Volatile currency and commodity prices

Transcription

1 Dr. Jürgen Michels, Chief Economist and Head of Research Volatile currency and commodity prices 11. Structured FINANCE 2015 Stuttgart, 26 th November 2015

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3 Commodity and FX markets: Rollercoaster and bungee jump Commodities, Jan 2014=100 Currencies rel. to USD, Jan 2014=100 Source: Thomson Reuters Datastream, BayernLB Research page2

4 Move in oil prices more pronounced than for other commodities HWWI raw material price index, USD-base, monthly, 2010=100 Source: Datastream and HWWI, BayernLB Research Page 3

5 Unusually high volaitilty in oil prices given the modest volatility of US economic sentiment US Manufacturing Sentiment and oil price, 1Y SD Source: Thomson Reuters Datastream, BayernLB Research Page 4

6 China: PMI volatilitynot a goodleadfor commodity price volatility China manufacturing sentiment and HWWA Total, 1Y SD Source: Thomson Reuters Datastream, BayernLB Research page5

7 China: Fears of China hard landing propel volatility in commodity prices China manufacturing sentiment, level, and HWWA Total, 1Y SD Source: Thomson Reuters Datastream, BayernLB Research page6

8 China: Gradual transition from investment to consumption driven demand Real GDP, change againstprevious year in percent and contributions to real GDP growth in percentage points, quarterly data Source: Thomson Reuters Datastream, BayernLB Research page7

9 China: Trade channelshowsmajorrisksforasian countries and exporters of commodities Goods exports to China in percent of exporter s nominal GDP, 2014 Spain CEE UK India US Italy France Canada Euro area Brazil Russia Germany Indonesia Japan Middle East New Zealand Australia Philippines South Africa Korea Source: Thomson Reuters Datastream, BayernLB Research page8

10 Increasing debt in emerging markets one source of current episode of hightened volatility Global debtbysectorin trillionusd Debtbycountrygroupsin percentofgdp 160 Public Sector Nonfin. Corporations Priv. Households 280 Advanced Econ. Developing Econ Q Q Source: BIS, IMF, BayernLB Research page9

11 Significant increase in liabilities of corporates from emerging markets Change in liabilitiesof NFC from emgerging markets , in percent of GDP Source: IMF, BayernLB Research Seite 10

12 Central banks got more important, and might create even more market volatility Bank claims against other MFIs, global, in bn. dollar and G4-Central bank balance sheet (Fed, ECB, BoJ and BoE) in bn. dollar ratio in percent (rhs) CBs balance sheet (lhs) claims against banks (lhs) Source: Thomson Reuters Datastream, BayernLB Research page 11

13 Forecast Overview In percent GDP Growth 1) on previous year Inflation on previous year US Euro area Germany France Italy Spain Japan UK Advanced markets China Russia Emerging markets World ) In constant prices Seite 12

14 Bayern LB: Financial market forecast act in 3M in 6M in 12M 12 Nov 2015 Jan 2016 Apr 2016 Oct 2016 Euro area (refi ratio) UK (base rate) US (Fed funds target) Japan (overnight call rate) y treasuries, in percent y bunds, in percent iboxx Non-Financials iboxx Covered Dollar per Euro Yen per Euro Pound per Euro DAX 10,908 11,200 11,600 12,000 EURO STOXX 50 3,448 3,520 3,620 3,720 S&P 500 2,075 2,120 2,170 2,220 Brent ($ per barrel) Gold ($ per troy ounce) Seite 13

15 Oil prices: Volatile sideward movement in coming months most likely Demand Concerns about weak global economic dynamic (emerging economies, China) Expectations of an increase in energy efficiency (particularly in China) Supply Temporary reduction in US-production (Fracking), but quick rebound possible Return of Iran as an oil exporter Decreased cartel-power of the OPEC Special factors leading to temporary higher volatility Economic pressure on Russia Efforts to make alternative sources and production processes unprofitable (fracking) High production in crisis regions (IS, Libya) Long-Positions are still high Page 14

16 BayernLB Research Team Dr. Jürgen Michels, Chief Economist and Head of Research (-21750) Anna Maria Frank (-21751); Secretary Ingo Bothner (-21787); Media Engineering, CCI Economics Investment Research Dr. Johannes Mayr, (-21859); Euro area, ECB Alexander Plenk, CFA (-27076) Manuel Andersch (-27448); Sterling/UK, Swiss Franc/Sw itzerland Rates Strategy, Government Bonds, SSA Christiane von Berg (-28745); US/Fed, Japan/BoJ Alexander Aldinger (-24877) Wolfgang Kiener (-27058); Dollar, Yen Asja Hossain, CFA (-27065) Dr. Stefan Kipar (-27346); Germany Dr. Norbert Wuthe (-27209) Covereds & Financials Alfred Anner, CEFA (-27072); Covered Bonds Dr. Ulrich Horstmann, CEFA (-21873); Financials Tekla Linsner (-25705); Covered Bonds Country Risk & Sector Analysis Mara Schulz (-27070); Covered Bonds Hubert Siply (-21307) Stefan Voß (-21808); Financials Contry Risk Analysis Credits Dr. Alexander Kalb (-22858); Western Europe, South America Amir Darabi (-25727); Corporate Bonds & SSD Manuel Schimm (-26845); Asia, North America Matthias Gmeinw ieser, CIIA (-26323); Corporate Bonds & SSD Gebhard Stadler (-28891); Eastern Europe/CIS, Central America Miraji Othman (-25888); Strategy Verena Strobel (-21320); Middle East, Africa Christian Strätz, CEFA, CIIA (-27068); Corporate Bonds & SSD, Strategy Sector Analysis Equity Market/Strategy/Retail Wolfgang Linder (-21321); Automotive, Chemicals, Pharmaceuticals, Manfred Bucher, CFA (-21713) Aviation, Basis Resources & Steel, Oil & Gas, Logistics Christoph Gmeinw ieser, CIIA (-27053) Thomas Peiß (-28487); Construction, Technology, Engineering, Technical Analysis Utilities, Retail, Telecoms, Media Hans-Peter Reichhuber (-21780); Rates, Currencies, Equities Seite 15

17 General Note This publication constitutes research of a non-binding nature on the market situation and the investment instruments cited here at the time of the publication of this information on 1 February, This research is, to the best of our knowledge, based on generally accessible sources which are reliable and accurate. However, no liability can be accepted for any errors or inaccuracies in information derived from these sources. The information used in this publication has not been checked for accuracy, completeness or relevance to current events. Consequently, no guarantee can be assumed for the completeness and accuracy of this report. This publication is for information only. It is not intended as a substitute for individual professional advice on investments and assets. Our investment consultants are at your disposal should you wish to procure additional up-to-date information. Page 16

18 Dr Jürgen Michels Phone: