Market Briefing: Correlated Markets - Yardeni Research Effective Exchange Rate ... Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan ... 2018

Market Briefing:Correlated Markets

Yardeni Research, Inc.

June 24, 2018

Dr. Edward Yardeni516-972-7683

[email protected]

Mali Quintana480-664-1333

[email protected]

Please visit our sites atwww.yardeni.comblog.yardeni.com

thinking outside the box

Table Of Contents Table Of ContentsTable Of Contents

June 24, 2018 / Market Briefing: Correlated Markets www.yardeni.com


Industrial & Transportation Stock Prices 1S&P 500 & Commodity Prices 2S&P 500, Oil, & the Dollar 3Commodity Prices & the Dollar 4Commodity Prices & Currencies 5Copper, Oil, & the Dollar 6EM-MSCI 7EM-MSCIs, the Dollar, & Commodity Prices 8-9China Stock Market & Commodities 10Asian Stock Markets 11-12S&P 500 Sectors 13S&P 500 Industries 14Bank Stocks 15Technology Heavy Stock Markets 16Commodity Heavy Stock Markets 17Capital Goods Heavy Stock Markets 18S&P 500 Indices: MEI, CUT 19Misc 20CRB & Copper 21Russia Price Index & Crude Oil Price 22Expected Inflation & CRB Raw Industrials Index 23

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20192000

3500

5000

6500

8000

9500

11000

12500

6000

9000

12000

15000

18000

21000

24000

27000

6/22DOW JONES STOCK AVERAGES(ratio scale)

Industrials (DJIA)

Transportation (DJTA)

Source: The Wall Street Journal.

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Figure 1.

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019100

250

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850

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1600

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2400

2800

3200

3600

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6/22S&P 500 STOCK INDEXES(ratio scale)

Industrials Composite*

Transportation Composite

* S&P 500 excluding Financials, Transports, and Utilities.Source: Standard & Poor’s.

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Figure 2.

Industrial & Transportation Stock Prices

Page 1 / June 24, 2018 / Market Briefing: Correlated Markets www.yardeni.com


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019600

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6/22

6/22

S&P 500 INDEX & INDUSTRIAL COMMODITY PRICES

S&P 500 Index

CRB Raw IndustrialsSpot Index

Source: Thomson Reuters I/B/E/S and Commodity Research Bureau.

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Figure 3.

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019300

350

400

450

500

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650

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0

200

400

600

800

6/22

6/22

S&P 500 TRANSPORATION INDEX & INDUSTRIAL COMMODITY PRICES

S&P 500Transportation Index

CRB Raw IndustrialsSpot Index

Source: Standard & Poor’s and Commodity Research Bureau.

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Figure 4.

S&P 500 & Commodity Prices



2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201910

30

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6/22

6/21

S&P 500 & CRUDE OIL PRICE

Brent Crude Oil Futures Price(dollars per barrel)

S&P 500 Index

* Nearby futures price.Source: Standard & Poor’s and Haver Analytics.

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Figure 5.

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020145

140

135

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110

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650750850950

10501150125013501450155016501750185019502050215022502350245025502650275028502950

6/22

6/22

S&P 500 INDEX & US DOLLAR INDEX

JP Morgan NominalBroad Effective Exchange Rate*(inverted scale)

S&P 500 Index

* Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong,Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru,Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom,Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan.Source: JP Morgan and Haver Analytics.

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Figure 6.

S&P 500, Oil, & the Dollar



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 20200

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6/22

INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR

JP Morgan NominalBroad Effective Exchange Rate**(inverted scale)

CRB Raw IndustrialsSpot Price Index*(1967=100)

* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong,

Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru,Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom,Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan.

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Figure 7.

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 20-45

-35

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6/22

INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR(yearly percent change)


CRB Raw IndustrialsSpot Price Index*

* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong,

Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru,Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom,Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan.

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Figure 8.

Commodity Prices & the Dollar



2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020200

300

400

500

600

700

1.7

1.6

1.5

1.4

1.3

1.2

1.1

1.0

.9

.8

6/22

INDUSTRIALS COMMODITY PRICE INDEX & CANADIAN DOLLAR


Canada(C$/US$, inverted scale)

* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.Source: Haver Analytics.

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Figure 9.

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020200

300

400

500

600

700

2.1

2.0

1.9

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1.7

1.6

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1.3

1.2

1.1

1.0

.9

.8

6/22

INDUSTRIALS COMMODITY PRICE INDEX & AUSTRALIAN DOLLAR


Australia(A$/US$, inverted scale)

* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.Source: Haver Analytics.

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Figure 10.

Commodity Prices & Currencies



2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020100

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6/22

6/22

INDUSTRIALS COMMODITY PRICE INDEX & COPPER PRICE

Copper Futures Price**(cents per pound)


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

Source: Commodity Research Bureau and Haver Analytics.

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Figure 11.

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 202020

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6/22

6/21

BRENT CRUDE OIL PRICE & TRADE-WEIGHTED DOLLAR


Brent Crude Oil Futures Price*(dollars per barrel)

* Nearby futures price.** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong,

Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru,Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom,Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Haver Analytics.

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Figure 12.

Copper, Oil, & the Dollar



2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201920000

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EMERGING MARKETS MSCI STOCK PRICE INDEXES

US dollars

Local currency

Source: Morgan Stanley Capital International.

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Figure 13.

EM-MSCI



2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20200

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6/21

EMERGING MARKETS MSCI STOCK PRICE INDEX &TRADE-WEIGHTED DOLLAR

Emerging MarketsMSCI Stock Price Index(in local currencies)

JP Morgan NominalBroad Effective Exchange Rate*(inverted scale)

* Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong,Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru,Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom,Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International.

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Figure 14.

95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 190

500

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6/21

6/21

EMERGING MARKETS MSCI STOCK PRICE INDEX & BRENT CRUDE OIL PRICE

Emerging MarketsMSCI Stock Price Index(in dollars)


* Spot price through yearend 2014, then nearby futures price.Source: Morgan Stanley Capital International and Commodity Research Bureau.

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Figure 15.

EM-MSCIs, the Dollar, & Commodity Prices



95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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6/22

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EMERGING MARKETS MSCI STOCK PRICE INDEX (in dollars)& INDUSTRIALS COMMODITY PRICE INDEX(daily)



* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.Source: MSCI and Commodity Research Bureau.

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Figure 16.

95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 190

1

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6/22

EMERGING MARKETS MSCI STOCK PRICE INDEX & COPPER PRICE


Copper Price(dollars per pound)

Source: Morgan Stanley Capital International and Commodity Research Bureau.

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Figure 17.

EM-MSCIs, the Dollar, & Commodity Prices



2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019100

200

300

400

500

20

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110

6/22

6/22

CHINA: STOCK MARKET & COPPER PRICE

China MSCI Share Price Index(US dollars, December 31, 1992=100)

Copper Price*(cents per pound)

* Nearby futures contract.Source: MSCI and Haver Analytics.

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Figure 18.

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020300

400

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700

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6/22

6/22

CHINA MSCI & INDUSTRIALS COMMODITY PRICE INDEX

China MSCI Share Price Index(in dollars)

CRB Raw IndustrialsSpot Index(1967=100)

Source: Morgan Stanley Capital International and Commodity Research Bureau.

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Figure 19.

China Stock Market & Commodities



2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20196000

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STOCK MARKETS(stock indexes in local currencies)

China: Shanghai-Shenzen 300(12/31/2004=1000)

Japan: NIKKEI(5/16/49=100)

Source: Haver Analytics.

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Figure 20.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019500

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STOCK MARKETS(stock indexes in local currencies) China: Shanghai-Shenzen 300

(12/31/2004=1000)

Austrailia: All Ordinaries(1/1/80=50)


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Figure 21.

Asian Stock Markets



96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20160

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NIKKEI & YEN(stock index in local currency)

Nikkei

Yen/US Dollar(inverted scale)


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Figure 22.

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019100

200

300

400

175

150

125

100

75

6/22

NIKKEI/DAX & YEN/EURO

Yen/Euro(inverted scale)

Nikkei/Dax

Source: Federal Reserve Board.

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Figure 23.

Asian Stock Markets



2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 202025

50

75

100

125

150

175

.1

.2

.3

.4

.5

.6

6/22

6/21

S&P 500 ENERGY & BRENT CRUDE OIL PRICE

S&P 500 Energy Index(as a ratio of S&P 500 Index)

Brent Crude Oil Futures Price*(dollars per barrel)

* Nearby futures price.Source: Standard & Poor’s and Financial Times.

yardeni.com

Figure 24.

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020300

350

400

450

500

550

600

650

700

.12

.14

.16

.18

.20

.22

6/22

6/22

S&P 500 MATERIALS & INDUSTRIALS COMMODITY PRICE INDEX

S&P 500 Materials Index(as a ratio of S&P 500 Index)


* Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow.Source: Standard & Poor’s and Commodity Research Bureau.

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Figure 25.

S&P 500 Sectors



95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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S&P 500 & S&P RETAILING

S&P 500 RetailingS&P 500 Index

Source: Standard & Poor’s.

yardeni.com

Figure 26.

95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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S&P 500 INDEX & S&P 500 BANKS

S&P 500 BanksS&P 500 Index


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Figure 27.

S&P 500 Industries



Figure 28.

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019406080100120140160180200220240260280300320340360380

406080

100120140160180200220240260280300320340360380

6/22

BANK STOCK PRICE INDEXES

United States: S&P 500 Bank Composite Index

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201920

40

60

80

100

20

40

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100

6/21

EUROPE(LCU)

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201920

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6/14

JAPAN(yen)

200-day moving average


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Bank Stocks



Figure 29.

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20800

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80006/22NASDAQ

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20100

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TAIWAN(NT $)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20100

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6/22

SINGAPORE(Singapore Dollars)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20100

150

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6/21

ISRAEL(Shekels)



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Technology Heavy Stock Markets



Figure 30.

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20400

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AUSTRALIA(Australian dollars)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20500

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CANADA(Canadian dollars)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20800140020002600320038004400500056006200680074008000

800140020002600320038004400500056006200680074008000

6/22

INDONESIA(Rupiah)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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0

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6/21

SOUTH AFRICA(Rand)



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Commodity Heavy Stock Markets



Figure 31.

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20100150200250300350400450500550600650700750

100150200250300350400450500550600650700750

6/22

S&P 500 INDUSTRIALS

06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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GERMANY(Euros)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 20200

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6/22SOUTH KOREA(Won)

06 07 08 09 10 11 12 13 14 15 16 17 18 19 200

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SWEDEN(Kronor)

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Capital Goods Heavy Stock Markets



2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018160

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8/10

8/10

S&P 500 MEI (MATERIALS, ENERGY, & INDUSTRIALS) PRICE INDEX* &AVERAGE OF CRB RAW INDUSTRIALS AND BRENT CRUDE OIL

S&P 500 MEI*

YRI Global Growth Barometer**

* Cap weighted average of S&P 500 Materials, S&P 500 Energy, and S&P 500 Industrials price indices.** Average of CRB Raw Industrials Spot Price Index and price of a barrel of Brent crude oil futures (nearby futures).

Source: Standard & Poor’s, Financial Times, and Commodity Research Bureau.

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Figure 32.

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019150

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6/22

S&P 500 CUT (CONSUMER STAPLES, UTILITIES & TELECOM SERVICES) PRICE INDEX*

* Cap weighted average of S&P 500 Consumer Staples, S&P 500 Utilities, and S&P 500 Telecommunication Services price indices.Source: Standard & Poor’s.

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Figure 33.

S&P 500 Indices: MEI, CUT



96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 191.2

1.4

1.6

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2.0

2.2

3000

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6/22UNITED KINGDOM FTSE 100 & POUND

FTSE 100

US Dollar/Pound

Source: Reuters America, Inc. and Haver Analytics.

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Figure 34.

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 201950

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S&P 500 INTEGRATED OIL & GAS vs. OIL & GAS EQUIPMENT & SERVICES

Integrated Oil & Gas

Oil & Gas Equipment &Services


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Figure 35.

Misc



2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020100

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6/22

INDUSTRIALS COMMODITY PRICE INDEX & COPPER FUTURES PRICE

Copper Futures Price**(cents per pound)


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

Source: Commodity Research Bureau and Haver Analytics.

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Figure 36.

CRB & Copper



95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 190

50

100

150

0

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1500

2000

6/21

RUSSIA MSCI INDEX & BRENT CRUDE OIL PRICE


Russian MSCI Index(US dollars)

Source: Morgan Stanley Capital International and Financial Times.

Figure 37.

Russia Price Index & Crude Oil Price



2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020200

300

400

500

600

700

.0

.2

.4

.6

.8

1.0

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3.2

3.4

6/22

INDUSTRIALS COMMODITY PRICE INDEX & EXPECTED INFLATION

Expected Inflationin 10-Year TIPS*

CRB Raw Industrials Index

* Yield spread between 10-year US Treasury bond and comparable TIPS.Source: Federal Reserve Board, US Treasury, and Bureau of Economic Analysis.

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Figure 38.

Expected Inflation & CRB Raw Industrials Index



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Documents

Market Briefing: Correlated Markets - Yardeni Research Effective Exchange Rate ... Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan ... 2018