Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
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SAS Weekly Forecast, March 10, 2023: Silicon Valley Bank Flight to Safety Edition
Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon...
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 10, 2023: Length of Treasury Inversion Fourth Longest Since 1976
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread has now persisted for 151 days, the fourth longest...
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 December 31, 2022
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] This Version:...
SAS Weekly Forecast, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August
Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show...
SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025
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%
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
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
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
Donald R. van Deventer January 3, 2023 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve...