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.
Category Archives: financial markets
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.
Plain-Vanilla Term Spread Model: Recession Probability for 2020M06=42%
(7/1 – with update including credit spread augmented specification.) Estimated probit over 1986M01-2018M06 period (assuming no recession as of 2019M06):
Prob(recessiont+12=1) = -0.323 – 0.869Spreadt
McFadden R2 0.295, observations = 390, bold denotes significance at 5% msl. Spread in percentage points.
Libra: economics of Facebook’s cryptocurrency
Facebook last week announced plans for Libra, a new global cryptocurrency. The name seems to be a marriage of the words “livre”, the French currency throughout the Middle Ages based on a pound of silver, and “liber,” which is Latin for “free.” Facebook claims that Libra will give the freedom to easily transmit funds across borders to the 1.7 billion adults in the world without access to traditional banks.
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Soybeans: Efficient Markets Hypothesis and All That Jazz
Reader CoRev continues to voice skepticism about the predictive ability of soybean futures. He asks for
proof, with successful predictions, of the validity of…your soybean price model….BTW, we are getting closer to the model’s magic validation date.
