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....
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SAS Weekly Forecast, September 30, 2022: Market Rate Expectations Step Up
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 23, 2022: Peak in 1-month Forward Treasury Rates Falls 0.21% to 4.68% on Yield Curve Twist
The Federal Reserve’s 75 basis point increase resulted in a yield curve twist, with shorter term Treasury yields shifting up and...
SAS Weekly Forecast, September 16, 2022: Peak in 1-month Forward Treasury Rates Falls 0.09% to 4.89%
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%
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%
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
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
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
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had a month to adjust to...
Kamakura Weekly Forecast, August 5, 2022: 2-year 10-year Spread Negative for 23rd Trading Day in a Row
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had more than three weeks...
Kamakura Weekly Forecast, July 29, 2022: 2-year 10-year Spread Negative for 18th Trading Day in a Row
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had more than two weeks to...
Kamakura Weekly Forecast, July 15, 2022: 2-year 10-year Treasury Spread Negative 20 Basis Points
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Friday was the eighth day of inverted Treasury...