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Gold Special Report:Gold in a hiking cycle,this time it’s differen

研究机构:巴克莱资本银行 研究员:巴克莱资本研究所 发布时间:2015-11-10

We have revised down our gold price forecast for Q415to $1100/oz and theaverage price for 2016to $1054/oz from $1170and $1215respectively, partiallyreflecting a move in our Fed rate hike call from Mar 2016to Dec 2015. In this piecewe investigate the likely behaviour of gold in the coming hiking cycle. While a higherinterest rate is typically seen as negative for gold prices, in the previous three hikingcycles, gold prices have ended up higher six months after hiking began. We do notbelieve this would be the case for this coming cycle.

After investigating the factors affecting the gold market in previous cycles we foundthat although real interest rates are important for gold, these are not the only driver,and their relationship with the metal has been changing over time. Using statisticalanalysis with potential gold price drivers going back to the 1970s, we identified thatfour macro variables collectively act as the primary driver for gold prices: realinterest rates; the USD exchange rate; inflation expectations; and the equity riskpremium. The relative importance of these elements shifts over time depending onthe specific macro set-up, but the framework helps explain why gold prices roseduring previous hiking cycles.

Before 2000, the relationship between real interest rates and gold seemed to bepositively correlated. This may have been due to the change in central bankcredibility and the market’s perception of inflation risk. In hiking cycles in 1994and1999, 10y breakeven inflation rose with gold prices, showing that investors mayhave been preoccupied by inflation risk, buying gold mainly as an inflation hedge.

In 2004, although inflation expectations were well anchored, USD was in a bearmarket. The USD exchange rate acted as the primary driver when hiking started. Inaddition, the equity risk premium was declining. We found that gold was notregarded as the ultimate safe-haven asset, a role specifically held by US treasuries.As a result it outperformed when ERP declined, boosting the price of risky assets.

During 2004-2006gold also benefited from the one-off effect of the launch ofphysical ETFs. General bullishness in commodities also brought inflows into gold,with index investment allocating money to the metal due to weighting.

We found that the physical supply and demand for gold mainly reacted to pricemoves rather than leading them. Western jewellery demand has fallen during pricerallies while scrap supply is mainly price-driven. The impact of EM demand on goldshould not be over-estimated. Indian demand has actually been stable during thepast decade while frenzied buying by China in 2013did not stop gold sliding

We found almost all factors we studied will work against gold in the forthcominghiking cycle. Real rates are set to rise; USD is forecast to continue its bull run;inflation expectations are at risk of shifting downwards rather than up; and equitymarkets show limited upside after a multi-year rally. ETF holders are now potentialsellers rather than buyers and sentiment on commodities is at a multi-year low.

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