Carolin Pflueger and co-authors · Odd Lots · Why Treasuries Are 'Risky' Again
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Measured Treasury bond risk by calculating the co-movement (correlation) between Treasury bond returns and stock returns over different periods
“The inflation component in nominal bonds plays an important role… when you hold nominal bonds, that's of course exposed… the increase in bond risks has some similarities… bonds and stocks have moved together.”
“The treasury buyback program ... we’re going to buy back that 28-year bond ... and we’re going to issue treasury bills”
“At one point, we had about a 80% correlation on a one-month basis between two-year treasury yields and the price of oil.”
“What would it take for the bond market to have a negative return over the next 10 years? It would take 14%-15% 10-year yields in the next five to seven years.”
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