Market Briefing: Global Interest Rates

Transcription

1 Market Briefing: Global Interest Rates May, Dr. Edward Yardeni -9- Debbie Johnson -- Please visit our sites at www. blog. thinking outside the box

2 Table Of Contents Table Of Contents US Government Bond Yield & GDP US Government Bond Yield US Nominal & Real Bond Yield US Mortgage Rate & Bond Yield US High Yield Corporate Bond Yield & Spread US Municipal Yield & Spread European Government Bond Yields - G Government Bond Yields 9 Emerging Markets Bond Yields - United States Canada United Kingdom France Germany Italy Spain 9 Japan Brazil China India South Korea May, / Market Briefing: Global Interest Rates www.

3 Figure. US Government Bond Yield & GDP US TREASURY BOND YIELD & NOMINAL GDP GROWTH -Year US Treasury Bond Yield (.) Nominal GDP (yearly percent change) (.) Q Source: US Department of Commerce, Bureau of Economic Analysis, and Board of Governors of the Federal Reserve System. Figure. SPREAD BETWEEN US TREASURY BOND YIELD & NOMINAL GDP GROWTH* - Q * -year bond yield minus yearly percent change in nominal GDP. Source: US Department of Commerce, Bureau of Economic Analysis, and Board of Governors of the Federal Reserve System. Page / May, / Market Briefing: Global Interest Rates www.

4 Figure. US Government Bond Yield UNITED STATES: -YEAR GOVERNMENT BOND YIELD (monthly, percent) Apr Figure. UNITED STATES: -YEAR GOVERNMENT BOND YIELD / Page / May, / Market Briefing: Global Interest Rates www.

5 ... Figure. BOND YIELDS US Nominal & Real Bond Yield QE B QE O QE QE T Year Bond Yield / Year TIPS Yield* (daily) / QE = Fed buys $.tn in mortgage securities. B = Bernanke speeches at Jackson Hole on // and // set stage for QE and QE. QE = Fed buys $bn in Treasuries. O = Operation Twist from 9//-//. QE = Fed buys $bn/month in mortgage securities (to infinity and beyond). QE = Fed buys $bn/month in Treasuries until unemployment rate falls to.%. T = Fed starts tapering QE. * Yields on Treasury Inflation Protected Securities (TIPS) adjused to constant maturities. Source: Federal Reserve System, US Treasury and US Department of Commerce, Bureau of Economic Analysis Figure. EXPECTED INFLATION IN -YEAR TIPS* QE B QE O QE QE 9 T / QE = Fed buys $.tn in mortgage securities. B = Bernanke speeches at Jackson Hole on // and // set stage for QE and QE. QE = Fed buys $bn in Treasuries. O = Operation Twist from 9//-//. QE = Fed buys $bn/month in mortgage securities (to infinity and beyond). QE = Fed buys $bn/month in Treasuries until unemployment rate falls to.%. T = Fed starts tapering QE. * Yield spread between -year US Treasury bond and comparable TIPS. Source: Federal Reserve System, US Treasury and US Department of Commerce, Bureau of Economic Analysis. Page / May, / Market Briefing: Global Interest Rates www.

6 .... Figure. US INTEREST RATES US Mortgage Rate & Bond Yield -Year Mortgage Rate (.) -Year Treasury Yield (.) / / Source: Board of Governors of the Federal Reserve System... Figure. -YEAR MORTGAGE RATE MINUS -YEAR TREASURY BOND YIELD (basis points) / 9 Page / May, / Market Briefing: Global Interest Rates www.

7 Figure 9. US High Yield Corporate Bond Yield & Spread US HIGH-YIELD CORPORATE BOND 9 9 / Source: Merrill Lynch. Figure. US HIGH YIELD CORPORATE YIELD LESS -YEAR TREASURY YIELD SPREAD (basis points) / Source: Merrill Lynch, Board of Governors of the Federal Reserve System. Page / May, / Market Briefing: Global Interest Rates www.

8 Figure. US AAA MUNICIPAL YIELD US Municipal Yield & Spread / 9 Source: Merrill Lynch. Figure. US AAA MUNICIPAL BOND YIELD LESS -YEAR TREASURY YIELD SPREAD (basis points) - / Source: Merrill Lynch, Board of Governors of the Federal Reserve System. - Page / May, / Market Briefing: Global Interest Rates www.

9 Figure. -YEAR GOVERNMENT E BOND YIELDS IN EUROPE European Government Bond Yields France Germany Italy Spain E = Euro introduced on January, 999. Apr.. Figure. EUROZONE: -YEAR GOVERNMENT BOND YIELDS D France (.9) Germany (.) Italy (.) Spain (.) D = On July,, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. /.... Page / May, / Market Briefing: Global Interest Rates www.

10 .... Figure. European Government Bond Yields -YEAR GOVERNMENT BOND YIELDS France (.9) Germany (.) Japan (.) Sweden (.) United States (.) / Figure. -YEAR GOVERNMENT BOND YIELDS D..... Spain (.) Italy (.) / 9 D = On July,, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. Source: Financial Times.. Page / May, / Market Briefing: Global Interest Rates www.

11 G Government Bond Yields.. Figure. CANADA FRANCE / UNITED KINGDOM ITALY GERMANY JAPAN Page 9 / May, / Market Briefing: Global Interest Rates www.

12 Figure. Emerging Markets Bond Yields HONG KONG: -YEAR GOVERNMENT BOND YIELD 9 INDIA: -YEAR GOVERNMENT BOND YIELD / / 9 MALAYSIA: -YEAR GOVERNMENT BOND YIELD / 9 PHILIPPINES: -YEAR GOVERNMENT BOND YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

13 Figure 9. Emerging Markets Bond Yields SINGAPORE: -YEAR GOVERNMENT BOND YIELD / 9 SOUTH KOREA: -YEAR GOVERNMENT BOND YIELD /.. 9 TAIWAN: -YEAR GOVERNMENT BOND YIELD /.. 9 THAILAND: -YEAR GOVERNMENT BOND YIELD. / 9 Page / May, / Market Briefing: Global Interest Rates www.

14 Figure. Emerging Markets Bond Yields BRAZIL: -YEAR GOVERNMENT BOND YIELD / 9 9 CHILE: -YEAR GOVERNMENT BOND YIELD 9 / 9 COLOMBIA: -YEAR GOVERNMENT BOND YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

15 Figure. UNITED STATES: FED FUNDS TARGET RATE United States UNITED STATES: -MONTH T-BILL RATE 9 UNITED STATES: -YEAR GOVERNMENT BOND YIELD / / / 9 Page / May, / Market Briefing: Global Interest Rates www.

16 Figure. CANADA: CENTRAL BANK TARGET RATE Canada / 9 CANADA: -MONTH T-BILL RATE / 9 CANADA: -YEAR GOVERNMENT BOND YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

17 Figure. UNITED KINGDOM: CENTRAL BANK REPO RATE United Kingdom 9 UNITED KINGDOM: -MONTH LIBOR RATE / 9 UNITED KINGDOM: -YEAR GOVERNMENT BOND YIELD / / 9 Page / May, / Market Briefing: Global Interest Rates www.

18 Figure. FRANCE: ECB REFINANCING RATE France 9 FRANCE: -MONTH T-BILL RATE / / - 9 FRANCE: -YEAR GOVERNMENT BOND YIELD - / 9 Page / May, / Market Briefing: Global Interest Rates www.

19 Figure. GERMANY: ECB REFINANCING RATE Germany 9 GERMANY: -MONTH T-BILL RATE / / - 9 GERMANY: -YEAR GOVERNMENT BOND YIELD - 9 / Page / May, / Market Briefing: Global Interest Rates www.

20 Figure. ITALY: ECB REFINANCING RATE Italy 9 ITALY: -YEAR GOVERNMENT YIELD / 9 ITALY: -YEAR GOVERNMENT BOND YIELD / / 9 Page / May, / Market Briefing: Global Interest Rates www.

21 Figure. SPAIN: ECB REFINANCING RATE Spain 9 SPAIN: -MONTH T-BILL RATE / 9 SPAIN: -YEAR GOVERNMENT BOND YIELD / / 9 Page 9 / May, / Market Briefing: Global Interest Rates www.

22 .. Figure. JAPAN: BOJ OVERNIGHT CALL RATE (monthly, percent) Japan Mar JAPAN: -YEAR GOVERNMENT BOND YIELD JAPAN: -YEAR GOVERNMENT BOND YIELD 9/ /... Page / May, / Market Briefing: Global Interest Rates www.

23 Figure 9. BRAZIL: CENTRAL BANK SELIC RATE Brazil / 9 BRAZIL: -YEAR GOVERNMENT BOND YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

24 China.. Figure. CHINA CENTRAL BANK RATE... Apr.. 9 CHINA -MONTH SHIBOR RATE /.. CHINA -YEAR GOVERNMENT BOND YIELD... 9 / Page / May, / Market Briefing: Global Interest Rates www.

25 Figure. INDIA CENTRAL BANK RATE India / 9 INDIA -MONTH TREASURY BILL YIELD / 9 INDIA -YEAR GOVERNMENT YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

26 Figure. SOUTH KOREA CENTRAL BANK RATE South Korea SOUTH KOREA INTERBANK -MONTH RATE /... / 9 SOUTH KOREA -YEAR GOVERNMENT BOND YIELD / 9 Page / May, / Market Briefing: Global Interest Rates www.

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