7 October 2022
5 year Government Bond spread / EURUSD relation

Since some of you were interested to know what the relation between Government Bond spreads and spot FX looks like, I thought I’d share with you this linear regression I made using the spread between 5Y German and US Bond yield (EURO on graph). I’ve done others (pretty simple) but it’s the first time I see the Spot exchange rate “bounce off” the expected one, will it happen again ? (sample is 01/01/2000 – 01/06/2010).



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