Knee Jerk Vol & the Fed

  The Fed is now shrinking its balance sheet; they are no longer buying new securities as they mature. Below is a bit of analysis on if the Fed's recent activities in shrinking its balance sheet is the cause of the recent rise in volatility. Quick note: Data is at a weekly tenor, from Jan. … Continue reading Knee Jerk Vol & the Fed

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Bogus Tweet Risk

  Most financial media is focused on "tweet risk" or "trade wars". To me, these seem like water under the bridge. It's in China's interest politically to retaliate to trade sanctions, but not in their interest to crash US markets. They hold a massive amount of US Treasurys, if they stop buying US bonds, rates … Continue reading Bogus Tweet Risk

FX Dynamics

Two competing forces in FX markets: Interest Rate Parity and Hot Money Interest Rate Parity states that a lower yielding currency should appreciate relative to a higher yielding currency. According to the International Fischer Relationship, higher yielding currencies have higher inflation domestically. This inflation difference causes the high yielding currency to depreciate relative to a … Continue reading FX Dynamics