Wednesday, June 8, 2011

Fed Funds and Aggregate Demand Watch 6/8/2011



S&P 500
April 27 : 1357
May 26 : 1325.69
June 1: 1314.55
June 8 : 1279.56

Treasuries
2 year
April 27: 0.64
May 26 : 0.48
June 1: 0.44
June 8 : 0.38
10 Year
April 27 : 3.35
May 26 : 3.06
June 1: 2.95
June 8 : 2.94
30 Year
April 27 : 4.45
May 26 : 4.22
June 1: 4.14
June 8 : 4.19

Inflation Expectations
2 year inflation swaps
April 27 : 2.65
May 26 : 2.12
June 1: 2.05
June 8 : 2.01
5 Year TIPS Breakeven rate
April 27 : 2.35
May 26 : 2.07
June 1: 2.01
June 8 : 2.02
10 Year TIPS spread
April 27 : 2.6
May 26 : 2.34
June 1: 2.28
June 8 : 2.27
30 Year TIPS spread
April 27 : 2.68
May 26 : 2.47
June 1: 2.42
June 8 : 2.45

Bloomberg Commodity Index
April 27 : 1766.98
May 26 : 1684.28
June 1: 1691.51
June 8 : 1713.68

EUR USD
April 27 : 1.4738
May 26 : 1.4129
June 1: 1.4329
June 8 : 1.4577

(Data from bloomberg.com)

Markets were mixed relative to last week. Stocks fell, commodities rose, and bond yields were mixed. Expected fed funds rates fell in reaction to Bernanke's speech; whether this reflects easier or tighter policy isn't completely obvious, but the fact stock prices fell in reaction suggests the lower rates reflect tighter policy. All things considered, market expectations over the past week would be best labeled as "disappointing". I stick with my previous prediction.

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