Term spreads rising slightly, yields (nominal, real) down, and risk measures up.
Author Archives: Menzie Chinn
Implied Fed funds Peak – from September to May
Using CME futures, from 1:30CT today:
Month-on-Month Core PPI at 0%
Undershoots consensus at 0.4%. M/M headline at -0.1 vs 0.3%.
Spreads and Uncertainty/Risk Measures Post-SVB, Post-CPI Release
Five year Treasury-TIPS breakeven rises. EPU up on 13th, VIX down (but still elevated) today. 10yr-3mo spread remains very negative.
Inflation Surprise Barely Moves Expected Fed Funds Path
M/M core CPI inflation surprised on the upside (0.5 ppts vs. 0.4 ppts Bloomberg consensus) while m/m headline at consensus. The path of the Fed funds as indicated by futures barely budged.
The Term Spread and Recession, Across Countries
World of Government Bonds has this interesting page which notes all the inverted yield curves. Shown below are those for S&P ratings of A to AAA as of today.
Economists in Favor of Banking Deregulation, 2017
Before the The Economic Growth, Regulatory Relief, and Consumer Protection Act of 2018, what economists/analysts were in support of a loosening of requirements.
Guest Contribution: “Some Thoughts on SVB”
Today, we present a guest post written by Charles Engel, Donald D. Hester Distinguished Chair in Economics at UW Madison.
Financial Deregulation: Thanks, Trump
On banking regulation, from Forbes:
Thanks to Trump and his supporters this [Dodd-Frank capital and liquidity measures] all changed. Some of the key changes that EGRRCPA made were:
- Increasing the asset threshold for “systemically important financial institutions” or, “SIFIs,” from $50 billion to $250 billion.
- Immediately exempting bank holding companies with less than $100 billion in assets from enhanced prudential standards imposed on SIFIs under Section 165 of the Dodd-Frank Act (including but not limited to resolution planning and enhanced liquidity and risk management requirements)
- Exempting bank holding companies with between $100 billion and $250 billion in assets from the enhanced prudential standards.
- Limiting stress testing conducted by the Federal Reserve to banks and bank holding companies with $100 billion or more in assets.
How Have Market Expectations of the Fed Funds Path Changed?
Comparing CME implied Fed funds for the March 22 and May 3 meetings shows a downshift, which seems attributable to developments surrounding SVB.