inverted yield curve Archives - Page 24 of 70

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, July 21, 2023: Inverted Yield Streak 16 Days from Second Longest Since 1976

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

The streak of negative 2-year/10-year Treasury spreads has now reached 262 trading days, 16 trading days from the second longest...

SAS Weekly Forecast, July 14, 2023: Treasury Yield Declines Reverse Most of Prior Week’s Rise

Jul 17, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s U.S. Treasury yield curve shifts reversed most of the increase from the prior week. The long-term peak in 1-month...

SAS Weekly Euro Zone Forecast, July 7, 2023: Higher Bund Yields and a Narrowing 2-year/10-year Bund Yield Spread

Jul 10, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

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 Forecast, July 7, 2023: Long-term Peak in 1-Month Treasury Forwards Up 0.19%

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

This week’s shift in the U.S. Treasury yield curve moved the long-term peak in 1-month Treasury forward rates up 0.19% to 5.10%....

SAS Weekly Euro Zone Forecast, June 30, 2023: Inverted Bund Yields Very Likely to Continue Well Into 2024

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

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 Forecast, June 30, 2023: Negative 2-Year/10-Year Treasury Spread At 106 Basis Points

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

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 Euro Zone Forecast, June 23, 2023: Inverted Bund Yields Likely to Persist into 2024

Jun 27, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s simulation shows that the current negative 2-year/10-year Bund yield spread is very likely to persist at least...

SAS Weekly Forecast, June 23, 2023: Inverted Treasury Yields Near Certainty Through Year-End

Jun 25, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s simulation shows that the current negative 2-year/10-year Treasury yield spread is a near certainty to persist at...

SAS Weekly Forecast, June 16, 2023: A Pause After the Pause

Jun 18, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

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, June 9, 2023: A 14-Country Perspective on U.S. Treasury Yields

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

Beginning with this forecast, we benchmark the U.S. Treasury simulation on a database with seven times more data than U.S....

SAS Weekly Forecast, June 2, 2023: Treasury Forward Rates Shift Down in Short-term Maturities

Jun 4, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The resolution of the Treasury debt cap crisis has resulted in a significant downward shift in the U.S. Treasury forward rate...

SAS Weekly Forecast, May 26, 2023: Inverted Yield Streak Now Third Longest Since 1976

May 28, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 225 days, the third...