黄金市场评论：攀登火山

Nothing to see here Highlights Gold fell1% in May, finishing the month at US$4,546/oz, andmarginallylower inmost major currencies.Indiaand Turkey saw monthly gainsonpolicy changesand local currency weakness(Table1). Mayreview Gold fell1% in May,oncontinuedpositiverisk sentimentandmodestglobalgoldETF outflows. According to ourGold Return Attribution Model (GRAM),there were no standout drivers for gold’s performance in Mayfromthe explicit variables in themodel(Chart1).Positive risk sentiment via equityinflows less bond inflowsanda fall in implied volatility proved a minor drag, alongside gold ETF outflowsfromAsia and theUS(US$2.3bn,17.3t). US dollar weakness helped gold at the marginas did momentum factorsincluding European gold ETF inflows(US$0.3bn,1.2t).Other opaque flows–possibly in theover-the-counter (OTC) marketnotcaptured explicitly in our model-may have been a contributorto thenegativeresidual. Looking forward The Fed may need to hike rates asinflation pressures mount.Wemake the case for why itcould–surprisingly–benefit gold. But gold also faces headwinds,which could be prolonged iftheHormuz standoff drags on. COMEXmanaged money futurespositioningcontinuedtolinger in neutralterritory with a very modest gain of US$1.4bn(8t) in May. It is our view that a hike may counterintuitively benefit goldwhen it happens. Here is our case: Hiking up a volcano •The data: Gold has positively surprised on hikes morethan 50% of the time. It’s medianone-month (21-day)return following hikes–adjusted for the long-run average21-day return of 0.84%–has been positive.1 •The Fed may have to hike later this yearandthatcouldspell trouble for risk assets and the economy. History ismixed when it comes to hikes and gold’s response •Notable precedentsshow similarities to today and onthose occasionsgold responded positively to a hike •Context: What matters more than the policy rate itself ishow markets interpret the implications of tightening forgrowth, inflation credibility, financial stability and the USdollar •But gold is also facing near-term headwinds andsignificantoil shock could prolong the malaise. Following a somewhat contentious US rate-cutting cycle thatbegan in 2024, the market has pivoted to the strongpossibility of rate hikes into year-end and beyond, with a firmeconomy facing pass-through inflation pressures.This couldweigh on risk assets throughdiscount rates,as well asincreaseborrowing costs forhouseholds andbusinesses. •This time may be different: In prior cycles, hikes oftensignalled policy credibility and economic normalisation.Today, however, hikes may increasingly signal: ○Persistent inflation pressure as resource nationalismramps up ○Fiscal stress both in the US and abroad Convention has it that higher policy rates pressure goldthrough higher real yields and a stronger US dollar. Theevidenceis mixed. Historically, rate hikes have not seen auniform response from yields, the dollar or gold. ○Policy error risk on more divergent FOMC views,political pressure and the fear of getting it wrong(again). Chart2:Gold’s response mixed after Fed hikes •Cue the US dollar: Historically the US dollar appearedmore important to gold’s fortunes thantorates.Mediumterm growth and yield convergence,and a diversificationpush away from US assets,has setquite a clear pathfor aweaker dollar ahead,uponwhich consensusis agreed. Cumulative adjusted return before and after hike* •Other things matter:Demand from China, Indiaandcentralbanksisstructurally less sensitive to US ratesandcould provide support beyondthe currentlull •Risk asset fragility: Higher rates may prove to be thelaststraw for equity markets. Aside from the mechanicalrepricing of discount rates, Vanda Research notes thateven relatively modest rises in long-end Treasury yieldshave repeatedly destabilised short-term equity rallies overthe past couple of years.2 When and why hikes benefitedgold •22 March 2023:The Fed tightened into acute bankingstress. Long-end yields fell sharply as markets acceleratedexpectations of a pause and eventual easing.6There areno clear signs of banking stress today, but concerns havegrown over private credit. There are notablehistorical precedentsduring which goldbuckedexpectations with a positive hike(Chart3): •29 June 2006:This was the final hikein acycle;housingwas slowing and growth concerns were mounting. Goldwas also in an early innings of rate-insensitive buying froma recently liberated Chinese investment market, theadvent of gold ETFs,anda commodity boom.In otherwords, the Fed was hiking into fragility and ‘other’ thingsmattered–as theydotoday What could go wrong? Our argument is not that a hike is inherently bullish for gold. Historically, hikes have tended to be negative for gold if theystrengthen the US dollar, lift real yields and boostsentiment(Chart4). If a hiking cycle materially improves the market'sassessment of Fed credibility, gold could face additionalpressure. •15 March 2017:The post-election r