CBO projection and SPF mean forecast diverge, by nearly a percentage point in 2024.
Category Archives: financial markets
ZeroHedge Goes Adaptive Expectations
Imagine my surprise when I see a statement “rates are now barely positive according to all official inflation and rate data” in an article titled “Will the Fed Elect Biden?” and the accompanying graph:
Probability of Recession: Term Spread vs. Term Spread, DSR, Foreign Term Spread
In this post from Monday, I recounted the US results from Chinn-Ferrara (2024), using debt-service ratio data up to end-2022. The BIS has now released debt-service ratio data up to Q2. I use a regression of DSR growth rate on changes in AAA and 3 month Treasury yields, and 2 lags of DSR growth to forecast 2023Q3 DSR. I then obtain the following estimate of recession probability through 2024M09.
FT-IGM (Booth School) US Macroeconomists Survey on the Outlook
Survey results are out, for responses as of 12/4. FT article here.
Guest Contribution: “Long-term yields, the term premium and US monetary policy”
Today, we are pleased to present a guest contribution written by Kevin Pallara, Luca Rossi, and Fabrizio Venditti of the Bank of Italy. The views presented in this note represent those of the authors and do not necessarily reflect those of the Bank of Italy or the ESCB.
News
Interest rates down:
Inversions, Bear Steepening Dis-Inversions, and Recessions
Does it matter if spreads are dis-inverting because short yields are falling, or long yields are rising? MacKenzie and McCormick (Bloomberg) say yes. With long yields rising…
Real Ten Year Treasury Yields: Back to the ‘Aughts?
In a way, yes — that is in terms of levels. In terms of pace of change, no.
Scavino (or Kudlow) Strike Again: Disinformation Edition
I saw this screenshot of a post from Dan Scavino, former Deputy Chief of Staff for Communications in the Trump White House, and former caddie for a party at the Trump National Golf Club Westchester (at that time, Briar Hall Country Club), and thought “those numbers don’t look right”.
How Much Have (Ex Ante) Real Rates Risen?
Ten year Treasurys and Fed funds: