Over the last week, Treasury 2-year yields moved to 4.13% this week from 4.37% last week. At 10 years, this week’s yield is 4.18%, compared with 4.41% last week. As a result, the current ...

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 ...