Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...
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SAS Weekly Forecast, August 11, 2023: 1 Day from Second Longest Streak of Negative 2-Year/10-Year Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 277 trading days, 1 trading day from the second longest...
SAS Weekly Forecast, July 28, 2023: Long-run Peak In Treasury 1-Month Forward Rates Jumps 0.15% to 5.08%
The current Treasury yield curve implies a long-run peak of 1-month Treasury forward rates at 5.08%, up 0.15% from last week....
SAS Weekly Forecast, June 30, 2023: Negative 2-Year/10-Year Treasury Spread At 106 Basis Points
This week’s shift in the U.S. Treasury yield drove the negative 2-year/10-year Treasury spread to a negative 106 basis points....
SAS Weekly Forecast, June 16, 2023: A Pause After the Pause
This week’s simulation shows an interest rate outlook very similar to last week, a pause after the Fed’s pause in rate hikes....
SAS Weekly Forecast, May 5, 2023: Long-term 1-Month Forward Rate Peak Drops 0.22%
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show much less volatility this week. A sharp...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through March 31, 2023
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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 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 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....
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...
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...