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 most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of being in this range is only 0.02% higher than the probability of being in the 0% ...
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