Predicting the Markets:

Chapter 10 Charts:
Predicting Bonds
Yardeni Research, Inc.

November 2, 2022

Dr. Edward Yardeni

Chief Investment Strategist

Mali Quintana
Senior Economist
info@yardenibook.com

Please visit our sites at

www.yardeni.com
blog.yardeni.com

thinking outside the box

Table Of Contents Table Of Contents
Predicting Bonds 1-27

November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.

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 Predicting Bonds
Figure 1.
18 18
US TREASURY 10-YEAR BOND YIELD: 1965-1989
(percent, daily) 15.84
9/30/81
16 16

13.99
5/30/84
14 14

12 12
10.23
10/16/87
10 10
10.12
5/4/83

8 8

6 6

5.38
3/23/71 yardeni.com
4 4
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989

Source: Federal Reserve Board.

Figure 2.
18 18
US CONSUMER PRICE INDEX: 1965-1989
(yearly percent change, monthly)
16 14.8 16
3/80
14 14
12.3
12/74
12 12

10 10

8 8
2.5
7/83
6 4.8 6
2.7
6/72 3/84 1.1
12/86
4 4

2 2

yardeni.com
0 0
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989

Source: Bureau of Labor Statistics.

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 Predicting Bonds
Figure 3.
22 22
FEDERAL FUNDS RATE: 1965-1989
(percent, weekly)
20 20

18 18

16 16

14 14

12 12

10 10

8 8

6 6

4 4

yardeni.com
2 2
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989

Source: Federal Reserve Board.

Figure 4.
22 22
US BANK PRIME LOAN RATE: 1965-1989
(percent, weekly)
20 20

18 18

16 16

14 14

12 12

10 10

8 8

6 6

yardeni.com
4 4
1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989

Source: Federal Reserve Board.

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 Predicting Bonds
Figure 5.
12 12
US UNEMPLOYMENT RATE: 1965-1989
(percent, monthly) 10.8
11 12/82 11

10 10
9.0
5/75
9 9

8 8

7 7
6.1 5.6
8/71 5/79
6 5.0 6
4.6 3/89
10/73
5 5

3.4
4 5/69 4

yardeni.com
3 3
65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89

Source: Bureau of Labor Statistics.

Figure 6.
9.5 9.5
REAL GDP: 1965-1989
9.0 9.0
(trillion 2012 dollars, saar, quarterly, ratio scale)
8.5 8.5
8.0 8.0

7.5 7.5

7.0 7.0

6.5 6.5

6.0 6.0

5.5 5.5

5.0 5.0

4.5 4.5

4.0 4.0

yardeni.com
3.5 3.5
65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89

Source: Bureau of Economic Analysis.

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 Predicting Bonds
Figure 7.
18 18
US TREASURY BOND YIELD & NOMINAL GDP GROWTH
16 16
US Treasury 10-Year
14 Bond Yield 14
(percent)
12 Nominal GDP 12

10 (yearly percent change) 10

Q3
8 8

6 6

4 Oct 4

2 2

0 0

-2 -2

-4 -4

-6 -6

-8 -8

-10 -10
yardeni.com
-12 -12
53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

Source: Bureau of Economic Analysis and Federal Reserve Board.

Figure 8.
12 12
SPREAD BETWEEN US TREASURY BOND YIELD & NOMINAL GDP GROWTH*
10 (percentage points) 10

8 8

6 6

4 4

2 2

0 0

-2 -2

-4 -4

-6 Q3 -6

-8 -8

-10 -10

-12 -12

-14 -14
yardeni.com
-16 -16
53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

* US Treasury 10-year bond yield minus yearly percent change in nominal GDP.
Source: Bureau of Economic Analysis and Federal Reserve Board.

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 Predicting Bonds
Figure 9.
62 62
58 58
WEST TEXAS INTERMEDIATE CRUDE OIL PRICE: 1980-2000
54 54
(dollars per barrel, monthly, ratio scale)
50 50
46 46
42 42
38 38
34 34

30 30

26 26

22 22

18 18

14 14

yardeni.com
10 10
1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000

Note: Shaded areas denote recessions according to the National Bureau of Economic Research.
Source: Haver Analytics.

Figure 10.
2.5 2.5
HOUSING STARTS: 1980-2000
(million units, saar, monthly)
2.3 2.3

2.1 2.1

1.9 1.9

1.7 1.7

1.5 1.5

1.3 1.3

1.1 1.1

.9 .9

yardeni.com
.7 .7
80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00

Source: Census Bureau.

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 Predicting Bonds
Figure 11.
11 11
US TREASURY 10-YEAR BOND YIELD: 1987-2000
(percent, daily)
10 10

9 9

8 8

7 7

6 6

5 5

yardeni.com
4 4
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000

Source: Federal Reserve Board.

Figure 12.
13000 13000
DOW JONES INDUSTRIALS AVERAGE: 1987-2000
12000 (daily) 12000

11000 11000

10000 10000

9000 9000

8000 8000

7000 7000

6000 6000

5000 5000

4000 4000

3000 3000

2000 2000
yardeni.com
1000 1000
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000

Source: Dow Jones Inc.

Page 6 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 13.
54 14
THE AGE WAVE, INFLATION, and BOND YIELD IN THE US
(percent) 13
52
12
50 11

48 10

US Treasury 10-Year Bond Yield*** 9

46
8

44 7

6
42
5
40 4

38 Age Wave* 3

2
36 Inflation Trend**
1
Sep
yardeni.com
34 0
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Percent of labor force 16-34 years old.

** Five-year moving average of yearly percent change in CPI.
*** Five-year moving average of ten-year government bond yield.
Source: Bureau of Labor Statistics and Federal Reserve Board.

Figure 14.
5 5
EQUITY & BOND MUTUAL FUNDS
(cumulative flows since 1990, trillion dollars)

4 4

Cumulative Net Inflows

Equity Mutual Funds
3 Bond Mutual Funds 3

2 2
Dec

1 1

yardeni.com
0 0
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 15 16 17 18 19 20 21 22 23 24

Source: Investment Company Institute.

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 Predicting Bonds
Figure 15.
6.0 6.0
US TREASURY 10-YEAR BOND & TIPS YIELDS
5.5 (percent, daily) 5.5

5.0 5.0

4.5 10-Year Treasury 4.5

Bond Yield
4.0 11/2 4.0
TIPS Yield
3.5 3.5

3.0 3.0

2.5 2.5

2.0 2.0

1.5 11/2 1.5

1.0 1.0

.5 .5

.0 .0

-.5 -.5

-1.0 -1.0
yardeni.com
-1.5 -1.5
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026

Source: Federal Reserve Board.

Figure 16.
3.5 3.5
EXPECTED INFLATION IN 10-YEAR TIPS*
(percent, daily)
3.0 3.0

2.5 11/2 2.5

2.0 2.0

1.5 1.5

1.0 1.0

.5 .5

yardeni.com
.0 .0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* Nominal minus TIPS yield.

Source: Federal Reserve Board.

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 Predicting Bonds
Figure 17.
15 15
EXPECTED INFLATION: SURVEY OF PROFESSIONAL FORECASTERS

10 10
Professional Forecasters*
CPI: Ex Food & Energy
(yearly percent change)

Sep

5 5

yardeni.com
0 0
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 14 15 16 17 18 19 20 21 22 23 24 25 26

* Median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of Professional Forecasters data.
Source: Bureau of Labor Statistics and Federal Reserve Bank of Philadelphia.

Figure 18.
3.5 3.5
MEASURES OF EXPECTED INFLATION
(percent)
3.0 3.0
Q3

2.5 11/2 2.5

2.0 2.0

1.5 1.5

1.0 1.0
Expected Inflation
10-Year TIPS**
Professional Forecasters*
.5 .5

yardeni.com
.0 .0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026

* Median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of Professional Forecasters data.
** Nominal US Treasury 10-year minus 10-year TIPS yields.
Source: Federal Reserve Board and Federal Reserve Bank of Philadelphia.

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 Predicting Bonds
Figure 19.
18 18
US CONSUMER PRICE INDEX
& US TREASURY 10-YEAR BOND YIELD
16 16

14 10-Year Yield 14
CPI Inflation*
12 12

10 10

8 8

6 6

4 Oct 4

2 2

0 0

yardeni.com
-2 -2
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26 28

* Yearly percent change.

Source: Federal Reserve Board and Bureau of Labor Statistics.

Figure 20.
20 20
US CONSUMER PRICE INDEX
& US TREASURY 10-YEAR BOND YIELD
(percent)
15 15
10-Year Yield
10-Year Yield
Minus CPI Inflation*
10 10

yardeni.com

5 5
Oct

0 0

-5 Sep -5

-10 -10
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26 28

* Yearly percent change.

Source: Federal Reserve Board and Bureau of Labor Statistics.

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 Predicting Bonds
Figure 21.
15 15
REAL FEDERAL FUNDS RATE*
(percent)

10 10

5 5

0 Sep 0

yardeni.com
-5 -5
79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

* Federal funds rate minus median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of
Professional Forecasters data (monthly series interpolated from quarterly data starting as two quarters per year during Q4-1979 until Q4-1991 when
the data continue with four quarters a year).
Source: Federal Reserve Board, US Treasury, and Federal Reserve Bank of Philadelphia.

Figure 22.
10 10
REAL BOND YIELD*

8 8

6 6

4 4

2 2

Sep
0 0

yardeni.com
-2 -2
79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

* US Treasury 10-year bond yield minus median forecast of year-over-year CPI inflation rate over the next 10 years using Philadelphia Fed Survey of
Professional Forecasters data (monthly series interpolated from quarterly data starting as two quarters per year during Q4-1979 until Q4-1991 when
the data continue with four quarters a year).
Source: Federal Reserve Board, US Treasury, and Federal Reserve Bank of Philadelphia.

Page 11 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 23.
25 25
FEDERAL FUNDS RATE and US TREASURY 10-YEAR BOND YIELD
(percent, monthly)

20 20

15 15
10-year bond yield
Federal Funds Rate

10 10

5 5
Oct

yardeni.com
0 0
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26 28

Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Federal Reserve Board.

Figure 24.
600 600
US YIELD CURVE* & THE BUSINESS CYCLE
(basis points, monthly)
400 400

200 200

Oct

0 0

-200 -200

-400 -400

-600 -600

yardeni.com
-800 -800
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* 10-year US Treasury bond yield minus federal funds rate.

Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Federal Reserve Board.

Page 12 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 25.
20 20
US CONSUMER PRICE INDEX & MONETARY POLICY CYCLE
18 (yearly percent change) 18

16 16

14 14

12 12

10 10

8 Sep 8

6 6

4 4

2 2

0 0

-2 -2
yardeni.com
-4 -4
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

Note: Blue shaded areas denote periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas denote
monetary tightening periods.
Source: Bureau of Labor Statistics.

Figure 26.
600 600
US YIELD CURVE* & MONETARY POLICY CYCLE
(basis points)
400 400

200 200

10/28

0 0

-200 -200

-400 -400

-600 -600

yardeni.com
-800 -800
60 62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* US Treasury 10-year bond yield less federal funds rate. Monthly through 1987, then weekly.
Note: Blue shaded areas denote periods of monetary easing between cyclical peaks and troughs in the federal funds rate. Red shaded areas denote
monetary tightening periods.
Source: Federal Reserve Board.

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 Predicting Bonds
Figure 27.
4.8 4.8
FED’S ASSETS: 2008-2015*
4.4 (trillion dollars) 4.4

4.0 QE1 QE2 QE3 4.0

3.6 3.6

3.2 3.2

2.8 2.8

2.4 2.4

2.0 2.0

1.6 Total Assets 1.6

US Treasuries
+ Agency Debt
1.2 + MBS 1.2

.8 .8

yardeni.com
.4 .4
2008 2009 2010 2011 2012 2013 2014 2015

* Average of daily figures for weeks ending Wednesday.

Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.
QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).
QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
Source: Federal Reserve Board.
Figure 28.
2.8 2.8

2.6
FED’S ASSETS: 2008-2015* 2.6
(trillion dollars)
2.4 2.4
QE1 QE2 QE3
2.2 2.2

2.0 2.0

1.8 1.8

1.6 1.6

1.4 1.4

1.2 1.2

1.0 1.0

.8 .8
US Treasury
.6 Securities .6
Agency Debt +
.4 MBS .4
MBS
.2 .2
yardeni.com
.0 .0
2008 2009 2010 2011 2012 2013 2014 2015

* Average of daily figures for weeks ending Wednesday.

Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.
QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).
QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
Source: Federal Reserve Board.

Page 14 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 29.
5.0 5.0
US TREASURY 10-YEAR BOND YIELD: 2008-2015
(percent)
4.5 4.5

QE1 QE2 QE3

4.0 4.0

3.5 3.5

3.0 3.0

2.5 2.5

2.0 2.0

1.5 1.5

yardeni.com
1.0 1.0
2008 2009 2010 2011 2012 2013 2014 2015

Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.
QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).
QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
Source: Federal Reserve Board.
Figure 30.
2200 4.4
S&P 500 INDEX: 2008-2015 4.2
4.0
2000 QE1 QE2 QE3
3.8

S&P 500 Index 3.6

1800 3.4

US Treasuries 3.2
+ Agency Debt 3.0
1600 + MBS 2.8
(trillion dollars)
2.6
1400 2.4
2.2
2.0
1200
1.8
1.6
1000 1.4
1.2
1.0
800
.8
.6
yardeni.com
600 .4
2008 2009 2010 2011 2012 2013 2014 2015

Note: QE1 (11/25/08) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (3/16/2009) = Fed starts buying $300bn in Treasuries.
QE2 (11/3/10) = Fed starts buying $600bn in Treasuries. QE3 (9/13/12) = Fed starts buying $40bn/month in mortgage securities (open ended).
QE3 expanded (12/12/12) = Fed starts buying $45bn/month in Treasuries.
Source: Standard & Poor’s.

Page 15 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 31.
18 18
EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS
16 (percent) 16
NIRP QEE QT
D QE
14 14

12 12

10 10
Bond Yields
France
8 Germany 8
Italy
6 Spain 6

4 4

2 Oct 2

0 0

yardeni.com
-2 -2
93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.
QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16. QT (12/31/2018).
Source: Financial Times.

Figure 32.
45 45
GREECE: GOVERNMENT 10-YEAR BOND YIELD
(percent, daily)
40 40

35 35

30 30
yardeni.com

25 25

20 20

15 15

10 10

5 11/2 5

0 0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Source: Financial Times.

Page 16 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 33.
9.0 9.0
8.5 EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS 8.5
8.0 (percent, daily) 8.0
7.5 7.5
7.0 7.0
6.5 6.5
6.0 6.0
5.5 5.5
5.0 5.0
4.5 4.5
4.0 D NIRP QE QEE 4.0
3.5 3.5
11/2
3.0 3.0
2.5 2.5
2.0 2.0
Bond Yields
1.5 France 1.5
1.0 Germany 1.0
.5 Italy .5
.0 Spain .0
-.5 -.5
yardeni.com
-1.0 -1.0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.
QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.
Source: Financial Times.

Figure 34.
5 5
ECB DEPOSIT RATE & GERMAN GOVERNMENT 10-YEAR BOND YIELD
(percent, daily)

4 4

Germany: 10 Year Bond Yield

3 ECB Deposit Rate 3

11/2
2 2

1 1

0 0

yardeni.com
-1 -1
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Source: European Central Bank and Haver Analytics.

Page 17 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 35.
6.1 6.1
5.6 ECB: HOLDINGS OF SECURITIES 5.6
5.1 10/28 5.1
4.6 (trillion euros, ratio scale) 4.6
4.1 4.1
3.6 3.6
3.1 3.1
2.6 2.6
2.1 2.1

1.6 Securities of Euro Area 1.6

Residents in Euro
1.1 1.1
D NIRP QE QEE

.6 .6

yardeni.com
.1 .1
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.
QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.
Source: European Central Bank.

Figure 36.
10 10
JAPAN: INTEREST RATES
(percent, weekly)

8 10-Year 8
Government
Bond Yield (0.25)
Central Bank Policy Rate (-0.10)
6 6

4 4

2 2

10/28
0 0

yardeni.com
-2 -2
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 15 16 17 18 19 20 21 22 23 24 25 26

Source: Bank of Japan.

Page 18 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 37.
750 750
690 690
630 JAPAN: MONETARY BASE* QQEE Oct 630
570 (trillion yen, sa, ratio scale) A NIRP 570
510 510
450 QQE 450
390 390
330 330
Z
270 270

210 210
yardeni.com

YC
150 150

90 90

30 30
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 15 16 17 18 19 20 21 22 23 24 25 26

* Adjusted for change in reserve requirements.

Note: Z = Zero Interest Rate Policy. A = Markets start to anticipate Abenomics. QQE (4/4/13) = Quantitative and Qualitative Easing. QQEE (10/31/14) =
QQE expanded and extended version. NIRP (1/29/16) = Negative interest rate policy. YC (9/21/16) = Yield curve targeting.
Source: Bank of Japan.

Figure 38.
1.4 1.4
JAPAN: US$ / 100YEN
(daily) A
QQE QQEENIRP
1.3 1.3

1.2 1.2

1.1 YC 1.1

1.0 1.0

.9 .9

.8 .8

.7 .7
11/2

yardeni.com
.6 .6
95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

200-day moving average

Note: A = Markets start to anticipate Abenomics. QQE is Quantitative and Qualitative Easing. QQEE is the expanded and extended version of QQE.
NIRP = negative interest rates. YC = Yield curve targeting.
Source: Haver Analytics.

Page 19 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 39.
4.5 4.5
GOVERNMENT 10-YEAR BOND YIELDS
(percent, daily) 11/2
4.0 4.0
Bond Yields
3.5 US 3.5
Japan
3.0 Germany 3.0

2.5 2.5

11/2
2.0 2.0

1.5 1.5

1.0 1.0

.5 .5
11/1
.0 .0

-.5 -.5

yardeni.com
-1.0 -1.0
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Source: Haver Analytics.

Figure 40.
22 22
CORPORATE & US TREASURY 10-YEAR BOND YIELDS
20 (percent, monthly) 20

18 18

16 16

14 Corporate Bond Yield: A-BBB Rated* 14

10-Year Bond Yield
12 12

10 10

8 8

6 Oct 6

4 4

2 2

yardeni.com
0 0
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Moody’s seasoned Baa corporate bond yield from 1962 to 1996, then Bank of America Merrill Lynch A-BBB corporate bond yield.
Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Federal Reserve Board.

Page 20 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 41.
600 600
YIELD SPREAD CORPORATE* & US TREASURY 10-YEAR BONDS
(basis points, monthly)
500 500

400 400

300 300

Oct
200 200

100 100

yardeni.com
0 0
62 64 66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Moody’s seasoned Baa corporate bond yield from 1962 to 1996, then Bank of America Merrill Lynch A-BBB corporate bond yield.
Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Federal Reserve Board.

Figure 42.
90 2500
S&P 500 VIX & HIGH YIELD CORPORATE BOND SPREAD

80

2000
70 S&P 500 VIX

60
High-Yield
Corporate Spread*
1500
50

40
1000

30
11/2

20
500

10

yardeni.com
0 0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

* US high-yield corporate bond yield less US Treasury 10-year bond yield (basis points).
Source: Chicago Board Options Exchange, Bank of America Merill Lynch, and Federal Reserve Board.

Page 21 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 43.
-200 165
FIBER WEEKLY LEADING INDEX & HIGH YIELD CORPORATE SPREAD
0 (basis points, inverted scale) 160

200 155

400 150
11/2
600 145

800 140

1000 135

1200 130

1400 125

1600 High-Yield 120

Corporate Spread*
1800 115
FIBER Weekly Leading Index
(1992=100)
2000 110
yardeni.com
2200 105
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

* High yield corporate less US Treasury 10-year bond yield.

Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Merrill Lynch, Federal Reserve Board, and Foundation of International Business & Economic Research (FIBER).

Figure 44.
37 37

34
US FEDERAL GOVERNMENT BUDGET DEFICIT 34
(as a percent of nominal GDP)
31 31

28 28

25 25

22 22

19 19

16 16

13 13

10 10

7 7

4 Q2 4

1 1

-2 -2
yardeni.com
-5 -5
47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Bureau of Economic Analysis.

Page 22 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 45.
54 54
52 US FEDERAL GOVERNMENT EXPENDITURES & RECEIPTS 52
50 (as a percent of nominal GDP) 50
48 48
46 46
44 44
42 42
40 40
38 38
36 36
34 Expenditures 34
32 Receipts 32
30 30
28 28
26 26
24 Q3 24
22 22
20 Q2 20
18 18
16 16
14 14
yardeni.com
12 12
47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25 27

Note: Shaded areas are recessions according to the National Bureau of Economic Research.
Source: Bureau of Economic Analysis.

Figure 46.
400 400
US AGENCY & GSE-BACKED BONDS: NET PURCHASES BY REST OF WORLD
(billion dollars, 4-quarter sum)

200 200
US Agency & GSE-Backed Securities

Q2

0 0

-200 -200

yardeni.com
-400 -400
2000 2001 2002 2003 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 Financial Accounts of the United States.

Page 23 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 47.
1000 1000
US TREASURY BONDS: NET PURCHASES BY REST OF WORLD
(billion dollars, 4-quarter sum)

800 800

US Treasury Securities

600 600

Q2

400 400

200 200

0 0

yardeni.com
-200 -200
2000 2001 2002 2003 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 Financial Accounts of the United States.

Figure 48.
100.1 100.1
US DEBT
(trillion dollars)
90.1 90.1

80.1 US Debt 80.1

Total (nsa)
70.1 Nonfinancial (sa) 70.1
Financial (sa) Q2

60.1 60.1

50.1 50.1

40.1 40.1

30.1 30.1

20.1 20.1

10.1 10.1

yardeni.com
.1 .1
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

Source: Federal Reserve Board Financial Accounts of the United States.

Page 24 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 49.
450 450
US DEBT
(as a percent of nominal GDP)
400 400
Debt/GDP Q2
Total
350 350
Nonfinancial
Financial
300 300

250 250

200 200

150 150

100 100

50 50

yardeni.com
0 0
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

Source: Federal Reserve Board Financial Accounts of the United States.

Figure 50.
70 70
US DEBT OF NONFINANCIAL DOMESTIC SECTORS Q2
(trillion dollars, nsa)
60 60
Nonfinancial Debt
Total*
Total Less Treasury
50 Treasury 50

40 40

30 30

20 20

10 10

yardeni.com
0 0
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Includes mortgage, consumer, business, and US Treasury debt.

Source: Federal Reserve Board Financial Accounts of the United States.

Page 25 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 51.
300 300
US DEBT OF NONFINANCIAL DOMESTIC SECTORS
(as a percent of nominal GDP) Q2

250 Nonfinancial Debt/GDP 250

Total*
Total Less Treasury
Treasury
200 200

150 150

100 100

50 50

yardeni.com
0 0
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Includes mortgage, consumer, business, and government debt.

Source: Federal Reserve Board Financial Accounts of the United States.

Figure 52.
17 17
US TOTAL HOUSEHOLD DEBT BALANCE
(trillion dollars) Q2

15 15

13 13

11 11

9 9

7 7

5 5

yardeni.com
3 3
99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

Source: New York Fed Credit Panel.

Page 26 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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 Predicting Bonds
Figure 53.
14 14
US HOUSEHOLD DEBT SERVICE RATIO*

13 13

12 12

11 11

10 10

Q2

9 9

yardeni.com
8 8
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22 24 26

* Ratio of debt service payments to disposable personal income.

Source: Federal Reserve Board.

Page 27 / November 2, 2022 / Chapter 10 Charts: Predicting Bonds Yardeni Research, Inc.
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