Summary The probability of a quick end to inverted Bund yields dropped substantially this week as the current negative...
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SAS Weekly Euro Zone Forecast, September 8, 2023: Short-term and Long-term Forward Rate Peaks 2 Basis Points Apart
Summary 28-day Bund forward rate peaks in the short-term (3.63%) and long-term (3.61%) moved closer together this week. This...
SAS Weekly Euro Zone Forecast, September 1, 2023: Short-term and Long-term Forward Rate Peaks Converging
Summary 28-day Bund forward rate peaks in the short-term (3.67%) and long-term (3.59%) moved closer together this week. This...
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 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 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 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 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 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 Euro Zone Forecast, June 30, 2023: Inverted Bund Yields Very Likely to Continue Well Into 2024
This week’s simulation shows that the current negative 2-year/10-year Bund yield spread currently a negative 86.2 bsis points,...
SAS Weekly Euro Zone Forecast, June 23, 2023: Inverted Bund Yields Likely to Persist into 2024
This week’s simulation shows that the current negative 2-year/10-year Bund yield spread is very likely to persist at least...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through December 31, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...