Data available as of today:
EPU, News Sentiment, Term Spreads, VIX
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Category Archives: financial markets
Hello ‘nversion, My Old Friend…[updated]
As of today’s close, the constant maturity 10yr-3mo spread is … -0.6% (as of 2/26 close):
Dis-Inversion and Re-Inversion over the Last 3 Months
Not sure what it means, but I suspect heightened growth anxieties for the 4 month to 3 years horizon.
What — If Anything — Do Re-inverting Term Spreads Mean?
Open question – we’re not quite there yet.
150 Years of Ten Year Treasury Yield, 100 Years of the 10yr-3mo Spread
Reader Steven Kopits opines on the CBO projection: “by historical standards [1982-2007], we might expect the 10 year rate around 5.0% for the next decade”. I thought it useful to look at the data:
Policy Uncertainty, VIX, 5 Year Breakevens, Dollar Up
Since the election:
Year End Disinversion: Bull or Bear Steepening?
With December 31 data, here’s the picture of term spreads:
“Revisiting the Relationship Between Debt and Long-Term Interest Rates”
From CBO, a working paper by Andre R. Neveu (FDIC) and Jeffrey Schafer (CBO) on the debt sensitivity of the interest rate (DSIR):
Seizing Russian Assets: If Not Now, When?
From Hess and Mott, in Foreign Policy, on stifling further Russian aggression even with Trump on the gates:
France’s Sovereign Debt Situation: Some Graphs
Here’re CDS and spreads vis a vis Germany over the past year: