In this study seventeen various relationships between yields of three-month, six-month, and twelve-month maturity negotiable CD's and U.S. Government T-Bills were analyzed to find a leading indicator of short-term interest rates. Each of the seventeen relationships was tested for correlation with actual three-, six-, and twelve-month yields from zero to twenty-six weeks in the future. Only one relationship was found to be significant as a leading indicator. This was the twelve-month yield minus the six-month yield adjusted for scale and accumulated where the result was positive. This indicator (variable nineteen in the study) was further tested for usefulness as a trend indicator by transforming it into a function consisting of +1 (when its slope was positive), 0 (when its slope was zero), and -1 (when its slope was negative). Stage II of the study consisted of constructing a computer-aided model employing variable nineteen as a forecasting device. The model accepts a week-by-week minimum cash balance forecast, and the past thirteen weeks' yields of three-, six-, and twelve-month CD's as input. The output of the model consists of a cash time availability schedule, a numerical listing of variable nineteen values, the thirteen-week history of three-, six-, and twelve-month CD yields, a plot of variable nineteen for the next thirteen weeks, and a suggested investment strategy for cash available for investment in the current period.
| Identifer | oai:union.ndltd.org:unt.edu/info:ark/67531/metadc500736 |
| Date | 08 1900 |
| Creators | McWilliams, Donald B., 1936- |
| Contributors | Guynes, C. Stephen (Carl Stephen), Christy, George A., Scott, Dan W. |
| Publisher | North Texas State University |
| Source Sets | University of North Texas |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | vi, 160 leaves: ill., Text |
| Rights | Public, McWilliams, Donald B., 1936-, Copyright, Copyright is held by the author, unless otherwise noted. All rights reserved. |
Page generated in 0.0024 seconds