Market Briefing: Global Interest Rates January, Dr. Edward Yardeni -97-7 eyardeni@ Debbie Johnson -- djohnson@ Please visit our sites at www. blog. thinking outside the box
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 7- G Government Bond Yields 9 Emerging Markets Bond Yields - United States Canada United Kingdom France Germany Italy 7 Spain Japan 9 Brazil China India South Korea Fed Funds Futures Investment Grade Government Bond Yields -7 January, / Market Briefing: Global Interest Rates www.
Figure. US Government Bond Yield & GDP US TREASURY BOND YIELD & NOMINAL GDP GROWTH -Year US Treasury Bond Yield (percent) (.) Nominal GDP (yearly percent change) (.7) Q Dec - - - 7 9 7 9 7 7 7 77 79 7 9 9 9 9 97 99 7 9 7 9 - 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 - - - - - - 7 9 7 9 7 7 7 77 79 7 9 9 9 9 97 99 7 9 7 9 - * -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 / January, / Market Briefing: Global Interest Rates www.
Figure. US Government Bond Yield UNITED STATES: -YEAR GOVERNMENT BOND YIELD (monthly, percent) Dec 7 9 7 77 9 9 97 9 7.. Figure. US -YEAR GOVERNMENT BOND YIELD............ /.... 7 9.. Page / January, / Market Briefing: Global Interest Rates www.
Figure. -YEAR BOND & TIPS YIELDS US Nominal & Real Bond Yield QE QE QE & QE / / - -Year Bond Yield (.) -Year TIPS Yield (.7) 9 Note: QE (announced //) = Fed buys $.tn in mortgage securities. QE (announced //) = Fed buys $bn in Treasuries. QE (announced 9//) = Fed buys $bn/month in mortgage securities (to infinity and beyond). QE (announced //) = Fed buys $bn/month in Treasuries. Source: Board of Governors of the Federal Reserve System. -. Figure. EXPECTED INFLATION IN -YEAR TIPS* QE QE QE & QE...... /...... 9. * Nominal minus TIPS yield. Note: QE (announced //) = Fed buys $.tn in mortgage securities. QE (announced //) = Fed buys $bn in Treasuries. QE (announced 9//) = Fed buys $bn/month in mortgage securities (to infinity and beyond). QE (announced //) = Fed buys $bn/month in Treasuries. Source: Board of Governors of the Federal Reserve System. Page / January, / Market Briefing: Global Interest Rates www.
.... Figure 7. US INTEREST RATES (percent) US Mortgage Rate & Bond Yield -Year Mortgage Rate (.) -Year Treasury Yield (.7)....... /..... /.... 9 Source: Board of Governors of the Federal Reserve System... Figure. -YEAR MORTGAGE RATE MINUS -YEAR TREASURY BOND YIELD (basis points) / 9 Page / January, / Market Briefing: Global Interest Rates www.
Figure 9. US High-Yield Corporate Bond Yield & Spread US HIGH-YIELD CORPORATE BOND COMPOSITE (percent) Yield (.7) 9 / 9 99 999 7 9 7 Source: Bank of America Merrill Lynch. Figure. YIELD SPREAD: US HIGH-YIELD CORPORATE LESS -YEAR TREASURY (basis points) Spread (9) / 99 999 7 9 7 Source: Bank of America Merrill Lynch and Board of Governors of the Federal Reserve System. Page / January, / Market Briefing: Global Interest Rates www.
Figure. US AAA MUNICIPAL YIELD (percent) US Municipal Yield & Spread / 7 9 Source: Merrill Lynch. Figure. US AAA MUNICIPAL BOND YIELD LESS -YEAR TREASURY YIELD SPREAD (basis points) - / - - - - 7 9 Source: Merrill Lynch, Board of Governors of the Federal Reserve System. - Page / January, / Market Briefing: Global Interest Rates www.
Figure. European Government Bond Yields EUROZONE: -YEAR GOVERNMENT BOND YIELDS (percent, monthly) E D QE France (.9) Germany (.) Italy (.) Spain (.7) Dec 9 9 9 9 97 9 99 7 9 E = Euro introduced on January, 999. D = On July,, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro.. 7. 7.............. Figure. EUROZONE: -YEAR GOVERNMENT BOND YIELDS (percent, daily) France (.99) Germany (.7) Italy (.) Spain (.7) 7 9 D = On July,, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. D QE /. 7. 7.............. Page 7 / January, / Market Briefing: Global Interest Rates www.
. 7. 7............ Figure. -YEAR GOVERNMENT BOND YIELDS (percent) European Government Bond Yields Spain (.7) Italy (.) D 9 D = On July,, ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. Source: Financial Times. /. 7. 7............... Figure. GOVERNMENT BOND YIELDS: -YEAR (percent) France (.99) Germany (.) Japan (.7) Sweden (.99) UK (.9) US (.7)....... /........ 9.. Page / January, / Market Briefing: Global Interest Rates www.
7. 7............ 7............ G Government Bond Yields Figure 7. CANADA /7 7 9 7 UNITED KINGDOM / 7 9 7 GERMANY / 7 9 7 FRANCE / 7 9 7 ITALY / 7 9 7 JAPAN / 7 9 7............ 7. 7.................. Page 9 / January, / Market Briefing: Global Interest Rates www.
Figure. Emerging Markets Bond Yields -YEAR GOVERNMENT BOND YIELDS IN EMERGING ECONOMIES (percent) Hong Kong (.) India (7.7) Malaysia (.) Philippines (.) 7 9 / Figure 9. -YEAR GOVERNMENT BOND YIELDS IN EMERGING ECONOMIES (percent) Singapore (.7) South Korea (.) Taiwan (.) Thailand (.) / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
Figure. Emerging Markets Bond Yields -YEAR GOVERNMENT BOND YIELDS IN EMERGING ECONOMIES (percent) Brazil (7.) Chile (.) Colombia (.7) / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
7 Figure. United States UNITED STATES: SHORT-TERM INTEREST RATES 7 Fed Funds Target Rate -Month T Bill Rate / - 7 9 - Figure. UNITED STATES: -YEAR GOVERNMENT BOND YIELD / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
Figure. CANADA: SHORT-TERM INTEREST RATES Canada Central Bank Target Rate -Month T Bill Rate / 7 9 Figure. CANADA: -YEAR GOVERNMENT BOND YIELD / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
Figure. United Kingdom UNITED KINGDOM: SHORT-TERM INTEREST RATES Central Bank Repo Rate -Month T Bill Rate / 7 9 Figure. UNITED KINGDOM: -YEAR GOVERNMENT BOND YIELD / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
.. Figure 7. FRANCE: SHORT-TERM INTEREST RATES France...... ECB Refinancing Rate -Month T Bill Rate........... -. / 7 9. -. Figure. FRANCE: -YEAR GOVERNMENT BOND YIELD / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
......... Figure 9. GERMANY: SHORT-TERM INTEREST RATES Germany ECB Refinancing Rate -Month T Bill Rate.......... -. -. -. / 7 9. -. -. -. Figure. GERMANY: -YEAR GOVERNMENT BOND YIELD / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
.. Figure. ITALY: SHORT-TERM INTEREST RATES Italy...... ECB Refinancing Rate -Month T Bill Rate........... -. / 7 9. -. 7. 7.............. Figure. ITALY: -YEAR GOVERNMENT BOND YIELD 7 9 / 7. 7.............. Page 7 / January, / Market Briefing: Global Interest Rates www.
.... Figure. SPAIN: SHORT-TERM INTEREST RATES Spain........... -. ECB Refinancing Rate -Month T Bill Rate / 7 9....... -. 7 Figure. SPAIN: -YEAR GOVERNMENT BOND YIELD 7 / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
.. Figure. Japan JAPAN: CALL RATE: UNCOLLATERIZED OVERNIGHT (percent)......... Jan... -. 7 9 -... Figure. JAPAN: -YEAR GOVERNMENT BOND YIELD...7.7.......7.7.... / 7 9.. Page 9 / January, / Market Briefing: Global Interest Rates www.
Figure 7. BRAZIL: CENTRAL BANK SELIC RATE Brazil / 7 9 Figure. BRAZIL: -Year Government Bond Yield / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
7 Figure 9. CHINA: SHORT-TERM INTEREST RATES (percent) China 7 Central Bank Rate -Month Shibor Rate Dec 7 9.. Figure. CHINA: -YEAR GOVERNMENT BOND YIELD (percent)...... /..... 7 9. Page / January, / Market Briefing: Global Interest Rates www.
Figure. INDIA: SHORT-TERM INTEREST RATES India Central Bank Rate -Month T Bill Rate / 7 9 Figure. INDIA: -YEAR GOVERNMENT YIELD (percent) 9 9 / 7 7 7 9 Page / January, / Market Briefing: Global Interest Rates www.
7 Figure. SOUTH KOREA: SHORT-TERM INTEREST RATES South Korea 7 Central Bank Rate -Month T Bill Rate / 7 9 7 Figure. SOUTH KOREA: -YEAR GOVERNMENT BOND YIELD (percent) 7 / 7 9 Page / January, / Market Briefing: Global Interest Rates www.
. Figure. Fed Funds Futures IMPLIED FEDERAL FUNDS RATE BASED ON FUTURES* (percent)..... Nearby (.) -month (.) -month (.) -month (.).. /... I II III IV I II III IV I II III * Based on FOMC meeting. Source: Chicago Mercantile Exchange.. Page / January, / Market Briefing: Global Interest Rates www.
Investment Grade.7 Figure. BOFA MERRILL LYNCH CORPORATE MASTER: EFFECTIVE YIELD /.7.............9.9...7.7. Source: Board of Governors of the Federal Reserve System and Haver Analytics.. Figure 7. BOFA MERRILL LYNCH CORPORATE MASTER: EFFECTIVE YIELD MINUS -YEAR GOVERNMENT BOND YIELD (basis points) / 7 7 Source: Board of Governors of the Federal Reserve System and Haver Analytics. Page / January, / Market Briefing: Global Interest Rates www.
Figure. Government Bond Yields FIVE-YEAR TREASURY NOTE YIELD MINUS YEARLY PERCENT CHANGE IN CORE PCED Nov - 7 9 9 9 9 9 Source: Federal Reserve Board and Bureau of Economic Analysis. - Figure 9. TEN-YEAR TREASURY BOND YIELD MINUS YEARLY PERCENT CHANGE IN CORE PCED Nov - 7 7 7 7 7 9 9 9 9 9 Source: Federal Reserve Board and Bureau of Economic Analysis. - Page / January, / Market Briefing: Global Interest Rates www.
Figure. Government Bond Yields THIRTY-YEAR TREASURY BOND YIELD MINUS YEARLY PERCENT CHANGE IN CORE PCED Nov 7 9 9 9 9 9 Source: Federal Reserve Board and Bureau of Economic Analysis. Page 7 / January, / Market Briefing: Global Interest Rates www.
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