EPU, VIX and GPR:
Figure 1: EPU (blue, left scale), 7 day centered moving average (bold red, left scale), VIX (green, right scale). Source: policyuncertainty.com, CBOE via FRED, and author’s calculations.
Figure 2: Geopolitical Risk Index (black), 7 day centered moving average (pink). Source: Caldara, et al.and author’s calculations.
Inflation breakeven and DKW estimates of 5 year inflation.
Figure 3: 5 year Inflation break-even/Treasury-TIPS spread (blue), DKW expected inflation estimate (red), both in %. Source: Treasury via FRED, Fed/DKW.
Volatility is still here.
While oil prices are down, the implied volatility of oil prices remains high. Here’s the CBOE oil ETF volatility index:
Figure 4: CBOE oil ETF volatility index. Source: CBOE via FRED.
