Analyzing Federal Reserve Board Interest Rate Yield Curve Data With JMP®

[#1]

Author

Matthew Flynn, PhD, Director and Head of Machine Learning, Aetna

This presentation walks through retrieving current interest rate data from FederalReserve.gov, then explores the dramatic drop in short-term rates after the 2009 recession. We use JMP scripting to automate the process of retrieving publically available data history. Next we explore and transform the data in JMP to generate interactive visualization and analysis reports. Next we identify common factors within the yield curve data via Principal Components to identify parallel shifts, twists and butterfly effects. We then model the yield curve data via the Time Series and Nonlinear platforms to estimate polynomial and Nelson-Siegel-Svensson functions for forecast interest rates. In short, we demonstrate that JMP can be an attractive and powerful analysis platform for yield curve modeling.

[jmpbeginner]

very interesting read, thank you for sharing!  I'm curious how you used JSL to connect to a website (federalreserve.gov) and download the yield curve data? is this something you could share? thanks

[mattflynn]

Untill I can get the scripts and Journal posted on the File Exchange:  Here's the part that pulls the Interest Rate data from the Federal Reserve's web site:

dt = Open(  "http://www.federalreserve.gov/datadownload/Output.aspx?rel=H15&series=bf17364827e38702b42a58cf8eaa3f...",

  columns( Series Description = Numeric ),

  Import Settings(

  End Of Line( CRLF, CR, LF ),

  End Of Field( Comma ),

  Strip Quotes( 1 ),

  Use Apostrophe as Quotation Mark( 0 ),

  Scan Whole File( 1 ),

  Labels( 1 ),

  Column Names Start( 6 ),

  Data Starts( 7 ),

  Lines To Read( All ),

  Year Rule( "10-90" )

  )

);

Best regards,

-Matt

[jmpbeginner]

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