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Predicting the Markets:Chapter 10 Charts:Predicting Bonds
Yardeni Research, Inc.
August 28, 2021
Dr. Edward YardeniChief Investment Strategist
Mali QuintanaSenior Economist
Please visit our sites atwww.yardeni.comblog.yardeni.com
thinking outside the box
Table Of Contents Table Of ContentsTable Of Contents
August 28, 2021 / Chapter 10 Charts: Predicting Bonds www.yardeni.com
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Predicting Bonds 1-27
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 19894
6
8
10
12
14
16
18
4
6
8
10
12
14
16
18US TREASURY 10-YEAR BOND YIELD: 1965-1989(percent, daily)
5.383/23/71
15.849/30/81
10.125/4/83
13.995/30/84
10.2310/16/87
Source: Federal Reserve Board.
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Figure 1.
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 19890
2
4
6
8
10
12
14
16
18
0
2
4
6
8
10
12
14
16
18US CONSUMER PRICE INDEX: 1965-1989(yearly percent change, monthly)
2.76/72
12.312/74
14.83/80
2.57/83
4.83/84 1.1
12/86
Source: Bureau of Labor Statistics.
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Figure 2.
Predicting Bonds
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1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 19892
4
6
8
10
12
14
16
18
20
22
2
4
6
8
10
12
14
16
18
20
22FEDERAL FUNDS RATE: 1965-1989(percent, weekly)
Source: Federal Reserve Board.
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Figure 3.
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 19894
6
8
10
12
14
16
18
20
22
4
6
8
10
12
14
16
18
20
22US BANK PRIME LOAN RATE: 1965-1989(percent, weekly)
Source: Federal Reserve Board.
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Figure 4.
Predicting Bonds
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65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 893
4
5
6
7
8
9
10
11
12
3
4
5
6
7
8
9
10
11
12US UNEMPLOYMENT RATE: 1965-1989(percent, monthly)
3.45/69
6.18/71
4.610/73
9.05/75
5.65/79
10.812/82
5.03/89
Source: Bureau of Labor Statistics.
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Figure 5.
65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 893.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5REAL GDP: 1965-1989(trillion 2012 dollars, saar, quarterly, ratio scale)
Source: Bureau of Economic Analysis.
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Figure 6.
Predicting Bonds
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53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
14
16
18
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
14
16
18
Jul
Q2US TREASURY BOND YIELD & NOMINAL GDP GROWTH
Nominal GDP(yearly percent change)
US Treasury 10-YearBond Yield(percent)
Source: Bureau of Economic Analysis and Federal Reserve Board.
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Figure 7.
53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25-16
-14
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
-16
-14
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
Q2
SPREAD BETWEEN US TREASURY BOND YIELD & NOMINAL GDP GROWTH*(percentage points)
* US Treasury 10-year bond yield minus yearly percent change in nominal GDP.Source: Bureau of Economic Analysis and Federal Reserve Board.
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Figure 8.
Predicting Bonds
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1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 200010
14
18
22
26
30
34
38
42
46
50545862
10
14
18
22
26
30
34
38
42
46
50545862
WEST TEXAS INTERMEDIATE CRUDE OIL PRICE: 1980-2000(dollars per barrel, monthly, ratio scale)
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.Source: Haver Analytics.
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Figure 9.
80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00.7
.9
1.1
1.3
1.5
1.7
1.9
2.1
2.3
2.5
.7
.9
1.1
1.3
1.5
1.7
1.9
2.1
2.3
2.5HOUSING STARTS: 1980-2000(million units, saar, monthly)
Source: Census Bureau.
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Figure 10.
Predicting Bonds
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1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 20004
5
6
7
8
9
10
11
4
5
6
7
8
9
10
11US TREASURY 10-YEAR BOND YIELD: 1987-2000(percent, daily)
Source: Federal Reserve Board.
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Figure 11.
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 20001000
2000
3000
4000
5000
6000
7000
8000
9000
10000
11000
12000
13000
1000
2000
3000
4000
5000
6000
7000
8000
9000
10000
11000
12000
13000DOW JONES INDUSTRIALS AVERAGE: 1987-2000(daily)
Source: Dow Jones Inc.
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Figure 12.
Predicting Bonds
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60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
1
2
3
4
5
6
7
8
9
10
11
12
13
14
34
36
38
40
42
44
46
48
50
52
54
Jul
THE AGE WAVE, INFLATION, and BOND YIELD IN THE US(percent)
US Treasury 10-Year Bond Yield***
Inflation Trend**
Age Wave*
Source: Bureau of Labor Statistics and Federal Reserve Board.
** Five-year moving average of yearly percent change in CPI.* Percent of labor force 16-34 years old.
*** Five-year moving average of ten-year government bond yield.
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Figure 13.
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 240
1
2
3
4
5
0
1
2
3
4
5
Dec
EQUITY & BOND MUTUAL FUNDS(cumulative flows since 1990, trillion dollars)
Cumulative Net InflowsEquity Mutual FundsBond Mutual Funds
Source: Investment Company Institute.
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Figure 14.
Predicting Bonds
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1.5
-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
-1.5
-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
8/26
8/26
US TREASURY 10-YEAR BOND & TIPS YIELDS(percent, daily)
Source: Federal Reserve Board.
10-Year Treasury
TIPS YieldBond Yield
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Figure 15.
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0
.5
1.0
1.5
2.0
2.5
3.0
.0
.5
1.0
1.5
2.0
2.5
3.0
8/26
EXPECTED INFLATION IN 10-YEAR TIPS*(percent, daily)
* Nominal minus TIPS yield.Source: Federal Reserve Board.
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Figure 16.
Predicting Bonds
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79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 240
5
10
15
0
5
10
15
Jul
EXPECTED INFLATION: SURVEY OF PROFESSIONAL FORECASTERS
CPI: Ex Food & Energy(yearly percent change)
Professional Forecasters*
* Median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of Professional Forecasters data.Source: Bureau of Labor Statistics and Federal Reserve Bank of Philadelphia.
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Figure 17.
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0
.5
1.0
1.5
2.0
2.5
3.0
.0
.5
1.0
1.5
2.0
2.5
3.0
8/26Q3
MEASURES OF EXPECTED INFLATION(percent)
Expected Inflation
10-Year TIPS**Professional Forecasters*
Source: Federal Reserve Board and Federal Reserve Bank of Philadelphia.** Nominal US Treasury 10-year minus 10-year TIPS yields.* Median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of Professional Forecasters data.
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Figure 18.
Predicting Bonds
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60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24-2
0
2
4
6
8
10
12
14
16
18
-2
0
2
4
6
8
10
12
14
16
18
Jul
US CONSUMER PRICE INDEX& US TREASURY 10-YEAR BOND YIELD
10-Year YieldCPI Inflation*
* Yearly percent change.Source: Federal Reserve Board and Bureau of Labor Statistics.
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Figure 19.
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24-5
0
5
10
15
20
-5
0
5
10
15
20
Jul
Jul
US CONSUMER PRICE INDEX& US TREASURY 10-YEAR BOND YIELD(percent)
10-Year Yield10-Year YieldMinus CPI Inflation*
* Yearly percent change.Source: Federal Reserve Board and Bureau of Labor Statistics.
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Figure 20.
Predicting Bonds
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79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23-5
0
5
10
15
-5
0
5
10
15
Jul
REAL FEDERAL FUNDS RATE*(percent)
* Federal funds rate minus median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey ofProfessional Forecasters data (monthly series interpolated from quarterly data starting as two quarters per year during Q4-1979 until Q4-1991 whenthe data continue with four quarters a year).Source: Federal Reserve Board, US Treasury, and Federal Reserve Bank of Philadelphia.
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Figure 21.
79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23-2
0
2
4
6
8
10
-2
0
2
4
6
8
10
Jul
REAL BOND YIELD*
* US Treasury 10-year bond yield minus median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey ofProfessional Forecasters data (monthly series interpolated from quarterly data starting as two quarters per year during Q4-1979 until Q4-1991 whenthe data continue with four quarters a year).Source: Federal Reserve Board, US Treasury, and Federal Reserve Bank of Philadelphia.
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Figure 22.
Predicting Bonds
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62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
5
10
15
20
25
0
5
10
15
20
25
FEDERAL FUNDS RATE and US TREASURY 10-YEAR BOND YIELD(percent, monthly)
Jul
10-year bond yieldFederal Funds Rate
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.Source: Federal Reserve Board.
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Figure 23.
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24-800
-600
-400
-200
0
200
400
600
-800
-600
-400
-200
0
200
400
600
US YIELD CURVE* & THE BUSINESS CYCLE(basis points, monthly)
Jul
* 10-year US Treasury bond yield minus federal funds rate.Note: Shaded areas denote recessions according to the National Bureau of Economic Research.Source: Federal Reserve Board.
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Figure 24.
Predicting Bonds
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60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24-4
-2
0
2
4
6
8
10
12
14
16
18
20
-4
-2
0
2
4
6
8
10
12
14
16
18
20
US CONSUMER PRICE INDEX & MONETARY POLICY CYCLE(yearly percent change)
Jul
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Note: Blue shaded areas denote periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas denotemonetary tightening periods.Source: Bureau of Labor Statistics.
Figure 25.
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24-800
-600
-400
-200
0
200
400
600
-800
-600
-400
-200
0
200
400
600
US YIELD CURVE* & MONETARY POLICY CYCLE(basis points)
12/25
Note: Blue shaded areas denote periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas denotemonetary tightening periods.
* US Treasury 10-year bond yield less federal funds rate. Monthly through 1987, then weekly.
Source: Federal Reserve Board.
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Figure 26.
Predicting Bonds
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2008 2009 2010 2011 2012 2013 2014 2015.4
.8
1.2
1.6
2.0
2.4
2.8
3.2
3.6
4.0
4.4
4.8
.4
.8
1.2
1.6
2.0
2.4
2.8
3.2
3.6
4.0
4.4
4.8
QE1 QE2 QE3
FED’S ASSETS: 2008-2015*(trillion dollars)
Total AssetsUS Treasuries+ Agency Debt+ MBS
Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
* Average of daily figures for weeks ending Wednesday.
Source: Federal Reserve Board.
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Figure 27.
2008 2009 2010 2011 2012 2013 2014 2015.0
.2
.4
.6
.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
2.6
2.8
.0
.2
.4
.6
.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
2.6
2.8
QE1 QE2 QE3
FED’S ASSETS: 2008-2015*(trillion dollars)
Agency Debt +MBS
US TreasurySecurities
MBS
Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
* Average of daily figures for weeks ending Wednesday.
Source: Federal Reserve Board.
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Figure 28.
Predicting Bonds
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2008 2009 2010 2011 2012 2013 2014 20151.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
QE1 QE2 QE3
US TREASURY 10-YEAR BOND YIELD(percent)
Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.Source: Federal Reserve Board.
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Figure 29.
2008 2009 2010 2011 2012 2013 2014 2015.4
.6
.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
2.6
2.8
3.0
3.2
3.4
3.6
3.8
4.0
4.2
4.4
600
800
1000
1200
1400
1600
1800
2000
2200
QE1 QE2 QE3
S&P 500 INDEX
S&P 500 Index
US Treasuries+ Agency Debt+ MBS(trillion dollars)
Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.Source: Standard & Poor’s.
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Figure 30.
Predicting Bonds
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93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22-2
0
2
4
6
8
10
12
14
16
18
-2
0
2
4
6
8
10
12
14
16
18
EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(percent)
Feb
Bond Yields
Spain
FranceGermanyItaly
Source: Financial Times.
Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16. QT (12/31/2018).
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Figure 31.
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 20230
5
10
15
20
25
30
35
40
45
0
5
10
15
20
25
30
35
40
45
8/26
GREECE: GOVERNMENT 10-YEAR BOND YIELD(percent, daily)
Source: Financial Times.
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Figure 32.
Predicting Bonds
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2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
QED NIRP QEE
EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(percent, daily)
8/26
Bond YieldsFranceGermanyItalySpain
Source: Financial Times.
Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.
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Figure 33.
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1
0
1
2
3
4
5
-1
0
1
2
3
4
5
8/26
ECB DEPOSIT RATE & GERMAN GOVERNMENT 10-YEAR BOND YIELD(percent, daily)
ECB Deposit RateGermany: 10 Year Bond Yield
Source: European Central Bank and Haver Analytics.
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Figure 34.
Predicting Bonds
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2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.1
.6
1.1
1.6
2.1
2.6
3.13.64.14.6
.1
.6
1.1
1.6
2.1
2.6
3.13.64.14.6
QED NIRP QEE
8/20ECB: HOLDINGS OF SECURITIES(trillion euros, ratio scale)
Securities of Euro AreaResidents in Euro
Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.Source: European Central Bank.
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Figure 35.
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24-2
0
2
4
6
8
10
-2
0
2
4
6
8
10
8/20
JAPAN: INTEREST RATES(percent, weekly)
10-YearGovernmentBond YieldCall Rate: UncollateralizedOvernight
Source: Bank of Japan.
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Figure 36.
Predicting Bonds
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89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 2430
90
150
210
270
330
390
450510570630690
30
90
150
210
270
330
390
450510570630690
Z
A
QQE
QQEENIRP
YC
JAPAN: MONETARY BASE*(trillion yen, sa, ratio scale)
Jul
* Adjusted for change in reserve requirements.
Source: Bank of Japan.
Note: Z = Zero Interest Rate Policy. A = Markets start to anticipate Abenomics. QQE (4/4/13) = Quantitative and Qualitative Easing. QQEE (10/31/14) =QQE expanded and extended version. NIRP (1/29/16) = Negative interest rate policy. YC (9/21/16) = Yield curve targeting.
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om
Figure 37.
95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22.6
.7
.8
.9
1.0
1.1
1.2
1.3
1.4
.6
.7
.8
.9
1.0
1.1
1.2
1.3
1.4
AQQE QQEE NIRP
YC
8/26
JAPAN: US$ / 100YEN(daily)
Note: A = Markets start to anticipate Abenomics. QQE is Quantitative and Qualitative Easing. QQEE is the expanded and extended version of QQE.NIRP = negative interest rates. YC = Yield curve targeting.
200-day moving average
Source: Haver Analytics.
yardeni.com
Figure 38.
Predicting Bonds
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2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
-1.0
-.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
8/26
8/26
8/26
GOVERNMENT 10-YEAR BOND YIELDS(percent, daily)
Bond YieldsUSJapanGermany
Source: Haver Analytics.
yardeni.com
Figure 39.
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
2
4
6
8
10
12
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16
18
20
22
0
2
4
6
8
10
12
14
16
18
20
22
CORPORATE & US TREASURY 10-YEAR BOND YIELDS(percent, monthly)
Jul
Corporate Bond Yield: A-BBB Rated*10-Year Bond Yield
Note: Shaded areas are recessions according to the National Bureau of Economic Research.* Moody’s seasoned Baa corporate bond yield from 1962 to 1996, then Bank of America Merrill Lynch A-BBB corporate bond yield.
Source: Federal Reserve Board.
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Figure 40.
Predicting Bonds
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62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
100
200
300
400
500
600
0
100
200
300
400
500
600
YIELD SPREAD CORPORATE* & US TREASURY 10-YEAR BONDS(basis points, monthly)
Jul
Note: Shaded areas are recessions according to the National Bureau of Economic Research.* Moody’s seasoned Baa corporate bond yield from 1962 to 1996, then Bank of America Merrill Lynch A-BBB corporate bond yield.
Source: Federal Reserve Board.
yardeni.com
Figure 41.
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 20230
500
1000
1500
2000
2500
0
10
20
30
40
50
60
70
80
90
8/27
S&P 500 VIX & HIGH YIELD CORPORATE BOND SPREAD
S&P 500 VIX
High-YieldCorporate Spread*
* US high-yield corporate bond yield less US Treasury 10-year bond yield (basis points).Source: Chicago Board Options Exchange, Bank of America Merill Lynch, and Federal Reserve Board.
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Figure 42.
Predicting Bonds
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1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022105
110
115
120
125
130
135
140
145
150
155
160
165
2200
2000
1800
1600
1400
1200
1000
800
600
400
200
0
-200
FIBER WEEKLY LEADING INDEX & HIGH YIELD CORPORATE SPREAD(basis points, inverted scale)
8/26
High-YieldCorporate Spread*
FIBER Weekly Leading Index(1992=100)
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.* High yield corporate less US Treasury 10-year bond yield.
Source: Merrill Lynch, Federal Reserve Board, and Foundation of International Business & Economic Research (FIBER).
yardeni.com
Figure 43.
47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25-5
-2
1
4
7
10
13
16
19
22
25
28
31
34
37
-5
-2
1
4
7
10
13
16
19
22
25
28
31
34
37
US FEDERAL GOVERNMENT BUDGET DEFICIT(as a percent of nominal GDP)
Q2
Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Bureau of Economic Analysis.
yardeni.com
Figure 44.
Predicting Bonds
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47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 2512
14
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30
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36
38
40
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48
50
52
54
US FEDERAL GOVERNMENT EXPENDITURES & RECEIPTS(as a percent of nominal GDP)
Q2
Q2ExpendituresReceipts
Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Bureau of Economic Analysis.
yardeni.com
Figure 45.
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-400
-200
0
200
400
-400
-200
0
200
400
Q1
US AGENCY & GSE-BACKED BONDS: NET PURCHASES BY REST OF WORLD(billion dollars, 4-quarter sum)
US Agency & GSE-Backed Securities
Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 46.
Predicting Bonds
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Yardeni Research, Inc.
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-200
0
200
400
600
800
1000
-200
0
200
400
600
800
1000
Q1
US TREASURY BONDS: NET PURCHASES BY REST OF WORLD(billion dollars, 4-quarter sum)
US Treasury Securities
Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 47.
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24.1
10.1
20.1
30.1
40.1
50.1
60.1
70.1
80.1
90.1
.1
10.1
20.1
30.1
40.1
50.1
60.1
70.1
80.1
90.1
Q1
US DEBT(trillion dollars)
US DebtTotal (nsa)Nonfinancial (sa)Financial (sa)
Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 48.
Predicting Bonds
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Yardeni Research, Inc.
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
100
200
300
400
500
0
100
200
300
400
500
Q1
US DEBT(as a percent of nominal GDP)
Debt/GDPTotalNonfinancialFinancial
Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 49.
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
Q1
US DEBT OF NONFINANCIAL DOMESTIC SECTORS(trillion dollars, nsa)
Nonfinancial DebtTotal*Total Less TreasuryTreasury
* Includes mortgage, consumer, business, and US Treasury debt.Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 50.
Predicting Bonds
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70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 240
50
100
150
200
250
300
0
50
100
150
200
250
300 Q1US DEBT OF NONFINANCIAL DOMESTIC SECTORS(as a percent of nominal GDP)
Nonfinancial Debt/GDPTotal*Total Less TreasuryTreasury
* Includes mortgage, consumer, business, and government debt.Source: Federal Reserve Board Financial Accounts of the United States.
yardeni.com
Figure 51.
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20223
5
7
9
11
13
15
3
5
7
9
11
13
15 Q2US TOTAL HOUSEHOLD DEBT BALANCE(trillion dollars)
yardeni.com
Source: New York Fed Credit Panel.
Figure 52.
Predicting Bonds
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Yardeni Research, Inc.
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 247
8
9
10
11
12
13
14
7
8
9
10
11
12
13
14
Q1
US HOUSEHOLD DEBT SERVICE RATIO*
* Ratio of debt service payments to disposable personal income.Source: Federal Reserve Board.
yardeni.com
Figure 53.
Predicting Bonds
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Yardeni Research, Inc.
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