The resolution of the Treasury debt cap crisis has resulted in a significant downward shift in the U.S. Treasury forward rate...
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The Importance of Making the Complex Simple
NEW YORK, June 2, 2023: In his 1989 book “One Up On Wall Street,” Peter Lynch has some prescient advice for today’s investors:...
SAS Weekly Forecast, May 26, 2023: Inverted Yield Streak Now Third Longest Since 1976
As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 225 days, the third...
SAS Weekly Forecast, May 19, 2023: Inverted Yield Streak Tied for Third Longest Since 1976
As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 220 days, tied with...
SAS Weekly Forecast, May 12, 2023: Steep Decline In 1-Month Forward Treasury Rates Imminent
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show a sharp drop in the near term, especially...
SAS Weekly Forecast, May 5, 2023: Long-term 1-Month Forward Rate Peak Drops 0.22%
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show much less volatility this week. A sharp...
Banking Turbulence: The More Things Change, The More They Stay the Same
Banking Turbulence: The More Things Change, The More They Stay the Same NEW YORK,May 1, 2023: In a review published April 28,...
SAS Weekly Forecast, April 28, 2023: Treasury Debt Cap Distortion Moderates
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 21, 2023: Measuring Treasury Debt Cap Distortion
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through March 31, 2023
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
SAS Weekly Forecast, April 14, 2023: Two Years of Short-term Treasury Volatility
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 7, 2023: Inverted Yield Curve Now in Day 190
If the Treasury 2-year/10-year spread continues to be negative for another month, this bout of negative spreads will become the...