黄金面临新问题

Precious Blog Gold has a new problem inflation driven by a more varied set of causes, and rising real interestrates. The occurrence of bond market weakness has been a globalphenomenonwithkey events in Japan and the UK.Watchpoints goingforward will include global inflation data and upcoming Federal Reservemeetings. We think it would be a mistake to link gold too tightly with an2022, we experienced a much sharper real-rate repricing of 270 bpswhich was effectively neutralized by a 716 tonne swing in official golddemand (H2'22 vs H2'21). All indications are that incoming Fed Chair Warsh may attempt to steerthecenterofFOMCopinion from the"somewhat hawkish"characterization seen in mid-May (Link). While the effectiveness of thisremains to be seen, it could meaningfully change the pace of ETF goldinvestment without necessarily changing our team's view of a Fed on an"indefinite hold near neutral." Central bank and bar & coin demand were both stronger than expectedin Q1, butETFdemand isdown by78%versuslast year's quarterly run-rate. We see upside risk to ETF demand in the balance of the year, andnotethatoverall demandweakness in 2023 was still associated with anincrease in gold prices. One bearish risk is the upside to recycled goldsupplyas capacitybottlenecks ease. Inflation and bond markets constrain gold Gold has diverged from its negative oil correlation in the last 10 days as Brentfrontmonthdropped belowUSD1oo/bbl (Figure1).Thishassustainedashortterm downtrend from theUSD4,7o0/oz levelaround mid May,and reflected in1.6 mm troy oz selling visible in ETFs (-0.4 mm troy oz) and futures (-1.2 mm troyoz). The most relevant macro frame for gold continues to be the risk of higher inflation,Put simply, gold's new problem lies in the combination of more persistent inflationand responsible monetary policy-making. That suggests that a breakdown ineither one could tilt the macro picture for gold, suggesting gold sensitivity topolicy communications and inflation data going forward. Twosimplechartsillustratethis.First,US1Oynominalandrealrateshavebeenmore closely related to deferred crude futures (e.g., Dec'26) than front month(Figure 2), with the deferred crude futures R2 being 77% and the front month R2being51%.That suggeststhemarketismoreattunedtothepossibilityofa longerperiod of higher energy prices than the shortterm picture. Second, 10y real yieldshave been linked to hawkish Fed re-pricing (Figure 3), which provides thetransmission channel intofinancial fairvalueforgoldthattakes the 10y realyieldas an input (Link) anceLPDeutscheBankResearcf The sell-off in bond markets since the upside break of 4.5% on 10y UsT was important enough to rank as a point of discussion at the meeting of G-7 financePrice PerformancePerformance DriversUK and Japan1which facilitated weeklymoves of21bps,24bps and 23bpsrespectively in that week.This reflects thefact that these are global bond marketmoves, not exclusively borne of any one country's idiosyncrasies. From the Japanese side, bond market concerns centered on the need for aJapan Breakeven 10 Yearinfluences came from a strong 20yr JGB auction (19-May),Prime MinisterTakaichi's indication that with the extra budget, Japan does not"necessarily needto issuealargeamount of government bonds,"(20-May)3 and the announcementJapan Unemployment Rale SAVolailty (90 Day) From the UK side, recent difficulty for the Gilt market dates from the early Maylocalelections seeing Labourparty losses,thepossibility ofa leadership challengeforPrimeMinister Starmer,andthata newleadermay introducefiscal easingandhigher debt issuance.5This narrative was extended by data showing April's UKJ.PMorgan Fromthe US side, our Rates strategists express concern that"a string of shockshave left real rates too lowto return inflation to2%" (Link),while staying short 10yInd:Food Bev&Tobaccowith upside risk to their 4.65% target, and would not be surprised by a 10y termpremium of 135 bps, implying risk of 10y UST at 5% (Link). Our US Econ team observes that forthe Fed,the"balance of risks appears to haveshifted towardinflation persistence"(Link).Upside inflation drivers are widerthanoil prices alone, including measures of trend inflation, an elevated output gap, Aldemand in some goods categories, PPI pipeline inflation, and shorter-run inflationexpectations (Link).Ourteam'srelativeCPIforecasts indicate greaterupsideforthe US short-end (Link), implying that the lack of market pricing for Fed hikes maybe at risk of turning higher rather than lower. Precious Blog4.259 and the Strait of Hormuz gradually sees an increasing rate of commercial traffic,sources of inflation that outlive the conflict may keep real rates elevated.However, we think it would be a mistake to link gold too tightly with anextrapolation of further real rates repricing (48 bps so far this year).In 2022,weexperienced a much sharper real-rate repricing of 270 bps which was effectivelyneutralized by a 716tonne swing in official gold demand (H2'22 vs