Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version: April...
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SAS Weekly Forecast, April 14, 2023: Two Years of Short-term Treasury Volatility
Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...
SAS Weekly Forecast, April 7, 2023: Inverted Yield Curve Now in Day 190
If the Treasury 2-year/10-year spread continues to be negative for another month, this bout of negative spreads will become the...
SAS Weekly Forecast, March 31, 2023: Long-run Peak in Treasury Forward Rates Drops 11 Basis Points
We show below that the long-run peak in U.S. 1-month forward rates dropped this week from 4.85% to 4.74%. The probability that...
SAS Weekly Forecast, March 24, 2023: Calculating the Default Risk of Interest Rate Mismatches
The weekly interest rate simulation now includes an assessment of the probability of default when a bank, institutional...
SAS Weekly Forecast, March 17, 2023: Silicon Valley Bank Treasury Shock Persists
Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
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...
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, 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...