Tag Archives: eurodollar curve

The headlines last Friday were ominous: Inflation Hits Highest Level in Nearly 40 Years Inflation is Painfully High… Groceries and Christmas Presents Are Going To Cost More Inflation is Soaring.. America’s Inflation Burst This morning on Face The Nation, Mohamed El-Erian, former Harvard endowment manager, former bond king apprentice, economist and the man who seems to have a permanent presence on CNBC, had this to say: The characterization of inflation as transitory...

The eurodollar curve’s latest twist exposes what’s behind the long end. To recap: big down day in stocks which, for the first time in a while, wasn’t accompanied by massive buying in longer maturity UST’s. Instead, these were sold, too. Rumors of parity funds liquidating were all over the place, which is consistent with this curve behavior. Let’s start with eurodollar futures; the curve had absolutely collapsed up to Monday. It was remarkable even though not...

According to orthodox theory, if interest rates are falling because of term premiums then that equates to stimulus. Term premiums are what economists have invented so as to undertake Fisherian decomposition of interest rates (so that they can try to understand the bond market; as you might guess it doesn’t work any better). It is, they claim, the additional premium a bond investor demands so as to hold a security that...