The yield dip in the market’s favored end-of-the-world hedge was much more pronounced than the expected federal funds rate (from the year-ahead futures price) indicated, and the bounce-back in TIPS yields was correspondingly higher. TIPS yields (reflecting the cost of out-of-the-money protection against extremes of inflation and deflation) have been much more volatile than expectations about the Fed.
Fed expectations don’t explain all the move in TIPS
Yields for TIPS, the market's favored end-of-the-world hedge, have been much more volatile than expectations about the Fed.
