Back in mid March we cited an article by Harley Bassman that noted the extreme complacency in the MOVE index. The MOVE index is the bond markets equivalent of the VIX. Mr. Bassman explained what he calls the “beta gamma volatility index”:
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The “Great Recession” that began in 2008 has had many nuances, some of which can only be seen in data with higher resolution than that provided by the BEA or NBER. Our day-by-day profile of consumer demand helps us understand triggering events while also making it clear that many recent changes in consumer behavior have begun to linger — much as the recession itself now appears to have done.
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