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Seattle Biker Profile picture
Seattle Biker
@W_Igoe
Retired derivatives trader | Statistics (Notre Dame) | Studied under Scholes, Miller & Fama | Focused on empirical proof
Jan 27 • 6 tweets • 4 min read
🧵Fed news along with a paper. "Rates, Term Premium and the Next Banking Crisis" drive.google.com/file/d/1L8c9Ex…

The recent easing of short-term interest rates has only led to an increase in long term bond yields. This result does not come at a surprise when looking at interest rate history. The red line is the average U.S. Treasury yield curve since 1977-02-01 to 2025-12-01. The green line is the adaptive yield curve using lagged regression of daily data. The grey line is the entrenched adaptive expectation of CPI. Our bond market demands a premium over CPI.Image Below is a table with the regressions for each point on our adaptive yield curve. Long term rates are near the anchor and political pressure deflates short term rates. Everyone loves free money... term premium expansion is just getting started next frame. Image