Chapter 12 Charts: Predicting Currencies
Transcript of Chapter 12 Charts: Predicting Currencies
Predicting the Markets:Chapter 12 Charts:
Predicting CurrenciesYardeni Research, Inc.
November 24, 2021
Dr. Edward YardeniChief Investment Strategist
Mali QuintanaSenior Economist
Please visit our sites atwww.yardeni.comblog.yardeni.com
thinking outside the box
Table Of Contents Table Of ContentsTable Of Contents
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Predicting Currencies 1-19
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023-1.0
-.8
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NET INFLOWS INTO EQUITY MUTUAL FUNDS(cumulative flows since 2000, trillion dollars)
TotalInternational*Domestic
* Includes Global & International, Emerging Markets, and Regional Funds.Source: Investment Company Institute.
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Figure 1.
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NET INFLOWS INTO EQUITY MUTUAL FUNDS(cumulative flows since 2000, percent of total)
International*Domestic
* Includes Global & International, Emerging Markets, and Regional Funds.Source: Investment Company Institute.
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Figure 2.
Predicting Currencies
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52 54 56 58 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 24.1
20.1
40.1
60.180.1
.1
20.1
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60.180.1 Q2TOTAL VALUE OF US STOCKS
(trillion dollars, nsa, ratio scale)
US Equity Issues at Market Value
Total Ex Foreign Issues*Total
* Total excluding market value of holdings of foreign corporate equities, investment fund shares, and American Depositary Receipts (ADRs)by US residents.Source: Federal Reserve Board, Financial Accounts of the United States.
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Figure 3.
52 54 56 58 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 22 240
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FOREIGN EQUITIES HELD BY US RESIDENTS(as percent of total market value of equities held by US residents)
Foreign EquitiesShare in US*
* Market value of holdings of foreign corporate equities, investment fund shares, and American Depositary Receipts (ADRs) by US residentsas a percent of the market value of their total equity holdings.Source: Federal Reserve Board, Financial Accounts of the United States.
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Figure 4.
Predicting Currencies
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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 21 233
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1053Q3CORPORATE PRE-TAX PROFITS RECEIPTS FROM THE REST OF THE WORLD*
(billion dollars, saar, ratio scale)
* Including Inventory Valuation Adjustment (IVA) and Capital Consumption Adjustment (CCAdj), which restate the historical cost basis used in profitstax accounting for inventory withdrawals and depreciation to the current cost measures used in GDP.Source: Bureau of Economic Analysis.
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Figure 5.
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 23 255
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CORPORATE PRE-TAX PROFITS RECEIPTS FROM THE REST OF THE WORLD*(as a percent of pre-tax corporate profits)
* Including Inventory Valuation Adjustment (IVA) and Capital Consumption Adjustment (CCAdj), which restate the historical cost basis used in profitstax accounting for inventory withdrawals and depreciation to the current cost measures used in GDP.Source: Bureau of Economic Analysis.
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Figure 6.
Predicting Currencies
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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 23 250
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FED’S TRADE-WEIGHTED DOLLAR INDEXES(daily)
Major*(3/73=100)Broad**(1/97=100)
* Countries included in the Advanced Foreign Economies (AFE) index: Australia, Canada, Euro Area, Japan, Sweden, Switzerland, andthe United Kingdom.
** Countries included in the Broad Dollar Index: Argentina, Australia, Brazil, Canada, Chile, China, Colombia, Euro Area, Hong Kong, India, Indonesia,Israel, Japan, Korea, Malaysia, Mexico, Philippines, Russia, Saudi Arabia, Singapore, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, and Vietnam.Source: Federal Reserve Board.
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Figure 7.
***** Chart Not Available *****
Task: PTMBLOGTWDJPMORGAN
REPLICATE’ing above limits
11-23-2021 - 13:08:38
Figure 8.
Predicting Currencies
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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 24.015
.020
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.015
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EMERGING MARKETS MSCI INDEX CURRENCY RATIO(US$ index / local currency index, daily)
Source: MSCI.
Figure 9.
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 23 241.2
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Source: MSCI.
DEVELOPED WORLD EX-US MSCI INDEX CURRENCY RATIO(US$ index / local currency index, daily)
Figure 10.
Predicting Currencies
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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 16 18 20 22 24 2628
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11/23GOLD PRICE*(dollars per troy ounce, ratio scale)
* Cash price. London gold bullion, PM Fix. Monthly from 1968 through 1974, then daily.Source: Wall Street Journal and Haver Analytics.
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Figure 11.
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CRB RAW INDUSTRIALS SPOT PRICE INDEX*(1967=100, ratio scale)
11/23
* Weekly from January 9, 1951 to May 26, 1981, then daily. Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops,hides, rosin, rubber, and tallow.Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Commodity Research Bureau.
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Figure 12.
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WEST TEXAS INTERMEDIATE CRUDE OIL PRICE(dollars per barrel, ratio scale, monthly)
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.Source: Haver Analytics.
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Figure 13.
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 25-8
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NET EXPORTS OF GOODS & SERVICES IN NOMINAL GDP(as a percent of nominal GDP)
TotalEx Petroleum
Source: Bureau of Economic Analysis.
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Figure 14.
Predicting Currencies
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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 24-3400
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US FEDERAL GOVERNMENT BUDGET BALANCE(12-month sum, billion dollars)
Source: US Treasury Department.
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Figure 15.
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 24.2
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15.218.221.2
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15.218.221.2 OctUS TREASURY DEBT HELD BY THE PUBLIC*
(trillion dollars, nsa, ratio scale)
* Marketable interest-bearing bills, notes, and bonds.Source: US Treasury Department, Monthly Statement of the Public Debt of the United States.
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Figure 16.
Predicting Currencies
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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 24200
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INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR(daily)
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 17.
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INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR(daily)
JP Morgan NominalBroad Effective Exchange Rate*(inverted scale)
Brent Crude Oil Price(dollars per barrel)
* 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 18.
Predicting Currencies
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***** Chart Not Available *****
Task: PTMTWDJPMORGANMSCI
KEEP command attempted on missing data
11-23-2021 - 17:45:43
Figure 19.
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S&P 500 INFORMATION TECHNOLOGY: EARNINGS & MARKET-CAP SHARES(percent)
Capitalization Share (27.7)Earnings Share* (22.4)
* Using S&P 500 12-month forward consensus expected operating earnings.Source: Thomson Reuters I/B/E/S.
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Figure 20.
Predicting Currencies
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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 22 235
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FORWARD P/E RATIOS FOR S&P 500*
S&P 500 (20.4)S&P 500 Technology (25.1)
* S&P 500 stock price index divided by S&P 500 12-month forward consensus expected operating earnings per share.Source: Thomson Reuters I/B/E/S.
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Figure 21.
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NON-GOLD INTERNATIONAL RESERVES: ADVANCED & EMERGING ECONOMIES(trillion dollars, ratio scale)
International Reserves Held By:Advanced Economies*Emerging Economies
* Includes United States, Canada, Australia, Japan, New Zealand, Austria, Belgium, Luxembourg, Denmark, Finland, France, Germany, Greece, Iceland,Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and United Kingdom.Source: IMF and Haver Analytics.
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Figure 22.
Predicting Currencies
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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023200
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INDUSTRIALS COMMODITY PRICE INDEX & CANADIAN DOLLAR(daily)
CRB Raw IndustrialsSpot Price Index*
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 23.
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023200
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INDUSTRIALS COMMODITY PRICE INDEX & AUSTRALIAN DOLLAR(daily)
CRB Raw IndustrialsSpot Price Index*
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 24.
Predicting Currencies
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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 26-1000
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Q2US INTERNATIONAL TRANSACTIONS:CURRENT vs FINANCIAL ACCOUNT BALANCES(billion dollars, 4-quarter sum)
Account BalanceCurrent*Financial**
* US exports less imports of goods and services plus net income from abroad.** Net incurrence of liabilities less net acquisition of financial assets.
Source: Bureau of Economic Analysis.
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Figure 25.
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US INTERNATIONAL TRANSACTIONS: STATISTICAL DISCREPANCY(billion dollars, 4-quarter sum)
Source: Bureau of Economic Analysis.
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Figure 26.
Predicting Currencies
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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 24-700
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CHINA: MERCHANDISE TRADE & NON-GOLD INTERNATIONAL RESERVES(billion dollars)
Merchandise Trade Surplus or Deficit(12-month sum)Non-Gold International Reserves(12-month change)
Source: China Customs and Haver Analytics.
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Figure 27.
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CHINA: IMPLIED INTERNATIONAL CAPITAL FLOWS*(billion dollars)
* 12-month change in non-gold international reserves minus 12-month sum of the merchandise trade surplus (deficit).Source: China Customs and Haver Analytics.
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Figure 28.
Predicting Currencies
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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 23 248.5
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CHINA: NON-GOLD INTERNATIONAL RESERVES & YUAN
Non-Gold International Reserves(trillion dollars, nsa)
Yuan/US$(inverted scale)
Source: IMF and Haver Analytics.
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Figure 29.
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 24-1000
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WORLD EX-US: MERCHANDISE TRADE & NON-GOLD INTERNATIONAL RESERVES(billion dollars)
World Trade Surplus with US*(12-month sum)World Non-GoldInternational Reserves(12-month change)
* US trade deficit multiplied by -1.0.Source: IMF and Haver Analytics.
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Figure 30.
Predicting Currencies
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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 24-2000
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WORLD EX-US: IMPLIED INTERNATIONAL CAPITAL FLOWS*(billion dollars)
* 12-month change in non-gold international reserves minus 12-month sum of the merchandise trade surplus with US (i.e., US trade deficit multiplied by -1.0).Source: IMF and Haver Analytics.
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Figure 31.
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IMPLIED WORLD EX-US CAPITAL FLOWS& TRADE-WEIGHTED DOLLAR (yearly percent change)
JP Morgan NominalBroad EffectiveExchange Rate**(inverted scale)
Implied World Ex-USCapital Flows*
* 12-month change in non-gold international reserves minus 12-month sum of the merchandise trade surplus (deficit). US trade deficit multiplied by -1.0.** 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: IMF and JP Morgan.
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Figure 32.
Predicting Currencies
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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 2420
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WORLD NON-GOLD INTERNATIONAL RESERVES (12-month change, billion dollars)& TRADE WEIGHTED DOLLAR (yearly percent change)
JP Morgan NominalBroad EffectiveExchange Rate**(inverted scale)
World Non-GoldInternational Reserves*(12-month change)
* 12-month change in non-gold international reserves minus 12-month sum of the merchandise trade surplus (deficit). US trade deficit multiplied by -1.0.** 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: IMF and JP Morgan.
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Figure 33.
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WORLD NON-GOLD INTERNATIONAL RESERVES (yearly percent change)& TRADE WEIGHTED DOLLAR (yearly percent change)
JP Morgan NominalBroad EffectiveExchange Rate*(inverted scale)
World Non-GoldInternational Reserves(yearly percent change)
* 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: IMF and JP Morgan.
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Figure 34.
Predicting Currencies
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1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.8
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INTERNATIONAL RESERVES HELD BY ALL CENTRAL BANKS(trillion dollars, ratio scale)
All Central BanksNon-Gold International ReservesTotal Foreign Exchange HoldingsTotal Allocated ReservesAllocated Reserves in US Dollars
Source: IMF.
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Figure 35.
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CURRENCY COMPOSITION OF OFFICIAL FOREIGN-EXCHANGE RESERVES (COFER)(percent of Allocated Reserves in US dollars)
Percent of Allocated ReservesIn US Dollars
Source: IMF.
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Figure 36.
Predicting Currencies
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2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024.5
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Oct
Oct
TOTAL ASSETS OF MAJOR CENTRAL BANKS(trillion dollars)
ECBFed
Source: Haver Analytics.
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Figure 37.
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 202290
95
100
105
110
115
120
125
130
135
90
95
100
105
110
115
120
125
130
135
QETerminated
RateHike
RateHike
RateHike
RateHike
TrumpWins
Oil PricePeak
Oil PriceTrough
JP MORGAN TRADE-WEIGHTED DOLLAR INDEX*(2010=100, daily)
11/23
* Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Rep., Denmark, Ecuador, Egypt, Hong Kong, Hungary, India, Indonesia,Israel, Japan, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia,Saudi Arabia, Singapore, South Africa, Sweden, Switzerland, Taiwan, Thailand, Turkey, Ukraine, UK, Uruguay, US, Venezuela, Vietnam, & Euro Area.Source: JP Morgan.
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Figure 38.
Predicting Currencies
Page 19 / November 24, 2021 / Chapter 12 Charts: Predicting Currencies www.yardeni.com
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