7 ms·

I always wondered about the choice of 2 years, it's fascinating to learn that the original choice was 3 months. What motivated the change? Is 3 months so short

• H8crilA 2y ago
  It's not really clear which one is "objectively better" to look at. The tradeoffs are exactly those that you've listed. But you know, for a given point of time you can look at the entire yield curve - that's what I usually do. And when it comes to plotting you can plot both differences (it's easy to do in FRED, you can do many fun things with time series there).
• mhh__ 2y ago
  Kind of the other way around in some ways e.g. at very short end of the yield curve you are basically just trading the market expectation of what the Fed will do, +- credit and liquidity and so on, whereas further out things are way more complicated and reflect various risk premia and higher order sensitivity to rates, and so on.