Treasury yields Archives - Page 18 of 48 - SAS Risk Data and Analytics

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.

CONNECT ME

SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025

Jan 29, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield...

SAS Weekly Forecast, January 20, 2023: Peak in Forward U.S. Treasury Yields Drops 0.10%

Jan 22, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield curve currently shows a long-term peak down 0.10% this week. As explained in Prof....

SAS Weekly Forecast, January 13, 2023: Forward U.S. Treasury Yields Twin Peaks Shrink

Jan 15, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield currently curve shows twin peaks down 0.24% in the short term and down 0.14% over the...

SAS Weekly Forecast, January 6, 2023: Forward U.S. Treasury Yield Twin Peaks Persist

Jan 8, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield currently show twin peaks at 5.04% in the short term and 4.77% over the longer term. As...

How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 30, 2022

Jan 3, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Donald R. van Deventer January 3, 2023 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve...

SAS Weekly Forecast, December 30, 2022: Forward U.S. Treasury Yields Show Twin Peaks Near 5.05%

Jan 1, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield curve currently shows twin peaks at 5.06% in the short term and 5.01% over the longer...

SAS Weekly Forecast, December 23, 2022: Long-term Forward U.S. Treasury Peak Jumps 0.20%

Dec 25, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The long-term 1-month forward U.S. Treasury yield now peaks at 4.84%, up 20 basis points from last week. As explained in Prof....

SAS Weekly Forecast, December 16, 2022: Long-term Forward U.S. Treasury Peak Drops 0.11%

Dec 18, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

Despite last week’s rate increase by the Federal Reserve, the long-term 1-month forward U.S. Treasury yield now peaks at 4.64%,...

SAS Weekly Forecast, December 9, 2022: Long-term Forward U.S. Treasury Peak Stable at 4.75%

Dec 11, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, unchanged from last week. As explained in Prof. Robert...

SAS Weekly Forecast, December 2, 2022: Long-term Forward U.S. Treasury Peak Drops 0.25%

Dec 4, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, down 25 basis points from last week. As explained in Prof....

SAS Weekly Forecast, November 25, 2022: U.S. Treasury Forward Rates Flatten Out

Nov 27, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%

Nov 20, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 basis points from last week. As explained in Prof. Robert...