Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon...
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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...
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:...
SAS Weekly Forecast, February 17, 2023: 2-year/10-year Treasury Negative Spread Won’t End Soon
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks likely to persist well into fall, 2023 and...
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....
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through December 31, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
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...
SAS Weekly Forecast, December 30, 2022: Forward U.S. Treasury Yields Show Twin Peaks Near 5.05%
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%
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%
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%,...