US Treasury Bond Yield & Commodity Prices - Yardeni Research

Market Correlations: US Treasury Bond Yield

& Commodity Prices

Yardeni Research, Inc.

February 19, 2023

Dr. Edward Yardeni

516-972-7683 eyardeni@

Debbie Johnson

480-664-1333 djohnson@

Mali Quintana

480-664-1333 aquintana@

Please visit our sites at blog.

thinking outside the box

Table Of Contents Table Of Contents

Market Correlations

1-4

February 19, 2023 / US Treasury Bond Yield & Commodity Prices

Yardeni Research, Inc.



Market Correlations

Figure 1.

8.0

8.0

7.5

10-YEAR US TREASURY YIELD vs COPPER/GOLD PRICE RATIO

7.5

(percent, daily)

7.0

7.0

6.5

6.5

6.0

6.0

5.5

Bond Yield (3.82)

5.5

5.0

Copper/Gold Ratio* (2.24)

5.0

4.5

4.5

4.0

2/17

4.0

3.5

3.5

3.0

3.0

2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

.5

.5



.0

.0

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Nearby futures price of copper (in dollars, not cents) divided by nearby futures price of gold multiplied by 1000. Source: Federal Reserve Board and Haver Analytics.

Figure 2.

7

COPPER PRICE DIVIDED BY GOLD SPOT PRICE vs 10-YEAR TIPS YIELD (daily)

6

10-Year TIPS Yield

5

(percent) (1.46)

Copper/Gold Price

4

(nearby futures

(x 10) (2.24)

3

2

1

7

6

5

4

3 2/17

2 2/17

1

0

0

-1

-1



-2

-2

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Source: Federal Reserve Board and Haver Analytics.

Page 1 / February 19, 2023 / US Treasury Bond Yield & Commodity Prices

Yardeni Research, Inc.



Market Correlations

Figure 3.

10

10

CRB RAW INDUSTRIALS SPOT PRICE INDEX DIVIDED BY GOLD SPOT PRICE

vs 10-YEAR US TREASURY BOND YIELD

9 (daily)

9

8

8

7

10-Year Tips Yield*

7

(percent)

6

CRB**/Gold Price***

6

(x 10)

5

5

4

4

3

2/17

3

2

2

1

1

0

0



-1

-1

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Nominal 10-year Treasury yield minus 10-year TIPS yield. ** Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. *** Nearby futures price.

Source: Federal Reserve Board and Haver Analytics.

Figure 4.

10

10

CRB RAW INDUSTRIALS SPOT PRICE INDEX* DIVIDED BY GOLD SPOT PRICE

vs 10-YEAR US TREASURY BOND YIELD

9 (daily)

9

8

8

10-Year US Treasury

Bond Yield

7

(percent)

7

CRB/Gold Price**

6

(x 10)

6

5

5

4

4

3

2/17

3

2

2

1

1



0

0

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Nearby futures price.

Source: Federal Reserve Board and Haver Analytics.

Page 2 / February 19, 2023 / US Treasury Bond Yield & Commodity Prices

Yardeni Research, Inc.



Market Correlations

Figure 5.

15

15

CRB METALS COMMODITY SPOT PRICE INDEX DIVIDED BY GOLD SPOT PRICE

14 vs 10-YEAR US TREASURY BOND YIELD

14

(daily)

13

13

12

12

10-Year US Treasury

11

Bond Yield

11

(percent)

10

CRB Metals*/Gold Price**

10

9

(x 10)

9

8

8

7

7

6

2/17

6

5

5

4

4

3

3

2

2

1

1



0

0

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Includes copper scrap, lead scrap, steel scrap, tin, and zinc. ** Nearby futures price.

Source: Federal Reserve Board and Haver Analytics.

Figure 6.

10

10

10-YEAR US TREASURY YIELD vs OIL/GOLD PRICE RATIO

9

(percent, daily)

9

8

8

7

7

6

Bond Yield (3.82)

6

Oil/Gold* (2.31)

5

5

4

2/17

4

3

3

2

2

1

1



0

0

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Nearby futures prices of Brent crude oil divided by gold multiplied by 50. Source: Federal Reserve Board and Haver Analytics.

Page 3 / February 19, 2023 / US Treasury Bond Yield & Commodity Prices

Yardeni Research, Inc.



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