interest rate forecast Archives - Page 21 of 66

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 17, 2023: Forward Treasury Peak Down 0.14%

Nov 19, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 17, 2024 is 72.6%,...

SAS Weekly Forecast, November 10, 2023: Negative Treasury Spreads for Longer

Nov 11, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 10, 2024 moved up...

SAS Weekly Forecast, November 3, 2023: Negative Treasury Spread Wavers

Nov 5, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 3, 2024 moved up to...

SAS Weekly Bund Yield Forecast, October 27, 2023: 48.7% Probability Inverted Yields End in April

Oct 30, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability of a quick end to inverted Bund yields rose slightly this week as the current negative 2-year/10-year...

SAS Weekly Forecast, October 27, 2023: Waiting for the End of Inverted Yields

Oct 29, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending April 26, 2024 is down...

SAS Weekly Bund Yield Forecast, October 20, 2023: 45.6% Chance Inverted Yields are Gone by April

Oct 23, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability of a quick end to inverted Bund yields bounced back up this week as the current negative 2-year/10-year...

SAS Weekly Forecast, October 20, 2023: The End of Inverted Yields is Near

Oct 22, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending April 19, 2024 is down...

SAS Weekly Bund Yield Forecast, October 13, 2023: Negative 2-Year/10-Year Spreads Remain Volatile

Oct 15, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The current negative 2-year/10-year yield spread widened to negative 40.9 basis points from negative 23.0 basis points...

SAS Weekly Forecast, October 13, 2023: Waiting for the Drop

Oct 14, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The long-term peak in 1-month forward Treasuries is now 5.97%, down 0.20% from last week but well above the near-term...

SAS Weekly Bund Yield Forecast, October 6, 2023: End of Inverted Yields by April is a Coin Flip

Oct 9, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The probability of a quick end to inverted Bund yields jumped up as the current negative 2-year/10-year yield spread...

SAS Weekly Forecast, October 6, 2023: This Inverted Yield Streak is Nearly Over

Oct 9, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The long-term peak in 1-month forward Treasuries is now 6.17%, well above the near-term peak at 5.61%. The simulated...

SAS Weekly Forecast, September 29, 2023: 1-Month Forward Treasuries Peak at 5.95%, Up 0.37%

Oct 2, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Summary The long-term peak in 1-month forward Treasuries is now 5.95%, well above the near-term peak at 5.54%. That is an...