Paris Panthéon by Jean-Pierre Lavoie

For academic visitors: this new paper is an important contribution to the literature on how variable risk premia lead to market instability.

As part of its research on risk premium based asset allocation, Risk Premium Invest has given particular importance to the study of the US Treasury bond market. This market plays a central role in the valuation of all other assets. This is especially true today in a context of high inflation and tighter monetary policies.

Risk Premium Invest has developed a very original methodology to estimate the Fed’s monetary policy expected by investors and the risk premia they require.

See Our Guide to Understand (And Trade) The US Treasuries Yield Curve.

See USTreasuries-02102023 for an analysis of the US yield curve in the most recent trading day, in connection with published news.

Past analysis are available on our daily monitoring page.

The main results, also presented in these two graphs, are available in the excel file RiskPremia-UST-V

The expected rates and risk premia (graphs and excel file) have been updated with the October 2, 2023 session.

Pour les visiteurs universitaires: ce nouvel article est une contribution importante à la littérature sur la façon dont les primes de risque variables conduisent à l’instabilité des marchés.

Dans le cadre de ses recherches consacrées aux primes de risque, Risk Premium Invest a accordé une importance particulière à l’étude du marché des obligations du Trésor américain. Ce marché joue en effet un rôle central dans la valorisation de tous les autres actifs. C’est particulièrement vrai aujourd’hui dans un contexte d’inflation élevée et de durcissement des politiques monétaires.

Risk Premium Invest a développé une méthodologie très originale pour estimer les primes de risque requises par les investisseurs et leurs anticipations concernant la politique monétaire de la banque centrale américaine.

Voir Our Guide to Understand (And Trade) The US Treasuries Yield Curve.

Une analyse quotidienne des déformations de la courbe des taux d’intérêt américains est disponible ici.

Les taux anticipés et les primes de risque (graphiques et ficher excel) sont mis à jour quotidiennement après la fermeture des marchés américains.

What Is New ?

  • Changing risk premia and asset pricing inefficiencies

    Changes in risk premia demanded by investors is one of the main reasons for asset price volatility. But can these evolutions justify the extreme movements that we often observe between clear undervaluation and overvaluation? In this new article, we emphasize …

  • The banking crisis: the real causes and how to stop it.

    This banking crisis has two origins. The first is well understood and the second is not. The most obvious is that some (many?) banks have not properly managed their interest rate risk. The second, less obvious, reason is the flawed …

  • A very strange Nobel Prize….

    Diamond and Dybvig (1983) is one of the most frequently quoted papers in financial economics. Thus, it may seem natural that forty years later the authors finally receive the “Nobel prize”. Yet this article is an example of financial economics …

  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et fichier excel) sont …

  • Trois principes clefs pour un nouveau Pacte de Stabilité et de Croissance.

    Contrairement à de nombreux économistes, nous pensons que le contrôle des déficits excessifs doit rester la pierre angulaire d’un PSC rénové. Mais, des évolutions semblent nécessaires dans trois domaines : la consolidation des dettes publiques, la prise en compte du niveau …

Key Background Papers

  • Changing risk premia and asset pricing inefficiencies

    Changes in risk premia demanded by investors is one of the main reasons for asset price volatility. But can these evolutions justify the extreme movements that we often observe between clear undervaluation and overvaluation? In this new article, we emphasize …

  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et fichier excel) sont …

  • How markets price risks? Non-technical presentation.

    Our Yield Curve Model provides some key original insights on how markets price risks. But the reference paper is long and technical! We provide here a non-technical summary of the lessons we have learnt from this analysis of the US Treasuries market. …

  • How Markets price risks? Key insights from an analysis of the US Treasuries market.

    When there is a sustained change in required excess returns relative to T-bills, investors often miss structural or quasi-structural changes in risk premia and base their decisions on a biased valuation methodology. We consider this recurring weakness of the fundamentalist …

  • The Four Risk Premia

    15 October 2018 One of the difficulties of risk premia analysis is that the concept of risk premium is somewhat ambiguous. For a given asset class, there are at least four risk premia that can be analyzed (“historical”, “spot”, “valuation”, …

Latest Market Analysis

  • October 2nd, 2023 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-02102023 Other markets (at European market close):

  • September 29th, 2023 – Market Analysis :

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-29092023 Other markets (at European market close)

  • September 28th, 2023 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-28092023 Other markets (at European market close):

Weekly risk premia analysis for 10-year US Treasuries*

 

* Contributions of risk premia (RP) and Fed funds rates expectations (re) to daily changes in the US 10-year yield / September 25 – 29, 2023