…using plain vanilla 10yr-3mo probit regression, over 1986M01-2019M08 period, using data shown below in Figure 1
Category Archives: financial markets
Does the Safe-Haven Aspect of the US Explain Declining Treasury Rates
That’s what reader Ed Hanson surmises:
Why are long term interest rate coming down. There is one obvious answer. The world sees the US as the safest and best place to invest with their bond holdings because of rigorous US economy brought on by the Trump administration with its tax and reduced regulation policy. Perhaps it is this circumstance of inversion that means it is not indicating recession, at least for the US.
Just glance at today’s Economist for an alternative interpretation:
Teaching Begins Early This Fall: News, Efficient Markets Hypothesis, Asset Prices
Figure 1: September 2019 corn futures, accessed 8/13/2019. Source: Barchart.com.
On the Eve of Recession? Five Graphs from Two Courses
I get to teach Public Affairs 854, “Macroeconomic Policy and International Financial Regulation” and Economics 435 “The Financial System” this fall. There’s a cosmic confluence this year, in terms of the subject:
To Worry or Not To Worry: Adjusted and Unadjusted Spreads
Torsten Sløk at Deutsche Bank had an interesting commentary [not online] this morning, noting the disjuncture between the different estimates of estimated term premia from affine (no arbitrage) models of the term structure emanating from the NY and SF Feds. I adjust the term spread by the term premium from SF and show the implied probability of recession, alongside that from the conventional 10yr-3mo.
Guest Contribution: “A Blockchain solution for the technology war between China and the US “
Today we are pleased to present a guest contribution by Alessandro Rebucci, of the Johns Hopkins Carey Business School. This post is based on “Blockchain Technology and Government Applications: A Proposal for a Global Patent Office” (with E. Di Nicola Carena and P. La Mura), in A. Fatás (editor), The Economics of Fintech and Digital Currencies, CEPR ebook, Fintech and Digital Currencies Policy and Research Network, CEPR March 2019.
Why Drop Rates?
My answer on Marketplace yesterday was essentially “why not”. On macro grounds, with prospects for economic activity softening, a bit of insurance isn’t too crazy.
The New Fama Puzzle Persists
Guess the Expiration Price of July 2019 Soybean Futures
On July 12, 2019, the soybean futures contract (CBOT) for July 2019 expires (first delivery on 7/16). On July 12, 2018, the closing price was 885.75 (data from ino.com here). What’s your guess on what the expiration price will be?
Guest Contribution: “Economic Policy Uncertainty and Recession Probability – July 2019 Update”
Today, we are fortunate to present a guest contribution written by Paweł Skrzypczyński, economist at the National Bank of Poland. The views expressed herein are those of the author and should not be attributed to the National Bank of Poland.