---
title: What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times
url: https://www.ml-quant.com/papers/repec/bde-wpaper-2629e/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-09
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:bde:wpaper:2629e
source_url: https://econpapers.repec.org/RePEc:bde:wpaper:2629e
featured: 2026-10-09
citations: unknown
topic: Macro-Finance & Rates
---


# What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times

Volatility and kurtosis reveal that dollar depreciation and rising Treasury yields reflect multiple distinct shocks rather than a single tariff announcement shock.

- Source: https://econpapers.repec.org/RePEc:bde:wpaper:2629e
- Identifier: RePEc:bde:wpaper:2629e
- Released: 2026-10-05
- First featured: Quant Letter No. 134 (2026-10-09): https://www.ml-quant.com/issues/2026-10-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates
- Authors: Lucas ter Steege, Sofia Velasco

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