Following the recent moves in rates, we analyzed the changes in 10y bond yields 1m, 3m and 12m after central banks reach peak rates in past rate cycles.
In the Eurozone, on average, 10y Bund yields decreased after the ECB reached the peak rates in the latest 3 rate cycles, with a more pronounced decline 12 months after the peak rate (-0.38%).
In the US, out of 8 rate cycles, the last 5 show a similar pattern as in the EZ, with 10y Treasury yields decreasing, on average, by 0.23% (1m), 0.48% (3m) and 0.86% (12m), after reaching peak rates. Only during the rate cycles in the years 70 ́ and early 80 ́, 10y UST are found to increase 12 months after peak rates.
- Deutsche Bank
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