The correlation between between 30yr fixed mortgage interest rates and 10 yr treasury yield seemed to break down in early Aug, just when the liquidity/credit crunch started to hit the fan.
All sorts of interesting things went screwy around that time. A number of the “quant” hedge funds were caught off gaurd when the market did not behave as predicted.
These recent liquidity and credit crunch events will keep PhD economists busy for years. I can see alot of dissertations coming out of this one. This will make the LTCM fiasco in the late 90s look like child’s play.
