http://viableopposition.blogspot.ca/2013/12/the-bond-volatility-haircut.html
The Federal Reserve's long
experiment with its zero interest rate policy is looking like it is going to
wind down over the coming months. As the Fed withdraws its support from
the bond markets, the price of Treasuries is likely to fall and, since interest
rates move in the opposite direction to bond prices, the rates on government
bonds will rise. We're already seeing some evidence of that in the fixed
income market as shown here:
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