"The relationship between the U.S. dollar and bonds and stocks is an indirect one. The more direct relationship exists between the U.S. dollar and the CRB Index, which in turn impacts on bonds and stocks. The dollar moves in the opposite direction of the CRB Index. A falling dollar, being inflationary, will eventually push the CRB Index higher. A rising dollar, being noninflationary, will eventually push the CRB Index lower. The bullish impact of a rising dollar on bonds and stocks is felt when the commodity markets start to decline. The bearish impact of a falling dollar on bonds and stocks is felt when commodities start to rise.
Gold is the commodity market most sensitive to dollar movements and usually trends in the opposite direction of the U.S. currency. The gold market leads turns in the CRB Index by about four months (at major turning points, the lead time has averaged about a year) and provides a bridge between the dollar and the commodity index. Foreign currency markets correspond closely with movements in gold and can often be used as a leading indicator for the CRB Index."
From page 94 of the same book.
"This chapter shows the strong link between the dollar and interest rates. The dollar has an important influence on the direction of interest rates. The direction of interest rates has a delayed impact on the direction of the dollar. The result is a circular relationship between the two. Short-term rates have more direct impact on the dollar than long-term rates. A falling U.S. dollar will eventually have a bearish impact on financial assets in favor of tangible assets. During times of severe stock market weakness, the dollar will usually fall as a result of Federal Reserve easing. Rising commodity prices will in time become bearish for stocks. Falling commodity prices usually precede an upturn in equities. Gold acts as a leading indicator of inflation and a safe haven during times of political and financial upheavals. The normal sequence of events among the various sectors is as follows:
• Rising interest rates pull the dollar higher.
• Gold peaks.
• The CRB Index peaks.
• Interest rates peak; bonds bottom.
• Stocks bottom.
• Falling interest rates pull the dollar lower.
• Gold bottoms.
• The CRB Index bottoms.
• Interest rates turn up; bonds peak.
• Stocks peak.
• Rising interest rates pull the dollar higher."
[曹仁超] 2008 10 16 said
CRB指數（代表十九種原材料）跌幅已達39％，可以媲美2000至01年（跌幅37％）或1997／98年（跌幅28％）。家吓銅 價仍較2001年低潮時高出三倍；油價同1998年低位10.35美元距離仲好遠。根據哈佛大學經濟學家Martin Feldstein（佢同時係美國商業周期成員）研究，通常商品價格見底後一年經濟先復甦。換言之，即使CRB指數最近已見底，我地最少仍面對一年衰退 期。高盛證券估計，明年鉛價將回落17％及銅價回落12％。UBS估計，鎳價仲有32％及白金50％下跌空間。摩根士丹利估計，明年鉛價將回落20％及鈀 金45％。如佢地嘅預測準確，即距離衰退結束期仲遠。股市通常响衰退結束前三至六個月先見底，依家估底係咪太早?!
At page 292 of All Seasons Investor, Martin Pring said it is a 9-month lead time between bottom of Commodities and peak of Stock market.At page 226-8 of the Murphy's book:
"THE CHRONOLOGICAL SEQUENCES OF BONDS, STOCKS, AND COMMODITIES
Figure 13.1 (courtesy of the Asset Allocation Review, written by Martin J. Pring, published by the International Institute for Economic Research, P.O. Box 329, Washington Depot, CT 06794) shows an idealized diagram of how the three financial sectors interact with each other during a typical business cycle. The curving line shows the path of the economy during expansion and contraction. A rising line indicates expansion and a falling line, contraction. The horizontal line is the equilibrium level that separates positive and negative economic growth. When the curving line is above the horizontal line but declining, the economy is slowing. When it dips below the horizontal line, the economy has slipped into recession. The arrows represent the direction of the three financial markets-B for bonds, S for stocks, and C for commodities.
The diagram shows that as the expansion matures, bonds are the first of the group to turn down. This is due to increased inflation pressures and resulting upward pressure on interest rates. In time, higher interest rates will put downward pressure on stocks which turn down second. Since inflation pressures are strongest near the end of the expansion, commodities are the last to turn down. Usually by this time, the economy has started to slow and is on the verge of slipping into recession. A slowdown in the economy reduces demand for commodities and money. Inflation pressures begin to ease. Commodity prices start to drop (usually led by gold). At this point, all three markets are dropping.
As interest rates begin to soften as well (usually in the early stages of a recession), bonds begin to rally. Within a few months, stocks will begin to turn up (usually after the mid-point of a recession). Only after bonds and stocks have been rallying for awhile, and the economy has started to expand, will inflation pressures start to build contributing to an upturn in gold and other commodities. At this point, all three markets are rising. Of the three markets, bonds seem to be the focal point. Bonds have a tendency to peak about midway through an expansion, and bottom about midway through a contraction. The peak in the bond market during an economic expansion is a signal that a period of healthy noninflationary growth has turned into an unhealthy period of inflationary growth. This is usually the point where commodity markets are starting to accelerate on the upside and the bull market in stocks is living on borrowed time."
Figure 13.1
.... [page 228]
"In his Asset Allocation Review, Martin Pring divides the business cycle into six stages (Figure 13.2). Stage one begins as the economy is slipping into a recession and ends with stage six, where the economic expansion has just about run its course. Each stage is characterized by a turn in one of the three asset classes—bonds, stocks, or commodities. The following table summarizes Pring's conclusions:
Stage 1... Bonds turn up (stocks and commodities falling)
Stage 2... Stocks turn up (bonds rising, commodities falling)
Stage 3 ... Commodities turn up (all three markets rising)
-Stage 4 ... Bonds turn down (stocks and commodities rising)
Stage 5 ... Stocks turn down (bonds dropping, commodities rising)
Stage 6... Commodities turn down (all three markets dropping)"
Figure 13.2
And at page 238-9:
"The 4-year business cycle provides an economic framework for intermarket analysis and explains the chronological sequence that is usually seen between the bond, stock, and commodity markets. Although not a rigid formula, the peaks and troughs that take place in these three asset classes usually follow a repetitive pattern where bonds turn first at peaks and troughs, stocks second, and commodities third. The turn in the bond market is usually activated by a turn in the commodity markets in the opposite direction. Gold usually leads the general commodity price level and can be used as an early warning of inflation pressures.
The chronological rotation of the three sectors has important implications for the asset allocation process. The early stages of recovery favor financial assets, whereas the latter part of the expansion favors commodity prices or other inflation hedges. Bonds play a dual role as a leader of stocks and commodities and also as a longleading economic indicator. Copper also provides clues to the strength of the economy and, at times, will track the stock market very closely."
In a seminar in January 2007, Cho Yan Chiu said Paul Volcker said if interest rate is 2% below CPI, the economy will pick up; if interest rate is 2% above CPI, the economy will cool down...
王冠一 says
oils -> US$ -> inflation -> interest rate -> Stock/Property market -> consumption -> sentiment and expectation -> economy
p 52 of Hedge Fung Edge...
No comments:
Post a Comment