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Analysis

The document contains several line graphs showing trends in AAA, BAA, TBILLS, FEDFUNDS, and other economic indicators from 2000 to 2025. It also includes tables with summary statistics and correlation coefficients for the time series data. Regression results are presented for models of y_h, v, and SPt using lags and other predictors.

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Minza Jahangir
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25 views

Analysis

The document contains several line graphs showing trends in AAA, BAA, TBILLS, FEDFUNDS, and other economic indicators from 2000 to 2025. It also includes tables with summary statistics and correlation coefficients for the time series data. Regression results are presented for models of y_h, v, and SPt using lags and other predictors.

Uploaded by

Minza Jahangir
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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10.

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8.00
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0.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025


Monthly

AAA BAA
FEDFUNDS TBILLS
8.00
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AAA
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2.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025


Monthly
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BAA
6.00 4.00
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1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025


Monthly
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TBILLS
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FEDFUNDS
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Monthly
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lindpro cyclical component from hp filter SPt


. summarize

Variable Obs Mean Std. Dev. Min Max

AAA 270 4.68737 1.255997 2.14 7.65


TBILLS 270 1.432037 1.644703 .01 6.17
BAA 270 5.724481 1.373489 3.16 9.21
FFR 270 1.548222 1.770616 .05 6.54
month_year 270 620.5 78.08649 486 755

. correl AAA TBILLS BAA FFR


(obs=270)

AAA TBILLS BAA FFR

AAA 1.0000
TBILLS 0.5692 1.0000
BAA 0.9551 0.4613 1.0000
FFR 0.5905 0.9909 0.4848 1.0000

Part b
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lindpro
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lindpro
lindpro cyclical component from hp filter
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month_year

lindpro
lindpro trend component from hp filter
. regress y_h y_1 y_2 y_3

Source SS df MS Number of obs = 1245


F( 3, 1241) = 1709.75
Model 11219.0535 3 3739.6845 Prob > F = 0.0000
Residual 2714.40522 1241 2.18727254 R-squared = 0.8052
Adj R-squared = 0.8047
Total 13933.4587 1244 11.2005295 Root MSE = 1.4789

y_h Coef. Std. Err. t P>|t| [95% Conf. Interval]

y_1 1.261138 .0283754 44.44 0.000 1.205469 1.316807


y_2 -.4543541 .0437913 -10.38 0.000 -.5402672 -.3684409
y_3 .0002237 .0282685 0.01 0.994 -.0552356 .0556829
_cons .0045668 .0419149 0.11 0.913 -.0776651 .0867987

. regress v y_h y_1 y_2 y_3

Source SS df MS Number of obs = 1245


F( 4, 1240) = .
Model 2714.40522 4 678.601305 Prob > F = .
Residual 0 1240 0 R-squared = 1.0000
Adj R-squared = 1.0000
Total 2714.40522 1244 2.18199777 Root MSE = 0

v Coef. Std. Err. t P>|t| [95% Conf. Interval]

y_h 1 . . . . .
y_1 -1.261138 . . . . .
y_2 .4543541 . . . . .
y_3 -.0002237 . . . . .
_cons -.0045668 . . . . .
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lindpro cyclical component from hp filter SPt


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2018m1 2019m1 2020m1 2021m1


month_year

SPt y_2
Variable Obs Mean Std. Dev. Min Max

CPIAUCSL 916 117.3892 83.37568 21.48 302.918


Inflation 915 .2892175 .3433511 -1.786409 1.945243

. regress SPt y_h D2007 FFR Inflation

Source SS df MS Number of obs = 270


F( 4, 265) = 114.34
Model 28.7634293 4 7.19085733 Prob > F = 0.0000
Residual 16.6661168 265 .062891007 R-squared = 0.6331
Adj R-squared = 0.6276
Total 45.4295461 269 .168883071 Root MSE = .25078

SPt Coef. Std. Err. t P>|t| [95% Conf. Interval]

y_h -.0645566 .009456 -6.83 0.000 -.0831751 -.0459381


D2007 1.063878 .0599343 17.75 0.000 .9458703 1.181886
FFR -.0292931 .0087343 -3.35 0.001 -.0464906 -.0120957
Inflation -.286913 .0495626 -5.79 0.000 -.3844995 -.1893264
_cons 1.06606 .0229747 46.40 0.000 1.020824 1.111296
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lindpro cyclical component from hp filter SPt


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1920m1 1940m1 1960m1 1980m1 2000m1 2020m1


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lindpro cyclical component from hp filter SPt

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