(The par curve is important as the yields on bonds selling at par are likely to be more representative of the underlying term discounting rates implicit in the market. Bonds selling at a substantial discount or premium to par are often subject to special forces which distort their prices. )
如果是对的话，那么利率曲线的形状应该是有时正向有时成反向。那为什么我们一般观察到的利率曲线 90% 的时候是正向的？ If pure expectation is true, then sometimes the yield curves will be upward sloping and sometimes downward sloping. But why 90% of the time the yield curve is upward sloping.
如果是对的话，那么远期利率能准确的预测未来利率。可能吗？ If pure expectation is true, then forward rate is the perfect predictor of future interest rate. If this is the case, then holding any maturity of bonds is irrelevant. No risk!
曲线必须平行来对冲负持有 For the trade to make money, capital gains caused by future flattening of the spot curve must offset the negative carry.
信贷利差 Yield Spread Strategy – Credit Spread Treasuries Current non-treasury Expected non-treasury Spread between treasuries and non-treasuries tends to widen when economy is heading to recession. This is because non-treasury companies are likely to suffer credit downgrade in downturn.