Weekly Treasury Simulation, January 30, 2026: Long-Term Peak In 1-Month Forward Rates Up 0.12% To 6.03%
2026-02-02 15:31:24 ET
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 premium in this graph, which shows the zero-coupon yield curve implied by current Treasury prices compared with the annualized compounded yield on 3-month Treasury bills that market participants would expect based on the daily movement of government bond yields in 14 countries since 1962. The risk premium, the reward for a long-term investment, is large and widens over most of the full 30-year maturity range. The graph also shows a decline in expected yields at a steady pace for the full 30 years. We explain the details below....
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Weekly Treasury Simulation, January 30, 2026: Long-Term Peak In 1-Month Forward Rates Up 0.12% To 6.03%
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