This week’s twist in the U.S. Treasury 1-month forward rate curve reveals an important stepping stone toward normal yields. The...
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SAS Weekly Euro Zone Forecast, August 25, 2023: End of Inverted Bund Yields Delayed
Summary The Bund 2-year/10-year spread widened to a negative 47.8 basis points from negative 42.2 basis points last week As a...
SAS Weekly Forecast, August 25, 2023: A Longer Wait for Positive Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 287 trading days, 9 trading days longer than the third...
SAS Weekly Euro Zone Forecast, August 18, 2023: Peak in Bund 1-Month Forward Rates Drops to 3.52%
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 18, 2023: Short and Long-term Forward Rate Peaks Just 4 Basis Points Apart
The streak of negative 2-year/10-year Treasury spreads has now reached 282 trading days, 4 trading days longer than the third...
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...