Social Sharing
Extended Viewer
Interest-Rate Expectations in Recent Months
Jan 1, 2010
This paper reviews expectations for risk-free rates since the beginning of 2003. The most dramatic changes are around USD short-term rates. Over the past few months, the market has stopped assigning significant probabilities to short-term rates falling below 1 percent and to large fluctuations in either direction. Now, the market appears to believe that short term rates are likely to change little over the next year. We also recommend stress tests appropriate to current market conditions.
Download