european interest rates - yardeni research · note: d (7/26/12) = ecb president mario draghi...

Market Briefing:European Interest Rates

Yardeni Research, Inc.

May 22, 2020

Dr. Edward Yardeni516-972-7683

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Debbie Johnson480-664-1333

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Mali Quintana480-664-1333

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Please visit our sites atwww.yardeni.comblog.yardeni.com

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Table Of Contents Table Of ContentsTable Of Contents

May 22, 2020 / European Interest Rates www.yardeni.com


European Government Bond Yields 1-12

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 22-2

0

2

4

6

8

10

12

14

16

18

-2

0

2

4

6

8

10

12

14

16

18

E

D

QE

NIRP QEE

Brexit

EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(percent, monthly)

Apr

Apr

Yields

Spain (0.82)

France (0.06)Germany (-0.40)Italy (1.80)

Source: Haver Analytics.

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.

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Figure 1.

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-2

-1

0

1

2

3

4

5

6

7

8

9

10

-2

-1

0

1

2

3

4

5

6

7

8

9

10

QED NIRP QEE

Brexit

EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(percent, daily)

5/22

France (-0.04)Germany (-0.49)Italy (1.62)Spain (0.73)



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Figure 2.

European Government Bond Yields

Page 1 / May 22, 2020 / European Interest Rates www.yardeni.com


2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

9.0

.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

9.0

QE

D

NIRP

QEE

Brexit


5/22

5/22

Spain (0.73)Italy (1.62)

D = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro (7/26/12). NIRP = negative interest-rate policy (6/5/2014).QE (1/22/15). QEE = expansion and extension of QE (3/10/16, corporate bond purchases started 6/1/16).Source: Financial Times.

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Figure 3.

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20200

5

10

15

20

25

30

35

40

45

50

0

5

10

15

20

25

30

35

40

45

50

D QENIRP QEE


5/22

YieldsGreece (1.7)Ireland (0.1)Portugal (0.8)

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.Source: Financial Times.

yardeni.com

Figure 4.




2016 2017 2018 2019 20200

100

200

300

400

0

100

200

300

400

Brexit

USElection Day

ItalianReferendum

EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(basis points, daily)

5/22

Yield Spreadswith Germany

France (45.0)

Italy (211.0)UK (67.0)


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Figure 5.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220

100

200

300

400

500

600

700

0

100

200

300

400

500

600

700

5/22

10-YEAR GOVERNMENT BOND YIELD SPREAD(basis points, daily)

Spain-Germany (122.00)


yard

eni.c

om

Figure 6.




2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1.5

-1.0

-.5

.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

-1.5

-1.0

-.5

.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5/22


Germany (-0.48)

Sweden (-0.06)Japan (-0.01)

UK (0.17)US (0.66)

France (-0.04)


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Figure 7.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

.0

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

5/22

UNITED KINGDOM: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 8.




2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1

0

1

2

3

4

5

6

-1

0

1

2

3

4

5

6

5/22

FRANCE: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 9.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1

0

1

2

3

4

5

6

-1

0

1

2

3

4

5

6

5/22

GERMANY: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 10.




2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220

5

10

15

20

25

30

35

40

45

0

5

10

15

20

25

30

35

40

45

5/22

GREECE: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 11.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021-2

0

2

4

6

8

10

12

14

16

-2

0

2

4

6

8

10

12

14

16

5/22

IRELAND: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 12.




2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220

2

4

6

8

0

2

4

6

8

5/22

ITALY: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 13.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1

0

1

2

3

4

5

6

-1

0

1

2

3

4

5

6

5/22

NETHERLANDS: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 14.




2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220

5

10

15

20

0

5

10

15

20

5/22

PORTUGAL: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 15.

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220

1

2

3

4

5

6

7

8

0

1

2

3

4

5

6

7

8

5/22

SPAIN: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)


yardeni.com

Figure 16.




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 22-2

0

2

4

6

8

10

12

14

16

18

-2

0

2

4

6

8

10

12

14

16

18

E

D

QE

NIRP QEE

Brexit

EUROZONE: GOVERNMENT 10-YEAR BOND YIELDS(percent, monthly)

Apr

Apr

Yields

Spain (0.82)

France (0.06)Germany (-0.40)Italy (1.80)



yardeni.com

Figure 17.

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 21 220

50

100

150

200

250

300

350

400

450

500

550

600

650

700

750

800

0

50

100

150

200

250

300

350

400

450

500

550

600

650

700

750

800

E

D

QE

NIRP QEE

Brexit

EUROZONE: GOVERNMENT 10-YEAR BOND SPREADS(basis points)

Apr

Apr

Yield SpreadsItaly Less Germany (220)Spain Less Germany (122)

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.Source: Haver Analytics.

yardeni.com

Figure 18.




2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-2

-1

0

1

2

3

4

5

6

7

8

9

10

-2

-1

0

1

2

3

4

5

6

7

8

9

10

QED NIRP QEE

Brexit


5/22

France (-0.04)Germany (-0.49)Italy (1.62)Spain (0.73)



yardeni.com

Figure 19.

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-100

0

100

200

300

400

500

600

700

800

-100

0

100

200

300

400

500

600

700

800

QE

D

NIRP QEE

Brexit

EUROZONE: GOVERNMENT 10-YEAR BOND SPREADS(basis points)

5/22

5/22

Yield SpreadsItaly Less Germany (211)Spain Less Germany (122)

Note: D (7/26/12) = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro. NIRP (6/5/2014) = negative interest-rate policy.QE (1/22/15) = quantitative easing. QEE (3/10/16) = expansion and extension of QE with corporate bond purchases started 6/1/16.Source: Haver Analytics.

yardeni.com

Figure 20.




2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

QE

D

NIRP

QEE

Brexit ItalianElection

ITALY: 10-YEAR GOVERNMENT BOND YIELD(percent, daily)

5/22

D = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro (7/26/12). NIRP = negative interest-rate policy (6/5/2014).QE (1/22/15). QEE = expansion and extension of QE (3/10/16, corporate bond purchases started 6/1/16).Source: Financial Times.

yardeni.com

Figure 21.

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20200

100

200

300

400

500

600

700

800

0

100

200

300

400

500

600

700

800

Brexit

USElection Day

ItalianReferendum

ItalianElection

ITALY: 10-YEAR GOVERNMENT BOND YIELDSPREAD WITH GERMANY

(basis points, daily)

5/22


yardeni.com

Figure 22.




2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-1

0

1

2

3

4

5

6

-1

0

1

2

3

4

5

6

5/22

INTEREST RATES IN THE EUROZONE(percent, daily)

Eurozone RatesECB Deposit Facility Rate (-0.50)Germany: 10-Year Government Yield (-0.49)

Source: European Central Bank and Haver Analytics.

yardeni.com

Figure 23.




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european interest rates - yardeni research · note: d (7/26/12) = ecb president mario draghi...

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