Yield curve control что это

Обновлено: 03.07.2024

If you invest in stocks, you should keep an eye on the bond market. If you invest in real estate, you should keep an eye on the bond market. If you invest in bonds or bond ETFs, you definitely should keep an eye on the bond market.

The bond market is a great predictor of inflation and the direction of the economy, both of which directly affect the prices of everything from stocks and real estate to household appliances and food.

A basic understanding of short-term vs. long-term interest rates and the yield curve can help you make a broad range of financial and investing decisions.

Advantages and Disadvantages of YCC vs. QE

Yield Curve

A yield curve is a line that plots yields (interest rates) of bonds having equal credit quality but differing maturity dates. The slope of the yield curve gives an idea of future interest rate changes and economic activity.

There are three main shapes of yield curve shapes: normal (upward sloping curve), inverted (downward sloping curve), and flat.

Key Takeaways

Yield curves plot interest rates of bonds of equal credit and different maturities.
The three key types of yield curves include normal, inverted, and flat. Upward sloping (also known as normal yield curves) is where longer-term bonds have higher yields than short-term ones.
While normal curves point to economic expansion, downward sloping (inverted) curves point to economic recession.
Yield curve rates are published on the Treasury’s website each trading day.

Yield Curve

Using the Yield Curve to Invest

Interpreting the slope of the yield curve is useful in making top-down investment decisions. for a variety of investments.

If you invest in stocks and the yield curve says to expect an economic slowdown over the next couple of years, you might consider moving your money to companies that perform well in slow economic times, such as consumer staples. If the yield curve says that interest rates should increase over the next couple of years, investment in cyclical companies such as luxury-goods makers and entertainment companies makes sense.

Real estate investors can also use the yield curve. While a slowdown in economic activity might have negative effects on current real estate prices, a dramatic steepening of the yield curve, indicating an expectation of inflation, might be interpreted to mean prices will increase in the near future.

If the yield curve is flattening, it raises fears of high inflation and recession. Smart investors tend to take short positions in short-term securities and exchange-traded funds (ETFs) and go long on long-term securities.

Examples of YCC Programs

More recently, the Bank of Japan (BoJ) shifted in late 2016 from a policy of QE to one of YCC, in which it sought to peg the yield on 10-year Japanese Government Bonds (JGBs) at 0%, in a effort to stimulate Japan's economy. Whenever the market yields on JGBs rise above the target range, the BoJ purchases bonds to push the yield back down. So far, the BoJ has been purchasing bonds at a slower pace than under QE.

Short-Term vs. Long-Term

Bonds come with a variety of maturity periods from as little as one month to 30 years. Normally, the longer the term is the better the interest rate should be. So, when speaking of interest rates (or yields), it is important to understand that there are short-term interest rates, long-term interest rates, and many points in between.

Understanding the current relationships between long-term and short-term interest rates (and all points in between) will help you make educated investment decisions.

Short-Term Interest Rates

The benchmarks for short-term interest rates are set by each nation's central bank. In the U.S., the Federal Reserve Board's Open Market Committee (FOMC) sets the federal funds rate, the benchmark for all other short-term interest rates.

The FOMC raises or lowers the fed funds rate periodically in order to encourage or discourage borrowing by businesses and consumers. Its goal is to keep the economy on an even keel, not too hot and not too cold.

Borrowing activity overall has a direct effect on the economy. If the FOMC finds that economic activity is slowing, it might lower the fed funds rate to increase borrowing and stimulate the economy. However, it is also concerned with inflation. If it holds short-term interest rates too low for too long, it risks igniting inflation.

Long-Term Interest Rates

Long-term interest rates are determined by market forces. Primarily these forces are at work in the bond market.

If the bond market senses that the federal funds rate is too low, expectations of future inflation will rise. Long-term interest rates will go up to compensate for the perceived loss of purchasing power associated with the future cash flow of a bond or a loan.

On the other hand, if the market believes that the federal funds rate is too high, the opposite happens. Long-term interest rates decrease because the market believes interest rates will go down in the future.

Interest Rates and Bond Yields

The terms interest rates and bond yields are sometimes used interchangeably but there is a difference.

An interest rate is the percentage that must be paid to borrow money. You pay interest to borrow money and earn interest to lend money when you invest in a bond or save money in a CD.

Key Takeaways

Most bonds have an interest rate that determines their coupon payments, but the true cost of borrowing or investing in bonds is determined by their current yields.

A bond's yield is the discount rate that can be used to make the present value of all of a bond's cash flows equal to its price. A bond's price is the sum of the present value of all cash flow that will ever be received from the investment.

The return from a bond is commonly measured as yield to maturity (YTM). That's the total annualized return that the investor will receive assuming that the bond is held until it matures and the coupon payments are reinvested.

YTM thus provides a standard annualized measure of return for a particular bond.

How YCC and QE Differ

Through quantitative easing (QE) designed to combat the 2008 financial crisis and Great Recession, the Fed injected liquidity into the financial system through massive purchases of bonds on the open market. This bid up the prices of bonds, thus reducing longer-term interest rates and borrowing costs.

However, during the financial crisis, the Fed was not seeking to set a specific long-term interest rate. By contrast, under yield curve control, the Fed would set a specific long-term interest rate target and buy as many bonds as necessary to achieve it. YCC would set a specific price for the bonds in terms of their yield.

Inverted Yield Curve

The shape of the inverted yield curve, shown on the yellow line, is opposite to that of a normal yield curve. It slopes downward.

An inverted yield curve means that short-term interest rates exceed long-term rates.

A two-year bond might offer a yield of 5%, a five-year bond a yield of 4.5%, a 10-year bond a yield of 4%, and a 15-year bond a yield of 3.5%.

An inverted yield curve is rare but is strongly suggestive of a severe economic slowdown. Historically, the impact of an inverted yield curve has been to warn that a recession is coming.

Types of Yield Curves

There are several distinct formations of yield curves: normal (with a "steep" variation), inverted, and flat. All are shown in the graph below.

Image by Sabrina Jiang © Investopedia 2020

A Normal Yield Curve

As the orange line in the graph above indicates, a normal yield curve starts with low yields for lower maturity bonds and then increases for bonds with higher maturity. A normal yield curve slopes upwards. Once bonds reach the highest maturities, the yield flattens and remains consistent.

This is the most common type of yield curve. Longer maturity bonds usually have a higher yield to maturity than shorter-term bonds.

For example, assume a two-year bond offers a yield of 1%, a five-year bond offers a yield of 1.8%, a 10-year bond offers a yield of 2.5%, a 15-year bond offers a yield of 3.0%, and a 20-year bond offers a yield of 3.5%. When these points are connected on a graph, they exhibit a shape of a normal yield curve.

Such a yield curve implies stable economic conditions and should prevail throughout a normal economic cycle.

Steep Yield Curve

The blue line in the graph shows a steep yield curve. It is shaped like a normal yield curve with two major differences. First, the higher maturity yields don’t flatten out at the right but continue to rise. Second, the yields are usually higher compared to the normal curve across all maturities.

Such a curve implies a growing economy moving towards a positive upturn. Such conditions are accompanied by higher inflation, which often results in higher interest rates.

Lenders tend to demand high yields, which get reflected by the steep yield curve. Longer-duration bonds become risky, so the expected yields are higher.

Flat Yield Curve

A flat yield curve, also called a humped yield curve, shows similar yields across all maturities. A few intermediate maturities may have slightly higher yields, which causes a slight hump to appear along the flat curve. These humps are usually for the mid-term maturities, six months to two years.

As the word flat suggests, there is little difference in yield to maturity among shorter and longer-term bonds. A two-year bond could offer a yield of 6%, a five-year bond 6.1%, a 10-year bond 6%, and a 20-year bond 6.05%.

Such a flat or humped yield curve implies an uncertain economic situation. It may come at the end of a high economic growth period that is leading to inflation and fears of a slowdown. It might appear at times when the central bank is expected to increase interest rates.

In times of high uncertainty, investors demand similar yields across all maturities.

What is Yield Curve Control?

Yield curve control (YCC) involves targeting a longer-term interest rate by a central bank, then buying or selling as many bonds as necessary to hit that rate target. This approach is dramatically different from the Federal Reserve's typical way of managing U.S. economic growth and inflation, which is by setting a key short-term interest rate, the federal funds rate.

Advocates of yield curve control, also called YCC, argue that, as short-term interest rates approach zero, keeping longer-term rates down may become an increasingly more effective policy alternative for stimulating the economy. Also, this approach could help prevent a recession or lessen the impact of a downturn. Richard Clarida and Lael Brainard, current members of the Board of Governors at the Fed, as well as former Fed chairs Ben Bernanke and Janet Yellen have said that the Fed should consider using yield curve control. Jerome Powell, the current Fed chair, also has said that he is potentially open to this policy option.

Key Takeaways

Yield Curve Control (YCC) by the Fed would target specific long-term rates levels.
It sharply differs from quantitative easing (QE) in its approach.
YCC may be needed for economic stimulus as short-term rates near zero.
Former Fed chairs Bernanke and Yellen support the use of YCC.

Что такое «кривая доходности» и с чем ее едят

В последние годы мировые Центробанки активно рулят финансовыми рынками в глобальном масштабе, повышая или понижая учетные ставки, служащие мерилом стоимости денег. Реакция на такое ручное управление глобальными и национальными финансами наблюдается в различных сегментах рынков и, прежде всего, в облигациях.

Периодически в различных обзорах в качестве индикатора состояния долгового рынка всплывает такое понятие как «кривая доходности» облигаций. Особенно актуальным этот термин стал в последнее время в свете ужесточения монетарной политики ФРС.

Что такое кривая доходности

В общем случае кривая доходности (yield curve) представляет собой графическое отображение соотношения между доходностями разных выпусков облигаций одного эмитента в зависимости от срока погашения. По оси абсцисс — срок погашения бумаги, по оси ординат — соответствующая этому сроку доходность.

Классическим индикатором является кривая доходности государственных бондов США — Treasuries.

Нормальной считается возрастающая кривая: чем «длиннее» бонды, тем выше риски, а значит и доходности.

Тут могут быть и исключения в зависимости от состояния экономики (для бенчмарков) или кредитоспособности отдельного эмитента. Поэтому встречаются плоские, куполообразные или даже перевернутые варианты кривой.

Для чего нужна кривая доходности

• Кривые доходности для бумаг корпоративных эмитентов позволяют анализировать риски компаний. Возможен поиск рыночной неэффективности, а значит и идей для трейдинга.

• Кривая доходности Treasuries и других гособлигаций являются неплохим рыночным бенчмарком и позволяют оценить ситуацию в экономике страны в целом и ее дальнейшие перспективы. Так, чем более плоской становится кривая гособлигаций США, тем сильнее замедляется ее экономика. А перевернутая кривая (когда доходность длинных облигаций меньше, чем коротких) может быть признаком надвигающейся рецессии в Штатах.

Тут все просто. Чем меньше разница между «длинными» и «короткими» выпусками, тем более сглаженной является кривая. Доходности «длинных» бумаг зависят от инфляции и падают при ослаблении экономики. Тем временем, «короткие» доходности больше подвержены влиянию изменения ключевой ставки ФРС, а ведь именно увеличение ставок способно привести к ослаблению экономики. Помимо этого, в силу низких значений доходностей «коротких» выпусков их колебания в процентных пунктах не так сильны.

• Балансы большинства американских банков (соотношение между активами и обязательствами) устроены так, что более крутая кривая доходности Treasuries выгодно сказывается на их процентной марже, а значит и на доходах.

Именно поэтому рост ставок ФРС в теории считается выгодным для финансовых учреждений США. На практике, банки не всегда спешат перекладывать рост ставок на потребителей, трезво оценивая спрос на кредиты. Тем не менее, налицо индикатор настроений, влияющий на динамику банковских акций.

Немного практики

Рассмотрим изменение кривой доходности Treasuries за последние месяцы. На графике сопоставлены текущие кривые (на 14.09.2017) и кривые на начало 2017 года. Сверху — номинальный показатель, снизу — реальный, то есть за вычетом инфляции.

Оба графика сейчас стали более плоскими. Сглаживание номинального показателя может быть обусловлено ослаблением инфляции в США. Реальный указывает на ухудшение состояния экономики в целом, а также на определенное снижение ожиданий относительно монетарного ужесточения ФРС.

Более экзотический вариант: в начале сентября 2017 года инвесторы опасались возможности технического дефолта по коротким госбумагам, истекающим в начале октября. Надвигались острые переговоры по вопросам государственного бюджета, а значит, и по потолку долга США.

Был обозначен дедлайн для принятия решения — 30 сентября. Формально после этого «кэш» у госаппарата должен был закончиться. Это хорошо видно по «куполообразной» кривой доходности самых краткосрочных (до 3 мес.) долгов — T-Bills, на которой доходности октябрьских выпусков резко взлетели. После снятия вопроса по продлению долга кривая нормализовалась («купол» исчез).

Оксана Холоденко,
эксперт по международным рынкам БКС Экспресс

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How a Yield Curve Works

This yield curve is used as a benchmark for other debt in the market, such as mortgage rates or bank lending rates, and it is used to predict changes in economic output and growth. The most frequently reported yield curve compares the three-month, two-year, five-year, 10-year, and 30-year U.S. Treasury debt. Yield curve rates are usually available at the Treasury's interest rate websites by 6:00 p.m. ET each trading day.

A normal yield curve is one in which longer maturity bonds have a higher yield compared to shorter-term bonds due to the risks associated with time. An inverted yield curve is one in which the shorter-term yields are higher than the longer-term yields, which can be a sign of an upcoming recession. In a flat or humped yield curve, the shorter- and longer-term yields are very close to each other, which is also a predictor of an economic transition.

Historical Yield Curve Accuracy

Yield curves change shape as the economic situation evolves, based on developments in many macroeconomic factors like interest rates, inflation, industrial output, GDP figures, and the balance of trade.

Normal curves exist for long durations, while an inverted yield curve is rare and may not show up for decades. Yield curves that change to flat and steep shapes are more frequent and have reliably preceded the expected economic cycles.

For example, the October 2007 yield curve flattened out, and a global recession followed. In late 2008, the curve became steep, which accurately indicated a growth phase of the economy following the Fed’s easing of the money supply.

Types of Yield Curve

Normal Yield Curve

A normal or up-sloped yield curve indicates yields on longer-term bonds may continue to rise, responding to periods of economic expansion. A normal yield curve thus starts with low yields for shorter-maturity bonds and then increases for bonds with longer maturity, sloping upwards. This is the most common type of yield curve as longer-maturity bonds usually have a higher yield to maturity than shorter-term bonds.

A normal yield curve implies stable economic conditions and should prevail throughout a normal economic cycle. A steep yield curve implies strong economic growth in the future—conditions that are often accompanied by higher inflation, which can result in higher interest rates.

Inverted Yield Curve

An inverted yield curve instead slopes downward and means that short-term interest rates exceed long-term rates. Such a yield curve corresponds to periods of economic recession, where investors expect yields on longer-maturity bonds to become even lower in the future. Moreover, in an economic downturn, investors seeking safe investments tend to purchase these longer-dated bonds over short-dated bonds, bidding up the price of longer bonds driving down their yield.

An inverted yield curve is rare but is strongly suggestive of a severe economic slowdown. Historically, the impact of an inverted yield curve has been to warn that a recession is coming.

Flat Yield Curve

A flat yield curve is defined by similar yields across all maturities. A few intermediate maturities may have slightly higher yields, which causes a slight hump to appear along the flat curve. These humps are usually for the mid-term maturities, six months to two years.

In times of high uncertainty, investors demand similar yields across all maturities.

Reading the Yield Curve

The term "yield curve" refers to the yields of U.S.Treasury bills, notes, and bonds in order, from shortest maturity to the longest maturity. The yield curve describes the shapes of the term structures of interest rates and their respective times to maturity in years.

The curve can be displayed graphically, with the time to maturity located on the x-axis and the yield to maturity located on the y-axis of the graph.

For example, treasury.gov displayed the following yield curve for U.S. Treasury securities on Dec. 11. 2015:

Yield Curve for U.S. Treasury Securities

The above yield curve shows that yields are lower for shorter maturity bonds and increase steadily as bonds become more mature.

The shorter the maturity, the more closely we can expect yields to move in lock-step with the fed funds rate. Looking at points farther out on the yield curve gives a better sense of the market consensus about future economic activity and interest rates.

Below is an example of the yield curve from January 2008.

U.S. Treasuries

Bills	Maturity Date	Discount/Yield	Discount/Yield Change
3-Month	04/03/2008	3.12/3.20	0.03/-0.027
6-Month	07/03/2008	3.10/3.21	0.06/-0.074

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