代写ECON426留学生、代做Monetary Economics、代写Python编程语言

日期：2020-02-27 10:21

University of Illinois at Urbana-Champaign

Department of Economics

Aram Grigoryan

Project 1, ECON426 - Monetary Economics1

Sun March 1st

1. (25 percent) Go to Fred database and download the following series for the past 10 years: Real Personal

Consumption Expenditures(Q, SA) , Real Gross Private Domestic Investment (Q, SA). Calculate the

growth rates for the both series. compare the calculated growth rates to the logarithm of ratio2

. What

are the time points where the difference is high? Explain why.

2. (25 percent) Download the weekly data on treasury bond yields (one option is treasury.gov) for 2020.

plot the evolution of the yield for the 3 month and 30 year bonds over time using python. Plot the

most recent yield curve.

3. (25 percent) Consider investing money with [yearly]interest rate of 10%. If you get interest payment

only once in the end of the year, unit investment will yield you 1.1. If you had the option of splitting

the interest rate to 10/2 % = 5% and receive interest payments twice a year, then you’ll get 1.052>1.1.

Splitting that further to n times and receiving 10

n % interest rate will make your unit investment pay

back more and more through the year. Plot the interest payments as a function of n, that is, the

sequence 1.1, then 1.052

, etc till 24 times per period(that is, you get the interest payment twice a

month). Compare that to the continuous compounding rate, e

i

.

4. (25 percent) During the class we established the fact that interest rates(discount rates) are negatively

affecting the PV. Afterwards, we concluded that if an investor is interested in getting a certain yield

from an investment, she can calculate the fair price for the bond by discounting the future inflows by

that yield. If the market price (which will be a proxy for average expected yield) is lower, then the

investor will buy the bond. Imagine a scenario of the following investing decision: buy a treasury bond

with face value of $1000 and $100 coupons for 30 years that sells for $1280, or a treasury note with

similar face value that has 10 years of maturity, issues $70 coupons every year and is selling for $1000.

Calculate the YTM and the MaCaulay duration for both using python. Which one will you pick?

1This project requires some basic programming skills that will be discussed on during the class.

2

i.e. compare xt?xt?1

xt?1

to ln

xt

xt?1



.

1