Spreads and measures of uncertainty/risk after the publication of the SVB, after the publication of the consumer price index
Treasury-TIPS’ five-year break-even rises. EPU rose on the 13th, VIX fell (but still elevated) today. The 10 year-3 month spread remains very negative.
Picture 1: Top panel: 10-3-month T-bill spread (blue), 10-2-year spread (brown), both in %; Middle panel: 5-year Treasury-TIPS spread (purple), 5-year liquidity-adjusted spread and risk premium (red); Bottom panel: VIX (sky blue, left scale), EPU (black, right scale). Source: Treasury via FRED. KVV after D’amico, Kim and Wei (DKW), CBOE via FRED, policyuncertainty.com.