inflation Archives - Page 27 of 69 - SAS Risk Data and Analytics

ABOUT THE AUTHOR

Donald R. Van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don’s focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.

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SAS Weekly Forecast, November 25, 2022: U.S. Treasury Forward Rates Flatten Out

Nov 27, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%

Nov 20, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 10, 2022: Treasury Yields Plunge But Peak in Forward Rates Drops Just 0.09% to 5.51%

Nov 13, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.51%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 21, 2022: Treasury 1-Month Forward Rate Peak Jumps 0.41% to 5.66%

Oct 23, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.66%, up 41 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 7, 2022: Near-term Forward Rate Peak up 0.31% to 4.84%

Oct 9, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The near-term forward 1-month U.S. Treasury yield now peaks at 4.84%, up 31 basis points from last week. As explained in Prof....

SAS Weekly Forecast, September 30, 2022: Market Rate Expectations Step Up

Oct 2, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

Using daily Treasury data from 1962, this week’s simulation shows a step up in market expectations gleaned from a rational...

SAS Weekly Forecast, September 16, 2022: Peak in 1-month Forward Treasury Rates Falls 0.09% to 4.89%

Sep 18, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The forward 1-month U.S. Treasury yield now peaks at 4.89%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, September 9, 2022: Peak in 1-month Forward Treasury Rates Steadies at 4.98%

Sep 11, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The forward 1-month U.S. Treasury yield now peaks at 4.98%, up 3 basis points from last week. As explained in Prof. Robert...

Kamakura Weekly Forecast, September 2, 2022: Peak in 1-month Forward Treasury Rates Climbs to 4.95%

Sep 4, 2022 | Donald R. Van Deventer, Ph.D.

Treasury yields moved surprisingly little on the day of Chairman Powell’s Jackson Hole comments, but on reflection early last...

Kamakura Weekly Forecast, August 26, 2022: Lawyer Jerome Powell versus 15,154 Days of Treasury Yields

Aug 28, 2022 | Donald R. Van Deventer, Ph.D.

Reformed lawyer Jerome Powell argued in Jackson Hole that market participants are underestimating the Fed’s determination to...

Kamakura Weekly Forecast, August 19, 2022: Negative 2-year/10-year Spread, Trading Day 33

Aug 21, 2022 | Donald R. Van Deventer, Ph.D.

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The negative 2-year/10-year Treasury spread...

Kamakura Weekly Forecast, August 12, 2022: Negative 2-year/10-year Spread, Trading Day 28

Aug 13, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had a month to adjust to...