Source: Wall Street Journal, September 13, 2022 Robert A. Jarrow, Stas Melnikov, Warren Sherman, Donald R. van Deventer and...
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SAS Weekly Forecast, October 14, 2022: Treasury 1-Month Forward Rate Peak Up 0.32% to 5.25%
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...
SAS Weekly Forecast, October 7, 2022: Near-term Forward Rate Peak up 0.31% to 4.84%
The near-term forward 1-month U.S. Treasury yield now peaks at 4.84%, up 31 basis points from last week. As explained in Prof....
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...