Interpolated Yield Curve forecast

Each month Bloomberg surveys 60 to 70 economists to get their estimates of where Fed Funds, the 2-year Treasury, and the 10-year Treasury will be over the next several quarters.  I take this data and interpolate for the points in between the survey data to create the attached report.  This allows us to get a broad view of where various economists see interest rates going over the coming quarters.

You’ll notice from the section titled “Change from Previous Months Survey” that expectations for Fed Funds and the 2-year have dropped the most.  The Median forecast for the 2-year Treasury in 3Q 2011 in this month’s survey is a 1.60%...that is down from a 1.85% in July and a 2.40% in August.

You’ll also see from the report that forecasts dropped for almost every forecast period…the exception is the near term Fed Funds forecasts.  It’s not much of a surprise, after all how difficult is it to forecast “0 percent” for two quarters when the Fed just got done saying that rates will remain exceptionally low for an extended period?

If you have any questions or if there is anything I can be doing for you just let me know.

Regards,

Steve Scaramastro, SVP

800-311-0707