Articles regarding the signals emanating yield curve appear in Reuters, CNBC, FoxBusiness, Bloomberg, CNN . Here’s a relevant picture:
Category Archives: financial markets
Recession, Inflation – What’s the Market View?
The economy is still likely to grow, according to at least the 10yr-3mo spread. Less definitive indicator from the 10yr-2yr. Expected inflation rates have stopped moving up, and so too have implied future rates 2-3 months ahead; in fact they’ve both fallen in recent days. (For what analysis, rather than markets, think about inflation, see Jim’s Monday post; on recession, see Jim’s Wednesday post.
The Ruble: Convertible No Longer
From Anders Aslund at Project Syndicate:
And on March 8, the central bank decided to stop exchanging rubles for foreign currencies, which means that the ruble is no longer convertible.
Recession? The Term Spread over the Past Four Recessions
Risk and Safe Haven Effects
VIX up as GeoPolitical Risk rises. Dollar jumps on the invasion, but eases today, Treasury yields down due to safe haven effects. Anticipated interest rate increases moderate.
Sanctions on Russia, International vs. Foreign Exchange Reserves, and Capital Controls
Interesting quote from 2020 IMF Article IV, Annex III: External Sector Assessment (distributed February 2021):
Russian Asset Prices Today
Ruble down about 7%, sovereign bond yields up 4.7 percentage points in 6 days, stock market down 1/3 in one day.
Russia EMP Watch
One way to assess external financial stress is to look at exchange market pressure (EMP) – the change in the exchange rate, change in reserves, and change in interest rates, possibly weighted by inverse of standard deviations. or otherwise (see e.g., Patnaik, et al. (2017) for several different versions).
Risk and Policy Uncertainty Measures – Gulf War I and Today
Looking back to one of the last major ground conflicts. In August 1990, Saddam Hussein’s forces invaded Kuwait. Here’re some risk and uncertainty indicators — some developed afterwards — for that period.
Risk and Uncertainty before the Open
VIX jumped on Friday; the Economic Policy Uncertainty index rose on Saturday.