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1 mo-Fed funds Spread vs. 3 mo-1 mo Spread

Inversion on the second, as the first rises, as likelihood of June 1 default rises.

Figure 1: 1 month Treasury – Fed funds spread (blue), and 3 month – 1 month Treasury spread (tan), both in %. Source:  Treasury and Fed via FRED, and author’s calculations.

I interpret the rise in 1 month to Fed funds spread as an indication of risk associated with default.

For CDS spreads, see this post.




This entry was posted on by Menzie Chinn.


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