Federal Fund Effective Rate Comparative (ATSM) Analysis of Interest Rate Forecast
CIR interest rate forecast model Cox Ingersoll Ross model to forecast interest rate variables in simple terms defines an Effective Federal Fund rate equilibrium of 4.45%, but with a forecast of a higher long-run Federal Fund Rate of 6.84% that…
Treasuries yield curve correlated to CPI Inflation expectations
February CPI (excluding food & energy) year on year was 6.1%, and in Feb 2021 was 1.3%. that makes the 2Y inflation expectation about 4.8%. Fed Funds at the minute are on neutral. ECB and BoE are in much worse…