Short-Term U.S. Treasury Yields Rise Moderately After May CPI Report, Down 50% vs. Employment Data Sensitivity

According to Afonso Borges, fixed income analyst at Paxforex, short-term U.S. Treasury yields posted a moderate rebound on Wednesday following the May CPI report release. The 2-year Treasury yield typically fluctuates by an average of only 3 basis points on inflation report days, according to the past 12 CPI releases.

This modest movement stands in sharp contrast to employment data releases, which trigger significantly larger swings. Borges noted that CPI-related volatility is less than half the average fluctuation seen when stronger-than-expected job reports are announced.