Summary The median level for the yen-U.S. dollar exchange rate is 163.28 one year from now, compared to 161.65 last week,...
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SAS Weekly Japanese Government Bond and Yen Simulation, November 15, 2024: Term Premium Stays Near Zero to 10 Years
Summary The median level for the yen-U.S. dollar exchange rate is 161.65 one year from now, compared to 160 last week, according...
SAS Weekly Japanese Government Bond and Yen Simulation, November 8, 2024: 1-Month Forward Rate is 3.47% at 30 Years
Summary The median level for the yen-U.S. dollar exchange rate is above 160 one year from now, compared to 158 last week,...
SAS Weekly Japanese Government Bond and Yen Simulation, November 1, 2024: Tracking the 10-year Yield to the 2% to 3% Range in 2034
Summary The median level for the yen-U.S. dollar exchange rate is above 160 one year from now, up from 158 last week, according...
SAS Weekly Japanese Government Bond and Yen Simulation, October 25, 2024: Median Scenario 158 Yen Per Dollar in One Year
Summary The term premium in the Japanese Government Bond yield curve continues to be close to zero for the first 10 years, but...
SAS Weekly Treasury Forecast, October 18, 2024: Introducing HJM++ Multinational Yield and FX Simulations
Summary During a rare quiet period, Treasury yields were unchanged at 2 years and 10 years over the last week. As a result, the...
SAS Weekly Japanese Government Bond and Yen Simulation, October 18, 2024: Near Zero Term Premium Out to 10 Years
Summary The term premium in the Japanese Government Bond yield curve continues to be close to zero for the first 10 years, but...
SAS Weekly Japanese Government Bond and Yen Simulation, October 11, 2024: A Return to Normal?
Summary The term premium in the Japanese Government Bond yield curve is close to zero for the first 10 years, but it increases...
SAS Weekly Japanese Government Bond and Yen Outlook: August 16, 2024: A Striking Contrast to Treasuries and Bunds
Summary The term premium in the Japanese Government Bond yield curve is close to zero for the first 10 years, but it increases...
An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2021
Donald R. van Deventer[1] First Version: December 6, 2021 This Version: December 7, 2021 ABSTRACT Please note: Kamakura...
A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021 ABSTRACT Please note: Kamakura...