Predicting the Markets Chapter 15 Charts: Predicting Commodities

Transcription

1 Predicting the Markets Chapter 15 Charts: November 2, 216 Dr. Edward Yardeni Mali Quintana Please visit our sites at www. blog. thinking outside the box

2 Table Of Contents Table Of Contents 1-17 November 2, 216 / Chapter 15 Charts: www.

3 Figure 1. CRB RAW INDUSTRIALS SPOT PRICE INDEX* (1967=, ratio scale) * Weekly from 1951 to 1981, daily thereafter. Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Commodity Research Bureau. Figure 2. CRB RAW INDUSTRIALS SPOT PRICE INDEX* (1967=, daily) C C = China enters World Trade Organization. * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Commodity Research Bureau. Page 1 / November 2, 216 / Chapter 15 Charts: www.

4 36 33 Figure 3. CHINA INDUSTRIAL PRODUCTION* (5=, sa) Sep Dec * Value added basis. Source: IMF International Financial Statistics Figure 4. CHINA REAL GDP & INDUSTRIAL PRODUCTION (yearly percent change) Real GDP (6.7) Industrial Production* (6.1) Sep * Value added basis. Source: Haver Analytics. Page 2 / November 2, 216 / Chapter 15 Charts: www.

5 22 2 Figure 5. CHINA INDUSTRIAL PRODUCTION & INDUSTRIALS COMMODITY PRICE INDEX China Industrial Production* (yearly percent change) Sep 4 2 CRB Raw Industrials Spot Price Index** (1967=) * Value added basis. ** Includes hides, tallow, copper scrap, lead scrap, steel scrap, zinc, tin, burlap, cotton, print cloth, wool tops, rosin, rubber, hogs, steers, lard, butter, soybean oil, cocoa, corn, Kansas City wheat, Minneapolis wheat, and sugar. Source: Commodity Research Bureau and Haver Analytics. 22 Figure 6. CHINA INDUSTRIAL PRODUCTION & COPPER PRICE China Industrial Production* (yearly percent change) Sep 4 2 Copper Futures Price** (cents per pound) * Value added basis. ** Nearby futures contract. Source: Haver Analytics. Page 3 / November 2, 216 / Chapter 15 Charts: www.

6 Figure 7. CHINA REQUIRED RESERVE RATIO (percent) Source: People s Bank of China. Required Reserve Ratio Large Depository Institutions (17.) Small/Medium Depository Institutions (15.) 11/ Figure 8. CHINA M2 & BANK LOANS (yearly percent change in yuan) M2 (11.5) Bank Loans (13.) Sep Sep Source: People s Bank of China. 5 Page 4 / November 2, 216 / Chapter 15 Charts: www.

7 1 1 Figure 9. BALTIC DRY INDEX (1/4/85=, daily) Source: The Baltic Exchange. 65 Figure 1. INDUSTRIALS COMMODITY PRICE INDEX & COPPER PRICE CRB Raw Industrials Spot Price Index* (1967=) 11/ Copper Futures Price** (cents per pound) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Nearby futures contract. Source: Commodity Research Bureau and Haver Analytics. Page 5 / November 2, 216 / Chapter 15 Charts: www.

8 Figure 11. BOOM-BUST BAROMETER* (four-week average, ratio scale) 1/ * Weekly average of CRB raw industrials spot price index divided by initial unemployment claims, showing four-week average. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Commodity Research Bureau and US Department of Labor Figure 12. BOOM BUST BAROMETER* & BEAR MARKETS IN STOCKS (four-week average, ratio scale) 1/ * Weekly average of CRB raw industrials spot price index divided by initial unemployment claims, four-week average, showing four-week average. Note: Shaded red areas denote S&P bear market declines of 2% or more. Yellow areas show bull markets. Source: Commodity Research Bureau and US Department of Labor. Page 6 / November 2, 216 / Chapter 15 Charts: www.

9 Figure 13. S&P INDEX & YRI BOOM-BUST BAROMETER 1/22 S&P Index YRI Boom-Bust Barometer* * CRB raw industrials spot price index (weekly average) divided by weekly initial unemployment claims, showing four-week moving average. Source: Bloomberg, Commodity Research Bureau, Department of Labor, and Standard & Poor s Corporation Figure 14. S&P FORWARD EARNINGS & YRI BOOM-BUST BAROMETER (weekly) S&P Forward Earnings* YRI Boom-Bust Barometer** 1/22 1/ * S&P forward consensus expected operating earnings per share. Time-weighted average of the current year s and next year s consensus forecast. ** CRB raw industrials spot price index (weekly average) divided by weekly initial unemployment claims, showing four-week moving average. Source: Bloomberg, Commodity Research Bureau, Department of Labor, and Thomson Reuters I/B/E/S. Page 7 / November 2, 216 / Chapter 15 Charts: www.

10 25 Figure 15. S&P SECTORS PRICE INDEXES DURING BULL MARKET OF 3-7 (percent change in US dollars) Consumer Discretionary (81.4) Consumer Staples (57.5) Energy (223.2) Finance (83.1) Health Care (43.6) Industrials (124.9) Information Technology (12.) Materials (153.8) Telecommunications Services (112.4) Utilities (138.7) Source: Standard & Poor s Corporation Figure 16. MSCI SHARE PRICE INDEXES DURING BULL MARKET OF 3-7 (percent change in US dollars) Emerging Markets (367.4) EMU (215.4) Japan (123.4) UK (142.3) US (96.7) Source: Morgan Stanley Capital International and Standard & Poor s Corporation Page 8 / November 2, 216 / Chapter 15 Charts: www.

11 Figure 17. EMERGING MARKETS MSCI STOCK PRICE INDEX (in local currencies) & INDUSTRIALS COMMODITY PRICE INDEX Emerging Markets MSCI Stock Price Index (local currencies) CRB Raw Industrials Spot Price Index* * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Morgan Stanley Capital International and Commodity Research Bureau. 18 Figure 18. EMERGING MARKETS MSCI CURRENCY INDEX & INDUSTRIALS COMMODITY PRICE INDEX (US$) 1 Emerging Markets MSCI Currency Index* 1 CRB Raw Industrials Spot Price Index** * Includes Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. ** Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 9 / November 2, 216 / Chapter 15 Charts: www.

12 .22 Figure 19. S&P MATERIALS & INDUSTRIALS COMMODITY PRICE INDEX S&P Materials Index (as a ratio of S&P Index) CRB Raw Industrials Spot Price Index* (1967=) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Standard & Poor s Corporation and Commodity Research Bureau..6 Figure 2. S&P ENERGY & BRENT CRUDE OIL PRICE S&P Energy Index (as a ratio of S&P Index) 75.2 Brent Crude Oil Futures Price* (dollars per barrel) * Nearby futures price. Source: Standard & Poor s Corporation and Financial Times. Page 1 / November 2, 216 / Chapter 15 Charts: www.

13 Figure 21. WEST TEXAS INTERMEDIATE CRUDE OIL PRICE (dollars per barrel, ratio scale) * Monthly from 1946 to 1984, then daily. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Haver Analytics. Figure 22. BRENT CRUDE OIL PRICE & INDUSTRIALS COMMODITY PRICE INDEX CRB Raw Industrials Spot Price Index* 6 Brent Crude Oil Futures Price** (dollars per barrel) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Nearby futures price. Source: The Commodity Research Bureau and Haver Analytics. Page 11 / November 2, 216 / Chapter 15 Charts: www.

14 18 Figure 23. CRUDE OIL: ACTIVE US RIG COUNT & FIELD PRODUCTION Rig Count (units) 1/ Production (million barrels per day, nsa) / Source: Baker Hughes Inc. and US Department of Energy Figure 24. CRUDE OIL OUTPUT: OPEC & NON-OPEC (DOE Data) (million barrels per day) Non-OPEC Mar Total OPEC Mar Source: US Department of Energy. 15 Page 12 / November 2, 216 / Chapter 15 Charts: www.

15 Figure 25. S&P GSCI SOYBEANS INDEX (December 31, 1969=) Source: Standard & Poor s Corporation Figure 26. CONSUMER PRICE INDEX: FOOD ( =, ratio scale) Sep Source: Bureau of Labor Statistics. Page 13 / November 2, 216 / Chapter 15 Charts: www.

16 Figure 27. Nixon Ford Carter Reagan Bush I Clinton Bush II Obama GOLD PRICE* (dollars per ounce, ratio scale) * Cash price, London gold bullion, PM Fix. Monthly from 1968 through 1974, then daily. Source: Haver Analytics Figure 28. GOLD PRICE* / CPI Dec Sep * Cash price. London gold bullion, PM Fix. Source: US Department of Labor, Bureau of Labor Statistics, Standard & Poor s, and Haver Analytics. Page 14 / November 2, 216 / Chapter 15 Charts: www.

17 16 Figure 29. GOLD PRICE & FED S MAJOR TRADE-WEIGHTED DOLLAR INDEX Gold Price* (dollars per ounce) Fed s Major Trade-Weighted Dollar Index** (March 1973=) 1 1/ * Cash price, London gold bullion, PM Fix. ** Index is the weighted average of the foreign exchange rates of the US dollar against the Euro Area, Canada, Japan, United Kingdom, Switzerland, Australia, and Sweden. The Euro Area includes Germany, France, Italy, Netherlands, Belgium/Luxembourg, Ireland, Spain, Austria, Finland, Portugal, & Greece. Source: Haver Analytics Figure 3. GOLD PRICE & INDUSTRIALS COMMODITY PRICE INDEX Gold Price* (dollars per ounce) CRB Raw Industrials Spot Price Index** (1967=) * Cash price London gold bullion, PM Fix. ** Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics and Commodity Research Bureau. Page 15 / November 2, 216 / Chapter 15 Charts: www.

18 Figure 31. GOLD CASH PRICE (dollars per troy ounce) D A Price ( ) day moving average D = On July 26, 212, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. A = On April 4, 213, Bank of Japan implemented "Abenomics" monetary policy. Source: Haver Analytics. Figure 32. GOLD PRICE & 1-YEAR TIPS YIELD Gold Price* (dollars per ounce) ( ) 1-Year TIPS Yield (percent, inverted scale) (.11) * Cash price. London gold bullion, PM Fix. Source: Board of Governors of the Federal Reserve System. Page 16 / November 2, 216 / Chapter 15 Charts: www.

19 9 Figure 33. S&P GOLDMAN SACHS COMMODITY INDEX (nearby futures price) Source: Standard & Poor s and Haver Analytics. Figure 34. S&P GOLDMAN SACHS COMMODITY INDEX & OIL PRICE 8 Goldman Sachs Commodity Index (nearby futures price) West Texas Intermediate Crude Oil Price Index (dollars per barrel) Oct Source: Standard & Poor s and Haver Analytics. Page 17 / November 2, 216 / Chapter 15 Charts: www.

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