Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
| dc.creator | Zhou, W. -X. | |
| dc.creator | Sornette, D. | |
| dc.date | 2003-12-27 | |
| dc.date.accessioned | 2026-07-07T12:06:52Z | |
| dc.date.available | 2026-07-07T12:06:52Z | |
| dc.description | Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of ``antibubble'' describes the existence of a specific LPPL pattern that is thought to reflect collective herding effects. From the dependence of the parameters of the LPPL formula as a function of yield maturities and using lagged cross-correlation calculations between the S&P 500 and bond yields, we find strong evidence for the following causality: Stock Market $\to$ Fed Reserve (Federal funds rate) $\to$ short-term yields $\to$ long-term yields (as well as a direct and instantaneous influence of the stock market on the long-term yields). Our interpretation is that the FRB is ``causally slaved'' to the stock market (at least for the studied period), because the later is (taken as) a proxy for the present and future health of the economy. | |
| dc.description | 26 Elsevier Latex pages including 11 eps figures (color online) | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0312658 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0312658 | |
| dc.identifier | Physica A 337, 586-608 (2004). | |
| dc.identifier | doi:10.1016/j.physa.2004.02.009 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208779 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000 | |
| dc.type | text |