NEW YORK, April 3, 2023: Last year Guggenheim CIO Scott Minerd said in his analysis of the Federal Reserve: “They are going to...
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SAS Weekly Forecast, March 31, 2023: Long-run Peak in Treasury Forward Rates Drops 11 Basis Points
We show below that the long-run peak in U.S. 1-month forward rates dropped this week from 4.85% to 4.74%. The probability that...
SAS Weekly Forecast, March 24, 2023: Calculating the Default Risk of Interest Rate Mismatches
The weekly interest rate simulation now includes an assessment of the probability of default when a bank, institutional...
SAS Weekly Forecast, March 17, 2023: Silicon Valley Bank Treasury Shock Persists
Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
SAS Weekly Forecast, March 10, 2023: Silicon Valley Bank Flight to Safety Edition
Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon...
Interest Rate Risk: Job Insecurity is Back
Donald R. van Deventer March 9, 2023 One of Warren Buffett’s most famous quotes goes like this: “Only when the tide goes out do...
SAS Weekly Forecast, March 3, 2023: One-Month Treasury Forward Rate Spikes to 5.42%
Today’s analysis shows that the one-month forward U.S. Treasury yield hits a near-term peak of 5.42%. As explained in Prof....
Politics Meet Economics
Politics Meet Economics NEW YORK, March 2, 2023: February 24 marked the one-year anniversary of the war between Russia and...
SAS Weekly Forecast, February 24, 2023: 2-year/10-year Treasury Negative Spread at Day 160
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks almost certain to continue into 2024. As...
An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
SAS Weekly Forecast, February 17, 2023: 2-year/10-year Treasury Negative Spread Won’t End Soon
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks likely to persist well into fall, 2023 and...
SAS Weekly Forecast, February 10, 2023: Length of Treasury Inversion Fourth Longest Since 1976
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread has now persisted for 151 days, the fourth longest...