The streak of negative 2-year/10-year Treasury spreads has now reached 282 trading days, 4 trading days longer than the third...
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SAS Weekly Euro Zone Forecast, August 11, 2023: 32.8% Probability that Negative 2-year/10-year Bund Spread Ends by February
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, August 11, 2023: 1 Day from Second Longest Streak of Negative 2-Year/10-Year Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 277 trading days, 1 trading day from the second longest...
SAS Weekly Euro Zone Forecast, August 4, 2023: 20.4% Probability that Negative 2-year/10-year Bund Spread Ends by February
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, August 4, 2023: Long-run Peak In Treasury 1-Month Forward Rates Up 0.20% to 5.28%
The current Treasury yield curve implies a long-run peak of 1-month Treasury forward rates at 5.28%, up 0.20% from last week....
SAS Weekly Euro Zone Forecast, July 28, 2023: Declining Bund Short Rates to Follow a Near-Term Peak
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
SAS Weekly Forecast, July 28, 2023: Long-run Peak In Treasury 1-Month Forward Rates Jumps 0.15% to 5.08%
The current Treasury yield curve implies a long-run peak of 1-month Treasury forward rates at 5.08%, up 0.15% from last week....
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through June 30, 2023
Abstract The size of the term premium embedded in the current U.S. Treasury yield curve has been a major focus of research by...
SAS Weekly Forecast, July 21, 2023: Inverted Yield Streak 16 Days from Second Longest Since 1976
The streak of negative 2-year/10-year Treasury spreads has now reached 262 trading days, 16 trading days from the second longest...
SAS Weekly Forecast, July 14, 2023: Treasury Yield Declines Reverse Most of Prior Week’s Rise
This week’s U.S. Treasury yield curve shifts reversed most of the increase from the prior week. The long-term peak in 1-month...
SAS Weekly Euro Zone Forecast, July 7, 2023: Higher Bund Yields and a Narrowing 2-year/10-year Bund Yield Spread
This week’s 2-year/10-year Bund yield spread is a negative 66.5 basis points, compared to a negative 86.2 basis points last...
SAS Weekly Forecast, July 7, 2023: Long-term Peak in 1-Month Treasury Forwards Up 0.19%
This week’s shift in the U.S. Treasury yield curve moved the long-term peak in 1-month Treasury forward rates up 0.19% to 5.10%....