Even before Thursday’s CPI release, forecasters had already raised their short-term rate forecasts as well as their long-term rate forecasts.
figure 1: Three-Month Treasury Bill Yield (black), Professional Forecaster Survey November 2021 Survey (blue), February 2022 (red), Percent. The actual 2022Q1 is to 2/10. Recession dates as defined by NBER are shaded from peak to trough in gray. Source: Treasury via FRED, Philadelphia Fed SPFand NBER.
The 10-year treasury bond has also moved higher:
figure 2: Ten-Year Treasury Yield (black), Professional Forecaster Survey November 2021 Survey (blue), February 2022 (red), CBO January 2020 Forecast (sky blue), CBO July 2021 Forecast ( blue), expressed as a percentage. The actual 2022Q1 is to 2/10. Recession dates as defined by NBER are shaded from peak to trough in gray. Source: Treasury via FRED, Philadelphia Fed SPF, CBO and NBER.
The projected first-quarter yield is now at the level CBO predicted in July 2021; but the trajectory going forward is to rise faster — although still below the level forecast on the eve of the pandemic.
