VIX up as GeoPolitical Risk rises. Dollar jumps on the invasion, but eases today, Treasury yields down due to safe haven effects. Anticipated interest rate increases moderate.
Figure 1: Geopolitical Risk index – Acts (blue, left scale) and VIX (brown, right scale), and Source: CBOE via FRED, Caldara and Iacoviello.
Figure 2: Nominal trade weighted value of US dollar against advanced country currencies (blue, left log scale), and VIX (brown, right scale). 2/28 exchange rate observation based on DXY index movement. Source: Federal Reserve Board, CBOE via FRED, yahoo.finance, and author’s calculations.
Figure 3: Ten year Treasury yield, % (blue, left scale), and VIX (brown, right scale). Source: Treasury, CBOE via FRED.
I find it interesting that implied interest rates 2 to 3 months ahead are fairly stable, after having dropped from mid-February.
Figure 4: Implied average of Treasury interest rates 2-3 months ahead (blue, left scale), and VIX (brown, right scale). Source: Treasury via CBOE via FRED, and author’s calculations.