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When I look at what is supposed to predict 10-year Treasury bond interest rates at https://tsterm.com/DGS10 https://tsterm.com/DGS10 , I see a collection of ran
by Bostonian 4y ago
When I look at what is supposed to predict 10-year Treasury bond interest rates at https://tsterm.com/DGS10 https://tsterm.com/DGS10 , I see a collection of random ETFs and stocks that I very much doubt will predict interest rates going forward, even if they are well fit to the past.
- elephcastle 4y agoThe predictive factors are being continuously computed and updated. As of yesterday Wed close, the drivers New Zealand and United Kingdom mean that according to the computational engine, the US interest rate is being influenced by Europe and Asia-Pacific. Ross Stores is a discount store: it rallied strongly from the end of 2020 then got chipped down, so it could be considered as a proxy of inflation. Moderna is pharma that behaved in a way similar to Ross Stores in the year so far. For one it produces vaccines so it may be informative of the severity of pandemic; for a second it may be linked to money supply and inflation.
- Bostonian 4y agoThanks for the explanation. Have you run walk-forward tests to see if your models have predictive ability out of sample?