Market Correlations: US Trade-Weighted Dollar & Other Currencies April 11, 2018 Dr. Edward Yardeni 516-972-7683 eyardeni@ Debbie Johnson 480-664-1333 djohnson@ Mali Quintana 480-664-1333 aquintana@ Please visit our sites at www. blog. thinking outside the box
Table Of Contents Table Of Contents Market Correlations: TWD & Other Currencies 3-7 April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
80 85 Figure 1. Market Correlations: TWD & Other Currencies INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR 700 600 95 CRB Raw Industrials Spot Price Index* (1967=) 4/10 105 Broad Effective Exchange Rate** 500 400 115 300 125 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 20 200 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. 85 Figure 2. BRENT CRUDE OIL PRICE & TRADE-WEIGHTED DOLLAR 160 150 140 95 105 80 115 Brent Crude Oil Futures Price* (dollars per barrel) 70 60 50 125 Broad Effective Exchange Rate** 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 40 30 20 * Nearby futures price. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Haver Analytics. Page 3 / April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
Figure 3. Market Correlations: TWD & Other Currencies RELATIVE PERFORMANCE OF US MSCI & TRADE-WEIGHTED DOLLAR (daily) 8.0 7.5 7.0 6.5 6.0 5.5 80 US MSCI (in US$) Divided by All Country World ex US MSCI (in local currencies) Broad Effective Exchange Rate* 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 5.0 4.5 4.0 3.5 3.0 2.5 85 95 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: MSCI and JP Morgan. Figure 4. EMERGING MARKETS MSCI STOCK PRICE INDEX & TRADE-WEIGHTED DOLLAR 70000 60000 50000 105 40000 115 Emerging Markets MSCI Stock Price Index (in local currencies) Broad Effective Exchange Rate* 30000 20000 125 00 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 0 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International. Page 4 / April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
80 Figure 5. TRADE-WEIGHTED DOLLAR & EXPECTED INFLATION Market Correlations: TWD & Other Currencies Broad Effective Exchange Rate** Expected Inflation in 10-Year TIPS* 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 3.4 3.2 3.0 2.8 2.6 2.4 2.2 2.0 1.8 1.6 1.4 1.2 1.0.8.6.4.2.0 * Yield spread between 10-year US Treasury bond and comparable TIPS. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. 2.5 Figure 6. S&P 500 ENERGY/TRANSPORATION & CRUDE OIL PRICE 150 2.0 Energy Index /Transportation Index Brent Crude Oil Futures Price* (dollars per barrel) 1.5 50 1.0.5 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 0 * Spot price through yearend 2014, then nearby futures price. Source: Standard & Poor s and Financial Times. Page 5 / April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
Market Correlations: TWD & Other Currencies 85 Figure 7. EMERGING MARKETS MSCI STOCK PRICE INDEX & TRADE-WEIGHTED DOLLAR 70000 60000 95 50000 105 40000 30000 115 Emerging Markets MSCI Stock Price Index (local currency) 20000 125 Broad Effective Exchange Rate* 00 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 0-18 -16-14 -12-10 -8-6 -4-2 0 2 4 6 8 10 12 14 16 18 20 22 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International. Figure 8. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR (yearly percent change) CRB Raw Industrials Spot Price Index* Broad Effective Exchange Rate** 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 4/6 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. 65 55 45 35 25 15 5-5 -15-25 -35-45 Page 6 / April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
.8.9 Figure 9. Market Correlations: TWD & Other Currencies INDUSTRIALS COMMODITY PRICE INDEX & CANADIAN DOLLAR 700 1.0 600 1.1 1.2 500 1.3 1.4 Canada (C$/US$, inverted scale) 400 1.5 1.6 CRB Raw Industrials Spot Price Index* 300 1.7 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 200 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics..8.9 1.0 1.1 1.2 Figure 10. INDUSTRIALS COMMODITY PRICE INDEX & AUSTRALIAN DOLLAR 700 600 1.3 1.4 1.5 500 1.6 1.7 1.8 1.9 2.0 2.1 Australia (A$/US$, inverted scale) CRB Raw Industrials Spot Price Index* 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 400 300 200 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics. Page 7 / April 11, 2018 / US Trade-Weighted Dollar & Other Currencies www.
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