I thought I'd go through the
previous implied Fed Funds and Treasury 1 Year Forwards model and update it from August 14th, before QE2 policy was announced.
Here is a good cross section showing changes in expectations between then and today. So far, I'd say Bernanke has successfully steepened the yield curve, helping support future bank recapitalization. As well, it doesn't need to be stated (but I will anyway) inflation expectations are considerably different. That will obviously translate over to PPI and CPI in the coming months, given the recent commodity price moves.
And the number of rate hikes to expect in coming years, given market expectations derived from the yield curve:
Note: The horizontal axis is a date range of two years, with overlap per data point. The original model implied rate changes and rates starting at August 14th, 2010, whereas the second model is run 3 months later, so a slightly more accurate interpretation has December data square on 2011, 2012, etc whereas the original data represents August to August periods, starting August 2010-2011. Since this is framing a 30 year picture, I felt it would be unnecessary to reflect this 3 month offset. Imagine it if you need.