Syzygy says inflation is driving recent yield curve steepening

Syzygy Asset Management said its research points to inflation, rather than current or expected GDP growth, as the main driver of recent steepening in developed-market yield curves. The firm said the correlation between the 10-year minus three-month slope and current inflation across its 21-country sample is 65%, in the 97th percentile historically and the highest level since the initial inflationary surge peaked in 2022. Syzygy also said developed-market inflation has been comparatively stickier since 2022, with the average DM yield curve steepening by 2.2 percentage points, versus 1.6 percentage points for the average emerging-market peer.

Source: Syzygy Asset Management.

Source statements are attributed; this is not investment advice.