Weekly Forecast, April 5, 2024: US Treasury Forward Rates Shift Up 16-23 Basis Points
Thomas Barwick 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…