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Here are the main changes on the week:
- Correlation of nominal yields across the curve to each other has not changed over the past week, but we have seen a significant increase in correlation between nominal and real yields (5y and 10y TIPs).
- On the non-rates side, day-to-day changes in equity and credit remain positively correlated with yields (ie up days in stocks = higher yields).
- Meanwhile, the dollar has become more correlated (less negatively correlated in USD/EUR and USD/CNH case) with US yields and the curve.
- The negative correlation between gold and yield has increased. Therefore, gold is moving higher with lower yields.
Bilal Hafeez is the CEO and Editor of Macro Hive. He spent over twenty years doing research at big banks – JPMorgan, Deutsche Bank, and Nomura, where he had various “Global Head” roles and did FX, rates and cross-markets research.
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