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Old 29.06.2016., 15:15   #181
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http://www.zerohedge.com/news/2016-0...rates-shocking
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Old 03.07.2016., 18:53   #182
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http://www.zerohedge.com/news/2016-0...che-calculates


Since the UK referendum the US yield curve has flattened to new post-crisis lows. The 3m10y spread is now 115 bps compared to 210 bps at the start of the year, and the 2y10y spread is just 85 bps versus 120 bps on January 1.

This relentless flattening of the curve is worrisome. Given the historical tendency of a very flat or inverted yield curve to precede a US recession, the odds of the next economic downturn are rising.

In our probit model, the probability of a recession within the next 12 months has jumped to 60 percent, the highest it’s been since August 2008. The model adjusts the 3m10y spread by the historically low level of short rates and it suggests that on an adjusted basis the curve has already appeared to be inverted for some time.

The yield curve had successfully signaled the last two recessions when the model output rose above 70 percent. If 10y yields rally to 1.00 percent and the 3m rate is unchanged, the implied recession probability from our model will reach that number. At current market levels, the market is just 40 bps from that distinct possibility.
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Old 04.07.2016., 20:14   #183
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http://www.zerohedge.com/news/2016-0...che-calculates


Since the UK referendum the US yield curve has flattened to new post-crisis lows. The 3m10y spread is now 115 bps compared to 210 bps at the start of the year, and the 2y10y spread is just 85 bps versus 120 bps on January 1.

This relentless flattening of the curve is worrisome. Given the historical tendency of a very flat or inverted yield curve to precede a US recession, the odds of the next economic downturn are rising.

In our probit model, the probability of a recession within the next 12 months has jumped to 60 percent, the highest it’s been since August 2008. The model adjusts the 3m10y spread by the historically low level of short rates and it suggests that on an adjusted basis the curve has already appeared to be inverted for some time.

The yield curve had successfully signaled the last two recessions when the model output rose above 70 percent. If 10y yields rally to 1.00 percent and the 3m rate is unchanged, the implied recession probability from our model will reach that number. At current market levels, the market is just 40 bps from that distinct possibility.
Ovo je naravno zanimljivo, al ja osobno ne mislim da ce se krivulje "izvrnuti", al ce se i već se jesu, jako ispeglale. Ne znam, pratit ćemo jer "izvrtanje" krivulje je bilo jasan pokazatelj prošle recesije, medjutim ostale okolnosti ukliucujuci kamatne stope bile su potpuno na drugom levelu krivulje. Mislim prije da nam slijedi ponavljanje grafa od recimo 1996-2001., no ni tada nisu bili ni blizu istovjetni uvjeti današnjima. Naprosto, jer nikad do sada nisu bili ovakvi. No, vrijedi pratiti jer samo izvrtanje moze snažno utjecati na anticipativno ponašanje sudionika tržišta i jos jači bijeg u državne papire, te pojačanu sigurnost, snažnu averziju prema riziku i potragu za dodatnom likvidnošću.
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