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 ...
The Treasury curve moved down 26 basis points at 2 years and down 9 basis points at 10 years over the last week. As a result, the current negative 2-year/10-year Treasury spread narrowed to negative ...
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