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Currencies and Gold Yardeni Research, Inc. November 18, 2011 Dr. Edward Yardeni 516-972-7683 [email protected] Mali Quintana 480-664-1333 [email protected] Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box
Transcript of Currencies and Gold - Home » Yardeni Research · Currencies and Gold Yardeni Research, Inc....
Currencies and Gold
Yardeni Research, Inc.
November 18, 2011
Dr. Edward Yardeni516-972-7683
Mali Quintana480-664-1333
Please visit our sites at
www.yardeni.com
blog.yardeni.com
thinking outside the box
Table Of Contents Table Of ContentsTable Of Contents
November 18, 2011 / Currencies and Gold www.yardeni.com
Yardeni Research, Inc.
Large Speculators in Currencies 1Trade-Weighted Dollar 2Euro & Pound 3Yen & Won 4Canadian & Australian Dollars 5Real & Peso 6Gold Price 7Gold Price: Nominal & Real 8Gold vs. Dollar 9Gold & Commodity Prices 10-11Gold & PPI Inflation 12Gold & CPI Inflation 13Gold, Dollar, & Political Cycle 14Gold Price and US Federal Deficit & Debt 15Gold Price & Central Banks 16Relative Gold Price 17-19Gold Price vs TIPS Yields 20
Figure 1.
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-50000
-30000
-10000
10000
30000
50000
11/8
US DOLLAR INDEX(US dollar index x $1,000)
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-200000
-175000
-150000
-125000
-100000
-75000
-50000
-25000
0
25000
50000
75000
100000
125000
11/8
YEN(contracts of 125,000,000 Japanese Yen)
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-150000
-125000
-100000
-75000
-50000
-25000
0
25000
50000
75000
100000
125000
11/8
EURO FX(contracts of 125,000 Euros)
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-100000
-75000
-50000
-25000
0
25000
50000
75000
100000
125000
11/8
CANADIAN DOLLAR(contracts of 100,000 Canadian Dollars)
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-100000
-75000
-50000
-25000
0
25000
50000
75000
100000
125000
11/8
POUND STERLING(contracts of 62,500 Pound Sterling)
Source: Chicago Mercantile Exchange, Commodity Futures Trading Commission.
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14-50000
-25000
0
25000
50000
75000
100000
125000
11/8
AUSTRALIAN DOLLAR(contracts of 100,000 Australian Dollars)
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- Large Speculators in Currencies -
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2005 2006 2007 2008 2009 2010 2011 201290
95
100
105
110
115
120
90
95
100
105
110
115
120
11/10
BROAD TRADE-WEIGHTED DOLLAR INDEX*
200-day moving average
* Broad index is a weighted average of the foreign exchange rates of the US dollar against the Euro Area, Canada, Japan, Mexico, China, UK, Taiwan, Korea, Singapore, Hong Kong, Malaysia, Brazil, Switzerland, Thailand, Philippines, Australia, Indonesia, India, Israel, Saudi Arabia, Russia, Sweden, Argentina, Venezuela, Chile, and Columbia.Source: Source: Board of Governors of the Federal Reserve System.
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Figure 2.
2005 2006 2007 2008 2009 2010 2011 201265
70
75
80
85
90
65
70
75
80
85
90
11/10
MAJOR TRADE-WEIGHTED DOLLAR INDEX*
200-day moving average
* Major index countries whose currencies are included are the Euro Area, Canada, Japan, United Kingdom, Switzerland,Australia, and Sweden. The Euro Area includes Germany, France, Italy, Netherlands, Belgium/Luxembourg, Ireland,Spain, Austria, Finland, Portugal & Greece.Source: Source: Board of Governors of the Federal Reserve System
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Figure 3.
- Trade-Weighted Dollar -
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1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012.70
.85
1.00
1.15
1.30
1.45
1.60
1.75
.70
.85
1.00
1.15
1.30
1.45
1.60
1.75
11/17
EUROZONE(US$/Euro)
200-day moving average
Source: Haver Analytics.
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Figure 4.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20121.3
1.5
1.7
1.9
2.1
2.3
1.3
1.5
1.7
1.9
2.1
2.3
11/17
UNITED KINGDOM(US$/Pound)
200-day moving average
Source: Haver Analytics.
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Figure 5.
- Euro & Pound -
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1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012160
140
120
100
80
60
160
140
120
100
80
60
11/17
JAPAN(Yen/US$, inverted scale)
200-day moving average
Source: Haver Analytics.
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Figure 6.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20121800
1600
1400
1200
1000
800
1800
1600
1400
1200
1000
800
11/17
SOUTH KOREA(Won/US$, inverted scale)
200-day moving average
Source: Haver Analytics.
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Figure 7.
- Yen & Won -
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1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20121.7
1.6
1.5
1.4
1.3
1.2
1.1
1.0
.9
.8
1.7
1.6
1.5
1.4
1.3
1.2
1.1
1.0
.9
.8
11/17
CANADA(C$/US$, inverted scale)
200-day moving average
Source: Haver Analytics.
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Figure 8.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20122.2
2.0
1.8
1.6
1.4
1.2
1.0
.8
2.2
2.0
1.8
1.6
1.4
1.2
1.0
.8
11/17
AUSTRALIA(inverted scale,A$/US$)
200-day moving average
Source: Haver Analytics.
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Figure 9.
- Canadian & Australian Dollars -
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1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20124.1
3.6
3.1
2.6
2.1
1.6
1.1
.6
4.1
3.6
3.1
2.6
2.1
1.6
1.1
.6
11/17
BRAZIL(Real/US$, inverted scale)
200-day moving average
Source: Haver Analytics.
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Figure 10.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 201216
15
14
13
12
11
10
9
8
7
6
16
15
14
13
12
11
10
9
8
7
6
11/17
MEXICO(Peso/US$, inverted scale)
200-day moving average
Source: Haver Analytics.
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Figure 11.
- Real & Peso -
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Figure 12.
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012200
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11/18
GOLD PRICE IN DOLLARS(daily, ratio scale)
200-day moving average
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012200
400
600
800
1000
1200
1400
200
400
600
800
1000
1200
1400
11/17GOLD PRICE IN EUROS(daily, ratio scale)
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012150
300
450
600
750900105012001350
150
300
450
600
750900
105012001350
11/17GOLD PRICE IN POUNDS(daily, ratio scale)
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 201220
40
60
80
100120140160
20
40
60
80
100120140160
11/17GOLD PRICE IN YEN(thousands, daily, ratio scale)
Source: Haver Analytics.
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- Gold Price -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 1430
280
530
780
1030
1280153017802030
30
280
530
780
1030
1280153017802030
11/18GOLD PRICE*(dollars per ounce, ratio scale)
200-day moving average
Source: Haver Analytics.* Gold price is weekly from 1968-1974 and daily thereafter.
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Figure 13.
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 150
200
400
600
800
1000
1200
1400
1600
1800
2000
0
200
400
600
800
1000
1200
1400
1600
1800
2000
Oct
GOLD PRICE: NOMINAL vs. REAL
Gold Price/CPI
Gold Price
Source: US Department of Labor, Bureau of Labor Statistics and Haver Analytis.CPI = 100 on 1982-84.
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Figure 14.
- Gold Price: Nominal & Real -
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80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14150
250
350
450
550
650
750
850
950
1050
1150
1250
1350
150
250
350
450
550
650
750
850
950
1050
1150
1250
1350
11/10FOREIGN EXCHANGE VALUE GOLD PRICE*(trade-weighted dollars per ounce, weekly)
* Gold spot price times trade-weighted dollar of major currencies.Source: Haver Analytics and Federal Reserve Board of Governors.
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Figure 15.
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 1565
70
75
80
85
90
95
100
105
110
115
120
125
130
135
140
145
150
100
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1100
1200
1300
1400
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1600
1700
1800
1900
2000
11/18
11/11
GOLD PRICE & THE DOLLAR(weekly)
Trade-Weighted Dollarof Major Currencies
Gold Price(dollars per ounce)
Source: Haver Analytics and Federal Reserve Board of Governors.* Gold price is weekly from 1968-1974 and daily thereafter.
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i.com
Figure 16.
- Gold vs. Dollar -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14100
140
180
220
260
300
340
380
420
460
500
540
580
620
660
0
100
200
300
400
500
600
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
11/18
GOLD & CRB RAW INDUSTRIALS PRICES*(weekly)
Gold Spot Price*(dollars per ounce)
CRB Raw IndustrialsSpot Price Index(1967=100)
Source: Haver Analytics and Commodity Research Bureau.* Gold price is weekly from 1968-1974 and daily thereafter.
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Figure 17.
68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 1425
125
225
325
425
525
625
725
825
925
1025
1125
1225
1325
1425
1525
1625
1725
1825
1925
25
125
225
325
425
525
625
725
825
925
1025
1125
1225
1325
1425
1525
1625
1725
1825
1925
11/15
11/18
GOLD & INDUSTRIAL METALS PRICES(weekly)
Gold Price*(dollars per ounce)
CRB Industrial MetalsSpot Price Index**(1967=100)
* Gold price is weekly from 1975-2004 and daily thereafter.** Includes copper scrap, lead scrap, steel scrap, tin and zinc.
Source: Haver Analytics and Commodity Research Bureau.
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Figure 18.
- Gold & Commodity Prices -
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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 13 145
15
25
35
45
55
65
75
85
95
105
115
125
135
145
155
200
300
400
500
600
700
800
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1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
11/18
11/11
GOLD & LIGHT CRUDE OIL PRICES(weekly)
CRB Futures: Light Crude Oil(dollars per barrel)
Gold Price(dollars per ounce)
Source: Haver Analytics and Commodity Research Bureau.* Gold price is weekly from 1968-1974 and daily thereafter.
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Figure 19.
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15160
180
200
220
240
260
280
300
320
340
360
380
400
420
440
460
480
0
100
200
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400
500
600
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800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
11/18
11/15
GOLD & CRB FUTURES PRICES(weekly)
Gold Price(dollars per ounce)
CRB Futures Price Index(1967=100)
Source: Haver Analytics and Commodity Research Bureau.* Gold price is weekly from 1968-1974 and daily thereafter.
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Figure 20.
- Gold & Commodity Prices -
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75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15-2
0
2
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6
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1400
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1700
1800
1900
2000
Oct
Oct
GOLD PRICE & PPI
Gold Price*(dollars per ounce)
Producer Price Index(yearly percent change)
Source: Haver Analytics and US Department of Labor, Bureau of Labor Statistics.
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Figure 21.
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15-2
0
2
4
6
8
10
12
14
16
18
100
200
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900
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1400
1500
1600
1700
1800
1900
2000
Oct
Oct
GOLD PRICE & PPI
Gold Price(dollars per ounce)
Producer Price IndexEx Food & Energy(yearly percent change)
Source: Haver Analytics and US Department of Labor, Bureau of Labor Statistics.
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Figure 22.
- Gold & PPI Inflation -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14-4
-2
0
2
4
6
8
10
12
14
16
18
0
100
200
300
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500
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1300
1400
1500
1600
1700
1800
1900
2000
Oct
Oct
GOLD PRICE & CPI
Gold Price*(dollars per ounce)
Consumer Price Index(yearly percent change)
Source: Haver Analytics and US Department of Labor, Bureau of Labor Statistics.
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Figure 23.
68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 140
2
4
6
8
10
12
14
16
18
0
100
200
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800
900
1000
1100
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1300
1400
1500
1600
1700
1800
1900
2000
Oct
Oct
GOLD PRICE & CPI
Gold Price*(dollars per ounce)
Consumer Price IndexEx Food & Energy(yearly percent change)
Source: Haver Analytics and US Department of Labor, Bureau of Labor Statistics.
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i.com
Figure 24.
- Gold & CPI Inflation -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 140
100
200
300
400
500
600
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
0
100
200
300
400
500
600
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
GOLD PRICE*(dollars per ounce)
11/18
Nixon Ford Carter Reagan Bush Clinton Bush Obama
Source: Haver Analytics.* Gold price is weekly from 1968-1974 and daily thereafter.
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Figure 25.
68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 1460
80
100
120
140
160
60
80
100
120
140
160
TRADE-WEIGHTED DOLLAR(dollars per ounce, weekly)
11/10
Nixon Ford Carter
Reagan
Bush Clinton Bush Obama
Source: Haver Analytics.
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Figure 26.
- Gold, Dollar, & Political Cycle -
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Figure 29.
75 76 77 78 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 13 140
500
1000
1500
2000
-500
0
500
1000
1500
Oct
GOLD PRICE vs. US FEDERAL DEFICIT
Federal Deficit(12-month sum, billion dollars)
Gold Price
75 76 77 78 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 13 140
500
1000
1500
2000
-5
0
5
10
15
20
Oct
GOLD PRICE vs. US FEDERAL GOVERNMENT BORROWING
Federal Borrowing(as a percent of nominal GDP)
Gold Price
75 76 77 78 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 13 140
500
1000
1500
2000
20
30
40
50
60
70
Q2GOLD PRICE vs. US FEDERAL DEBT
Federal Public Debt Outstanding(as a percent of nominal GDP)
Gold Price
Source: US Treasury Department, Board of Governors of the Federal Reserve System and Flow of Funds.
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- Gold Price and US Federal Deficit & Debt -
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012200
400
600
800
1000
1200
1400
1600
1800
2000
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
11/16GOLD PRICE vs. US TREASURIES & AGENCIES HELD BY CENTRAL BANKS
US Treasuries & Agencies Held ByFed + Foreign Central Banks(trillion dollars, nsa)
Gold Price(US dollars per ounce)
Source: Federal Reserve Board and Haver Analytics.
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Figure 30.
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012200
400
600
800
1000
1200
1400
1600
1800
2000
1500
2000
2500
3000
3500
4000
4500
11/2US TREASURIES & AGENCIES HELD BY:(billion dollars, nsa)
Fed +US Commercial Banks
Gold Price(US Dollar/Troy Ounce)
Source: Federal Reserve Board and Haver Analytics.
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Figure 31.
- Gold Price & Central Banks -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14.0
.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
.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
11/16
GOLD PRICE* RELATIVE TO S&P 500
Source: Standard & Poor’s Corporation and Wall Street Journal.* Gold price is monthly average from 1968-1972 and weekly (Tuesday) thereafter.
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Figure 32.
68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14.0
.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
.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
11/16
S&P 500 RELATIVE TO GOLD PRICE*
Source: Standard & Poor’s Corporation and Wall Street Journal.* Gold price is monthly average from 1968-1972 and weekly (Tuesday) thereafter.
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Figure 33.
- Relative Gold Price -
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68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 141
2
3
4
5
6
7
8
9
10
11
1
2
3
4
5
6
7
8
9
10
11
Sep
GOLD PRICE* RELATIVE TO EXISTING HOME PRICES
Gold Price/Average Existing Home Prices
Source: Wall Street Journal and National Association of Realtors.* Gold price is monthly average from 1968-1972 and weekly (Tuesday) thereafter.
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Figure 34.
75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15.2
.6
1.0
1.4
1.8
2.2
2.6
3.0
3.4
3.8
4.2
4.6
5.0
5.4
5.8
.2
.6
1.0
1.4
1.8
2.2
2.6
3.0
3.4
3.8
4.2
4.6
5.0
5.4
5.8
11/15
GOLD PRICE RELATIVE TO CRB PRICE INDEXES
Relative to CRB Raw IndustrialsSpot Price Index
Relative to CRB Futures Price Index
Source: Commodity Research Bureau and Wall Street Journal.
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Figure 35.
- Relative Gold Price -
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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 14.4
.6
.8
1.0
1.2
.4
.6
.8
1.0
1.2
11/15
GOLD CASH PRICES RELATIVE TO PLATINUM CASH PRICES
Source: Standard & Poor’s Corporation and Wall Street Journal.
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Figure 36.
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 1450
75
100
125
150
175
200
225
50
75
100
125
150
175
200
225
11/15
GOLD PRICE RELATIVE TO SILVER CASH PRICES
Source: Standard & Poor’s Corporation and Wall Street Journal.
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Figure 37.
- Relative Gold Price -
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2007 2008 2009 2010 2011 20123.5
3.0
2.5
2.0
1.5
1.0
.5
.0
-.5
500
600
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
11/18
GOLD PRICE AND 10-YEAR TIPS YIELD
10-year TIPS Yield(inverted scale)
Gold Price(dollars per ounce)
Source: Board of Governors of the Federal Reserve System.
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Figure 38.
2006 2007 2008 2009 2010 2011 20125
4
3
2
1
0
-1
-2
-3
500
600
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
1900
2000
11/18
11/17
GOLD PRICE AND 5-YEAR TIPS YIELD
5-year TIPS Yield(inverted scale)
Gold Price(dollar per ounce)
Source: Board of Governors of the Federal Reserve System.
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Figure 39.
- Gold Price vs TIPS Yields -
Page 20 / November 18, 2011 / Currencies and Gold www.yardeni.com
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