Impact of disasters on interest rates

Hi,

The recent tsunami led me to ponder the effect of big disasters on interest rates. I've tried looking at what happened to interest rates for EUR, GBP and USD on 9/11 but can't get any data going back that far.

Could anyone here help to point me in the right direction?

Thanks,

Mauzj

mauzj said:

The recent tsunami led me to ponder the effect of big disasters on interest rates. I've tried looking at what happened to interest rates for EUR, GBP and USD on 9/11 but can't get any data going back that far.

Could anyone here help to point me in the right direction?

Click to expand...

On Sept 11th the Bund shot through the roof, was very thin and very dangerous to trade. The same thing happened when a plane crashed into the suburbs a few months later as people thought it was another attack. Usually people will flee to quality and that means bonds........(at least for the moment)

Hi Minx,

Thank you for responding to my question. 911 was before my trading days and I'm trying to learn about how it affected the markets in order to factor major disasters into my trading models.

Did Euribor, EONIA and US Treasuries all shoot up by similar amounts? And do you remember how many basis points the Bund shot up by?

Thanks,

Mauzj.

minx said:

On Sept 11th the Bund shot through the roof, was very thin and very dangerous to trade. The same thing happened when a plane crashed into the suburbs a few months later as people thought it was another attack. Usually people will flee to quality and that means bonds........(at least for the moment)

Click to expand...

I think you will find short term interest rates contracts will go up... ie. imply rate cuts, but beware of certain spreads because the curve will act in different ways... the front 2/3 spreads will decrease quite a bit but others might nit react as much, so be careful with strategies involving/ across the curve... best stick to something like H5M5, M5U5, M5Z5, etc

mauzj said:

Hi Minx,

Thank you for responding to my question. 911 was before my trading days and I'm trying to learn about how it affected the markets in order to factor major disasters into my trading models.

Did Euribor, EONIA and US Treasuries all shoot up by similar amounts? And do you remember how many basis points the Bund shot up by?

Thanks,

Mauzj.

Click to expand...

Also buy calendars, ie H5H6 or M5M6 as front end will rally harder than mid curve... implying nearer term rate cuts more aggressive