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Fed says, 'Quantitative Tightening does Nothing (QE too)' [Ep. 288, Eurodollar University]

Eurodollar University

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In a Crisis Period, Treasure Rates Are Going to Be More Volatile

Escef: I model a crisis period as one in which risk aversion of arbitrages increases sharply, implying a reduced risk bearing capacity. In this case, the market is more volatile. The tenure yield volatility increases from one point three% to one point seven%. And almost forty % increase, yes. It's interesting that the they say that in a crisis period, treasure yields become more volatile, which they do. What they don't tell you is that they're usually falling precipitously.

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