.8835 |
|
3.6451 |
|
2.6638 |
1 |
1983M6 |
2.7955 |
3.8344 |
|
3.599 |
|
2.6301 |
|
1983M9 |
2.7681 |
3.7968 |
|
3.5637 |
|
2.6043 |
|
1983M12 |
2.6604 |
3.6491 |
|
3.4251 |
|
2.503 |
|
1984M3 |
2.5867 |
3.548 |
|
3.3302 |
|
2.4337 |
|
1984M6 |
2.82 |
3.868 |
|
3.6306 |
|
2.6531 |
|
1984M9 |
2.8557 |
3.9169 |
|
3.6765 |
|
2.6867 |
|
1984M12 |
3.1473 |
4.317 |
|
4.0519 |
|
2.9611 |
|
1985M3 |
3.3723 |
4.6255 |
|
4.3415 |
|
3.1727 |
|
1985M6 |
3.2216 |
4.4189 |
|
4.1476 |
|
3.031 |
|
1985M9 |
3.7527 |
5.1473 |
|
4.8313 |
|
3.5306 |
|
1985M12 |
4.2833 |
5.8751 |
|
5.5144 |
|
4.0298 |
|
1986M3 |
4.5291 |
6.2123 |
|
5.8309 |
|
4.2611 |
|
1986M6 |
4.1818 |
5.7359 |
|
5.3837 |
|
3.9343 |
|
1986M9 |
4.3366 |
5.9483 |
|
5.5831 |
|
4.08 |
|
1986M12 |
5.2498 |
7.2007 |
|
6.7587 |
|
4.9391 |
|
1987M3 |
5.4134 |
7.4252 |
|
6.9694 |
|
5.0931 |
|
1987M6 |
5.7411 |
7.8747 |
|
7.3913 |
|
5.4014 |
|
1987M9 |
4.416 |
6.0572 |
|
5.6853 |
|
4.1547 |
|
1987M12 |
4.7722 |
6.5457 |
|
6.1439 |
|
4.4898 |
|
1988M3 |
5.0752 |
6.9613 |
|
6.534 |
|
4.7749 |
|
1988M6 |
5.0794 |
6.9671 |
|
6.5393 |
|
4.7788 |
|
1988M9 |
5.1913 |
7.1206 |
|
6.6834 |
|
4.8841 |
|
1988M12 |
5.5603 |
7.6267 |
|
7.1585 |
|
5.2313 |
|
1989M3 |
6.0282 |
8.2684 |
|
7.7608 |
|
5.3443 |
1 |
1989M6 |
6.627 |
9.0898 |
|
8.5318 |
|
5.4577 |
1 |
1989M9 |
6.6673 |
9.2699 |
1 |
8.5837 |
|
5.5659 |
1 |
1989M12 |
6.4441 |
9.4489 |
1 |
8.2963 |
|
5.6733 |
1 |
1990M3 |
6.7901 |
9.6341 |
1 |
8.7417 |
|
5.7845 |
1 |
1990M6 |
5.7792 |
9.8225 |
1 |
7.4403 |
|
4.9233 |
|
1990M9 |
6.2617 |
10.0078 |
1 |
8.0614 |
|
5.3343 |
|
1990M12 |
7.2716 |
11.622 |
|
9.3616 |
|
6.1947 |
|
1991M3 |
7.2586 |
11.6012 |
|
9.3449 |
|
6.1836 |
|
1991M6 |
7.7164 |
12.3329 |
|
9.9342 |
|
6.5736 |
|
1991M9 |
8.3684 |
13.3751 |
|
10.7737 |
|
7.1291 |
|
1991M12 |
8.2694 |
13.2168 |
|
10.6463 |
|
7.0448 |
|
1992M3 |
8.2718 |
13.2206 |
|
10.6493 |
|
7.0468 |
|
1992M6 |
8.5276 |
13.6295 |
|
10.9786 |
|
7.2647 |
|
1992M9 |
9.1272 |
14.5877 |
|
11.7505 |
|
7.7755 |
|
1992M12 |
9.5259 |
15.225 |
|
12.2638 |
|
8.1151 |
|
1993M3 |
9.6107 |
15.3606 |
|
12.3731 |
|
8.1874 |
|
1993M6 |
9.9886 |
15.9646 |
|
12.8596 |
|
8.5094 |
|
1993M9 |
10.185 |
16.2784 |
|
13.1124 |
|
8.6766 |
|
1993M12 |
9.7815 |
15.6335 |
|
12.5929 |
|
8.3329 |
|
1994M3 |
9.6885 |
15.4849 |
|
12.4732 |
|
8.2537 |
|
1994M6 |
10.2194 |
16.3334 |
|
13.1567 |
|
8.706 |
|
1994M9 |
10.1078 |
16.155 |
|
13.013 |
|
8.6109 |
|
1994M12 |
11.0125 |
17.601 |
|
14.1777 |
|
9.3816 |
|
1995M3 |
12.036 |
19.2369 |
|
15.4954 |
|
10.2535 |
|
1995M6 |
13.1031 |
20.9423 |
|
16.8692 |
|
11.1626 |
|
1995M9 |
13.7145 |
21.9195 |
|
17.6563 |
|
11.6834 |
|
1995M12 |
14.4869 |
23.1541 |
|
18.6508 |
|
12.3415 |
|
1996M3 |
15.128 |
24.1787 |
|
19.4761 |
|
12.8876 |
|
1996M6 |
15.5621 |
24.8725 |
|
20.035 |
|
13.2574 |
|
1996M9 |
16.6187 |
26.5612 |
|
21.3953 |
|
14.1575 |
|
1996M12 |
16.7031 |
26.6961 |
|
21.5039 |
|
14.2294 |
|
1997M3 |
19.4806 |
31.1353 |
|
25.0797 |
|
16.5956 |
|
1997M6 |
21.3923 |
34.1908 |
|
27.5409 |
|
18.2242 |
|
1997M9 |
21.6629 |
34.6232 |
|
27.8893 |
|
18.4547 |
|
1997M12 |
24.5537 |
39.2435 |
|
31.6109 |
|
20.9174 |
|
1998M3 |
24.9548 |
39.8846 |
|
32.1273 |
|
21.2591 |
|
1998M6 |
21.8348 |
34.898 |
|
28.1106 |
|
18.6011 |
|
1998M9 |
26.485 |
42.3303 |
|
34.0974 |
|
22.5627 |
|
1998M12 |
27.4596 |
43.8879 |
|
35.3521 |
|
23.3929 |
|
1999M3 |
29.6452 |
47.3811 |
|
38.1659 |
|
25.2549 |
|
1999M6 |
27.7978 |
44.4285 |
|
35.7875 |
|
23.6811 |
|
1999M9 |
33.1766 |
53.0254 |
|
42.7123 |
|
28.2633 |
|
1999M12 |
34.634 |
55.3547 |
|
44.5887 |
|
29.5049 |
|
2000M3 |
32.9218 |
52.6181 |
|
42.3843 |
|
28.0462 |
|
2000M6 |
32.9864 |
52.7213 |
|
42.4674 |
|
28.4498 |
1 |
2000M9 |
29.4743 |
53.5207 |
1 |
37.9458 |
|
28.8811 |
1 |
2000M12 |
25.6616 |
54.3323 |
1 |
38.5212 |
1 |
29.3191 |
1 |
2001M3 |
27.6103 |
54.9894 |
1 |
38.9871 |
1 |
29.6737 |
1 |
2001M6 |
23.173 |
55.4942 |
1 |
39.345 |
1 |
29.9461 |
1 |
2001M9 |
26.153 |
55.9443 |
1 |
39.6642 |
1 |
33.7972 |
|
2001M12 |
26.3017 |
56.2127 |
1 |
39.8897 |
|
33.9894 |
|
2002M3 |
22.9961 |
49.1479 |
|
34.8764 |
|
29.7176 |
|
2002M6 |
19.1704 |
40.9715 |
|
29.0742 |
|
24.7737 |
|
2002M9 |
20.7031 |
44.2472 |
|
31.3987 |
|
26.7544 |
|
2002M12 |
20.1129 |
42.9857 |
|
30.5036 |
|
25.9916 |
|
2003M3 |
23.5366 |
50.303 |
|
35.6961 |
|
30.4161 |
|
2003M6 |
24.4572 |
52.2705 |
|
37.0922 |
|
31.6057 |
|
2003M9 |
27.5623 |
58.9067 |
|
41.8014 |
|
35.6184 |
|
2003M12 |
28.3283 |
60.5438 |
|
42.9631 |
|
36.6082 |
|
2004M3 |
28.6364 |
61.2024 |
|
43.4305 |
|
37.0064 |
|
2004M6 |
28.2005 |
60.2708 |
|
42.7694 |
|
36.4431 |
|
2004M9 |
31.1447 |
66.5632 |
|
47.2346 |
|
40.2479 |
|
2004M12 |
30.4798 |
65.1421 |
|
46.2262 |
|
39.3886 |
|
2005M3 |
31.1953 |
66.6713 |
|
47.3114 |
|
40.3133 |
|
2005M6 |
32.6969 |
69.8805 |
|
49.5887 |
|
42.2537 |
|
2005M9 |
33.4204 |
71.4269 |
|
50.686 |
|
43.1887 |
|
2005M12 |
35.3624 |
75.5774 |
|
53.6313 |
|
45.6984 |
|
2006M3 |
34.6954 |
74.1519 |
|
52.6197 |
|
44.8364 |
|
2006M6 |
36.1874 |
77.3405 |
|
54.8824 |
|
46.7644 |
|
2006M9 |
38.8377 |
78.295 |
1 |
58.902 |
|
50.1894 |
|
2006M12 |
39.5428 |
79.2608 |
1 |
59.6285 |
1 |
50.8085 |
1 |
2007M3 |
42.0872 |
80.2535 |
1 |
60.3753 |
1 |
51.4449 |
1 |
2007M6 |
42.9081 |
81.2091 |
1 |
61.0942 |
1 |
52.0574 |
1 |
2007M9 |
41.6588 |
82.0899 |
1 |
61.7568 |
1 |
52.622 |
1 |
2007M12 |
37.8255 |
82.7918 |
1 |
62.2849 |
1 |
47.7799 |
|
2008M3 |
37.5112 |
83.2189 |
1 |
61.7674 |
|
47.3829 |
|
2008M6 |
33.7372 |
83.5572 |
1 |
55.5529 |
|
42.6157 |
|
2008M9 |
25.7383 |
83.8703 |
1 |
42.3816 |
|
32.5117 |
|
2008M12 |
23.2207 |
83.9347 |
1 |
38.2362 |
|
29.3317 |
|
2009M3 |
27.42 |
99.1135 |
|
45.1508 |
|
34.636 |
|
2009M6 |
31.9777 |
115.588 |
|
52.6557 |
|
40.3932 |
|
2009M9 |
33.7923 |
122.1472 |
|
55.6437 |
|
42.6854 |
|
2009M12 |
35.8124 |
129.4491 |
|
58.9701 |
|
45.2371 |
|
2010M3 |
31.9337 |
115.4288 |
|
52.5832 |
|
40.3376 |
|
2010M6 |
35.7082 |
129.0723 |
|
58.7984 |
|
45.1054 |
|
2010M9 |
39.7764 |
143.7775 |
|
65.4973 |
|
50.2442 |
|
2010M12 |
42.2254 |
152.6297 |
|
69.5299 |
|
53.3377 |
|
2011M3 |
42.0023 |
151.8233 |
|
69.1626 |
|
53.0559 |
|
2011M6 |
35.4154 |
128.014 |
|
58.3163 |
|
44.7356 |
|
2011M9 |
39.3518 |
142.2426 |
|
64.7981 |
|
49.7078 |
|
2011M12 |
44.2245 |
159.8557 |
|
72.8217 |
|
55.8629 |
|
2012M3 |
42.6122 |
154.0279 |
|
70.1669 |
|
53.8263 |
|
2012M6 |
45.3533 |
163.9359 |
|
74.6804 |
|
57.2888 |
|
2012M9 |
45.554 |
164.6616 |
|
75.011 |
|
57.5424 |
|
2012M12 |
50.1264 |
181.1892 |
|
82.5401 |
|
63.3181 |
|
2013M3 |
51.065 |
184.5816 |
|
84.0855 |
|
64.5036 |
|
2013M6 |
54.3345 |
196.3999 |
|
89.4693 |
|
68.6336 |
|
2013M9 |
59.4235 |
214.7948 |
|
97.849 |
|
75.0618 |
|
2013M12 |
60.5751 |
218.9575 |
|
99.7453 |
|
76.5165 |
|
2014M3 |
63.633 |
230.0105 |
|
104.7805 |
|
80.3791 |
|
2014M6 |
63.2031 |
228.4568 |
|
104.0727 |
|
79.8361 |
|
2014M9 |
65.6687 |
237.369 |
|
108.1326 |
|
82.9506 |
|
2014M12 |
66.7558 |
241.2983 |
|
109.9226 |
|
84.3237 |
|
2015M3 |
66.7226 |
241.1783 |
|
109.8679 |
|
84.2817 |
|
2015M6 |
61.3377 |
221.7138 |
|
101.0009 |
|
77.4797 |
|
2015M9 |
64.5642 |
233.3764 |
|
106.3138 |
|
81.5553 |
|
2015M12 |
65.2165 |
235.7346 |
|
107.3881 |
|
82.3794 |
|
2016M3 |
67.1395 |
242.6854 |
|
110.5545 |
|
84.8084 |
|
2016M6 |
70.1454 |
253.5508 |
|
115.5042 |
|
88.6054 |
|
2016M9 |
72.7465 |
262.9527 |
|
119.7872 |
|
91.891 |
|
2016M12 |
76.9467 |
278.135 |
|
126.7034 |
|
97.1966 |
|
2017M3 |
79.1532 |
286.1107 |
|
130.3367 |
|
99.9838 |
|
2017M6 |
82.8075 |
299.3194 |
|
136.3539 |
|
104.5997 |
|
2017M9 |
87.7598 |
317.2206 |
|
144.5087 |
|
110.8554 |
|
2017M12 |
86.9335 |
314.2336 |
|
143.148 |
|
109.8116 |
|
2018M3 |
90.109 |
325.7119 |
|
148.3769 |
|
113.8227 |
|
2018M6 |
96.4944 |
348.7928 |
|
158.8913 |
|
121.8885 |
|
2018M9 |
82.6285 |
298.6726 |
|
136.0592 |
|
104.3736 |
|
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