Up and up away. But this has also been the case in the past.
figure 1: Secondary market Treasury three-month yields (black), November 2021 Professional Forecast Media Survey (chartreuse), February 2022 (blue), May 2022 (red). Recession dates as defined by NBER are shaded from peak to trough in gray. Source: Treasury via FRED, SPFNational Bureau of Economic Research.
This is a historical record of economists predicting 3-month yields, discussed here postal.
figure 2: Three-month Treasury bond yields in the secondary market, monthly averages of daily data (black), and surveys of professional forecasters all refer to forecasts for a given quarter. NBER recession dates are shaded grey.Source: Federal Reserve and Philadelphia Fed Survey of Professional Forecastersand NBER.
The difference between the current event and the previous one is that inflation is much higher (although the real natural rate may be lower).
An interesting implication of these forecasts is that the 10-year to March spread narrowed faster in the May survey compared to the February survey (you can see the 10-year evolution path in this report) postal).
image 3: Treasury 10-month-three-month spread (black), November 2021 Professional Forecast Media Survey (chartreuse), February 2022 (blue), May 2022 (red). Recession dates as defined by NBER are shaded from peak to trough in gray. Source: Treasury via FRED, SPFNational Bureau of Economic Research.
