Summary The Treasury curve moved up 17 basis points at 2 years and up 17 basis points at 10 years over the last week. As a...
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How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 29, 2023
Donald R. van Deventer SAS Institute Inc. January 2, 2024 Abstract The size of the term premium embedded in the current U.S....
SAS Weekly Forecast, December 29, 2023: 2-Year/10-Year Treasury Spread Narrows to Negative 35 Basis Points
Summary The Treasury curve moved down 8 basis points at 2 years and down 2 basis points at 10 years over the last week. As a...
SAS Weekly Forecast, December 22, 2023: 54 Trading Days from a Record Inverted Yield Streak
Summary The Treasury curve moved down 13 basis points at 2 years and down 1 basis point at 10 years over the last week. As a...
SAS Weekly Forecast, December 15, 2023: Now Nearing the Longest Inverted Yield Streak
Summary The Treasury curve moved down 27 basis points at 2 years and down 32 basis points at 10 years over the last week. As a...
SAS Weekly Forecast, December 8, 2023: Treasuries Twist and Shout
Summary The Treasury curve moved up in the medium term and down on the long end this week. The probability that the...
SAS Weekly Forecast, December 1, 2023: Forward Treasury Peak Down 0.10%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 31, 2024 is 61.5%,...
SAS Weekly Forecast, November 24, 2023: 10-year Treasury Most Likely Range in 10 years is 2% to 3%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 24, 2024 is 73.6%,...
SAS Weekly Forecast, November 17, 2023: Forward Treasury Peak Down 0.14%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 17, 2024 is 72.6%,...
SAS Weekly Forecast, November 10, 2023: Negative Treasury Spreads for Longer
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 10, 2024 moved up...
SAS Weekly Forecast, November 3, 2023: Negative Treasury Spread Wavers
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 3, 2024 moved up to...
SAS Weekly Bund Yield Forecast, October 27, 2023: 48.7% Probability Inverted Yields End in April
Summary The probability of a quick end to inverted Bund yields rose slightly this week as the current negative 2-year/10-year...