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昨晚的$LIBOR:$UST1M地分析可能有误，下面是今天俺blog的一位读者给的Feedback，供大家参考：
Your idea of LIBOR and UST3M Spread (also known as TED Spread) is conceptually correct. However, you may not be aware that the $LIBOR in StockCharts is NOT the LIBOR yield itself! It has the opposite correlation with the rate, just like the relationship between IEF and $TNX. So your $LIBOR:$UST1M ratio is misleading. Stockcharts has almost no chart to represent 3 months Treasury Bill. So I use BIL (an ETF) as a replacement. The ratio should be BIL:$LIBOR. Note that the ratio has been inversed in order to offset the bond price/yield relationship!
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狗仔卡
发表于 2008-10-7 04:50 PM
提升卡
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变色卡
发表于 2008-10-7 05:04 PM
:lol