Weekly Forecast, January 26, 2024: 2-Year/10-Year Treasury Spread Narrows To -0.19%
Torsten Asmus As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the market’s expectations for the 3-month forward rate. We document the size of that risk premium in this graph, which shows the zero-coupon yield curve implied by current Treasury prices compared with the annualized compounded…