The 1-month forward U.S. Treasury yield now peaks at 5.25%, up 32 basis points from last week. As explained in Prof. Robert...
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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, 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 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 8, 2022: Inverted Treasuries NOW!
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The flirtation with an inverted 2-year/10-year...
Kamakura Weekly Forecast, July 1, 2022: Long-Run Treasury Outlook Stabilizes
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The outlook for long-run Treasury yields...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 31, 2021
Donald R. van Deventer January 18, 2022 With inflation obviously on the rise, any rational investor should be asking “How well...