Spreads And Uncertainty/Risk Measures Post-SVB, Post-CPI Release
Five year Treasury-TIPS breakeven rises. EPU up on 13th, VIX down (but still elevated) today. 10yr-3mo spread remains very negative.
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 adjusted for liquidity and risk premia (red); Bottom panel: VIX (sky blue, left scale), EPU (black, right scale). Source: Treasury via FRED, KWW following D’amico, Kim and Wei (DKW), CBOE via FRED, policyuncertainty.com.
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