March 28, 2023

Spreads and Uncertainty/Risk Measures Post-SVB, Post-CPI Release

5 year Treasury-TIPS breakeven rises. EPU up on 13th, VIX down (however still elevated) today. 10yr-3mo spread stays really unfavorable.

Figure 1: Top panel: 10yr-3mo Treasury spread (blue), 10yr-2yr spread (tan), both in %; Middle panel: 5 year Treasury-TIPS spread (purple), 5 year spread changed for liquidity and danger premia (red); Bottom panel: VIX (sky blue, left scale), EPU (black, right scale). Source: Treasury by means of FRED, KWW following Damico, Kim and Wei (DKW), CBOE via FRED,

This entry was posted on March 14, 2023 by Menzie Chinn.

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