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