Molto interessanti come sempre i tuoi ultimi interventi grafici, bravo gipa.
In particolare il discorso dell'effetto sui mercati dell'inversione della curva
dei tassi d'interesse americani. Ecco alcuni grafici (scusate la pessima
qualità) e commenti su questa correlazione con l'indice S&P500 :
The first period, from 1953 to about 1977, shows that the yield curve
was indeed a very good predictor of the equity market. In the following
chart, I have shown the spread between the 1 year and 10 year
treasuries (a value below 0 indicates an inverted yield curve) and the
year over year change in the S&P 500, set back 12 months. You can
clearly see a high correlation between the yield curve and the changes in
the S&P 500 until about 1977, when the releationship begins to break
down.
The second period between 1980 and 1999, shows very little correlation
at all between the yield curve and the S&P 500 set back 12 months.
The last time period is between 1999 and 2005. Although it's far from
perfect, you could make the argument that the yield curve has begun to
lead the market once again. While it's too short of a time span to draw
any conclusions, it wouldn't be out of the question for the yield curve to
start leading the equity markets once again. For 30 years, the two had a
strong relationship and it could be returning once again.
The real question becomes why the yield curve has lead the equity
markets in the past and why it stopped doing so in the 1980s and 1990s?
Several explanations such as 1) lower tax rates, 2) lower trending
interest rates 3) higher debt levels and increased liquidty and 4) a stock
market mania could all be the causes for the lack of correlation during
this time frame.
Now that overall debt levels are at their highest point in history, the
equity markets could once again be more closely linked to the changes in
the yield curve, making the yield curve more relevant today than it was
over the past 20 years. Therefore, the correlation could be returning.
These of course are spurious arguments that are difficult to prove.
However, its clear that at one point in stock market history, the yield
curve was an excellent predictor of future equity market performance.
Whether or not that will be the case in the future remains to be seen.
Auguroni di buon anno 2006 a tutto il thread.
