SCHO - Comments On Using Regression Models On Treasury Yields
Ernie Tedeschi recently published "Deficits are Raising Interest Rates. But Other Factors are Lowering Them.", in which he discusses the results of some regression models that attempt to model the 10-year Treasury yield based on a number of factors, including fiscal deficits or debt. His work is a well-documented return to a genre of models that are (or at least were) popular among economists. I have always had reservations about this class of models, which I will outline here.
Introduction
Tedeschi's article is well-documented and straightforward, and should be easy to replicate with