1. 1 Term Structure of Interest Rates Project One 2007

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5. 5 6 Month Treasury Bill- TB6MS

6. 6 10 Year Treasury Rate-GS10

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8. 8 Term=GS10–tb6ms, 1958.12 -2007.04

9. 9 6 Month Treasury Bill- TB6MS

10. 10 Analysis of term Is term stationary, i.e. are GS10 and TB6ms co- integrated? Is term stationary, i.e. are GS10 and TB6ms co- integrated? Is term normally distributed? Is term normally distributed? What is your best autoregressive model for term? What is your best autoregressive model for term? Estimate your best ARMA model for term through April 2006 and see how well a forecast from this model fits the next 12 months. Estimate your best ARMA model for term through April 2006 and see how well a forecast from this model fits the next 12 months. Re-estimate through April 2007 and forecast term for the remaining months of 2007 Re-estimate through April 2007 and forecast term for the remaining months of 2007

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12. 12 Forecast Within Sample: ‘06:05-07:04

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