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As the end of QE and zero interest rates approaches, investors are worrying that a large increase in yields is on the way. A mid-2015 start to a Fed hiking cycle is priced in, but the front end of the yield curve continues to be very “orderly”: it has not strayed far from the Fed’s own projections.
In this note we probe how long this can last. Specifically, under what conditions can short-term rates become higher and more volatile relative to the Fed’s dots? We think there are four requirements for the yield environment to change. These are:
1. US core inflation rising cyclically toward 2%
2. US unemployment headed below 6% soon
3. Global growth momentum rising
4. Robust credit market conditions remain in place
Once all of these conditions are present, we would expect market pricing to decouple from the dots, which now act as an anchor for the yield curve (Exhibit 1). We think all four factors will be in place later this year, but we’re not there yet. In this piece we focus on inflation, which, in our view, is headed higher soon.
CS-bond market reckoning.pdf
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