"the 6mo-3mo spread shows that the market expects the Fed to already start cutting rates in 2022Q4. On July 1, the spread had reached a peak of 79 basis points (bp). It has now fallen, as of market close on Friday, to 53bp"
.. that's not a cut though, right? Diminished pricing means less tightening in December, not a cut ...
No, it is a cut. When the market reprices to reflect a lower expected path of the policy rate, it's a cut. The difference corresponds to the degree of monetary tightness. The six month-three month spread is expected hike two qtrs fwd — at the short end, rate expectations are not confounded by risk premia.
Question from a data science student: if 2y5y is an encoding of the Kitchin cycle, and the 5y10y Juglar cycle... can the 10y20y be used for the Kuznets swing? Perhaps a "triple inversion"?
"the 6mo-3mo spread shows that the market expects the Fed to already start cutting rates in 2022Q4. On July 1, the spread had reached a peak of 79 basis points (bp). It has now fallen, as of market close on Friday, to 53bp"
.. that's not a cut though, right? Diminished pricing means less tightening in December, not a cut ...
No, it is a cut. When the market reprices to reflect a lower expected path of the policy rate, it's a cut. The difference corresponds to the degree of monetary tightness. The six month-three month spread is expected hike two qtrs fwd — at the short end, rate expectations are not confounded by risk premia.
Question from a data science student: if 2y5y is an encoding of the Kitchin cycle, and the 5y10y Juglar cycle... can the 10y20y be used for the Kuznets swing? Perhaps a "triple inversion"?