Source: Bloomberg

Which is the tail and which is the dog? During the past two weeks “causality” (that is, Granger Causality) on one-minute interval tick data shifts back and forth. Today was of course led by the US. Most of the time, though, Granger points to Bund futures leading Treasury futures.

I’m still persuaded that the Germans are going to pull the plug on negative interest rates before long and that this will have a powerful impact on rate convergence. EUR is running in front of the interest rates, which suggests that a lot of people expect this to happen.