I'll try my best to provide an explanation of the link between treasury yield and exchange rates. However, my answer is not a reference, but just a piece of a dialogue.
First, I'll start by explaining the most simple model I can think of. Let's suppose there's an open economy with only two country (A and B), with a simple portfolio choice between bills and money. Will be able to describe this economy with a finite set of equations, including:
$$Hha = Va - Ba - Bb(1/xa)$$
This is the wealth constraint of the country $A$, where the holdings of domestic currency $(Hha)$ is equal to household wealth $(Va)$ minus the holdings of domestic bills $(Ba)$ and foreign bills ($Bb$ - is adjusted according to exchange rate). To fully understand the impact of change in treasury yield, will also need this other equation:
$$CAa = (Xa - IMa) - RaBa + RaBb(1/xa)$$
This means that the current account of country $A (CAa)$ is equal to it's trade balance plus income transfer (because the two country trade securities and not only goods).
Using the previous equations we can better understand the impact of treasury yield on exchange rate. First of all, let's suppose there's an increase in country A treasury yield (and that this increase leads to an increased demand for country A's bills). Following the wealth constraint, this mean that we can expect an appreciation of country A currency.
However, if we use the current account equation, we'll see that this impact is only on the short-term. The appreciation of country A currency leads to an increase in imports, which decrease the current account value. In turn, this progressive decrease in current account will put pressure on the exchange rate, and eventually depreciate Country A currency.
I'm not the best at explaining, but I would suggest reading Carnevali 2021.
Emilio Carnevali (2021): A New, Simple SFC Open Economy Framework,
Review of Political Economy, DOI: 10.1080/09538259.2021.1899518