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On Tue, 11 Nov 1997 12:04:25 -0600 craig kelley writes:
Ronald; would you please be kind enough to simply state what this is? it
looks like a very interesting indicator. sorry to be so dence, thanks
alot, craig kelley
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Apologies to everyone who was bewildered by what might have looked like a
long list of meaningless numbers. I had been exploring the relationship
between interest rates and the S&P 500. The numbers I had posted were the
result of exploring a relationship between changes in the weekly closing
price of the S&P 500 and the weekly changes of the tbill yield. I wanted
to see if a profitable timing system for trading mutual funds would be
feasible. The premise was the importance of being aware of aspects of the
investing environment that would impact on trading results. An article in
the recent issue of BLoomberg mag. mentions "the difference between the
yields on 10-year treasury bonds and 3-month tbills, known as the curve's
slope, reflects the market's perception of the state of the economy."
William Wilson,vice president and economist at Comerica Bank in detroit
goes on to say "When T-bill yields have exceeded bond yields, there has
always been a recession, and there has never been a false recession
signal."
Ron McEwan
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