The London Bullion Market Association ceased publishing daily data on their Gold Forward Offered Rate (GOFO), as of 30 January 2015 -- so we develop an observable proxy called tango.
During 2015 we detected strong negative correlation between price change and tango, however, in 2016 that strong correlation became positive -- thus we conclude the relationship is spurious. The observed correlations are mere artifacts which do not imply any significant economic relationships.
Short URL: https://git.io/xau-contango
Happy Holidays -- new v5.16.1225
Huge revision: qdl-libor-fed-funds.ipynb re Fed rate hikes -- major clarification using transposition and tenor assumptions. Include 2016-12-14 Fed rate hike, and 2017 policy forecast; please see: https://git.io/fedfunds for details. Market is currently aligned with Fed's announced intention of three 25 bp rate hikes during 2017. Implied Fed Funds one-year forward: 1.15%
Polished https://git.io/gdpspx -- We examine the US gross domestic product's relationship to the US equity market (S&P500), in real terms. Forecasts for both are demonstrated using Holt-Winters time-series model. We derive the most likely range for real GDP growth, and identify extreme equity valuations aside from inflationary pressures.
Our analysis would suggest the following back of the envelope calculation: say, SPX nominally has an annual gain of 6% and inflation stands at 2%, then the real SPX gain is 4%. Take half of that to arrive at real GDP growth: 2%. Helpful because GDP numbers are announced after months of lag.
plot(get(w4cotr_equities))which derives from CFTC Commitment of Traders Reports for combined pool of SP and ES futures and options representative of the S&P 500:
@lnsongxf hi, the preferred way for installation is just to clone the project under a directory in your PYTHONPATH. Best way to establish that editable variable is installing Anaconda beforehand which will resolve complex package dependencies. Then https://git.io/fecon-intro will help. Please message me if there are any other problems -- will revise the documentation accordingly.
Another way is non-native but direct cross-platform, Docker container : https://hub.docker.com/r/rsvp/fecon235/ -- Anaconda and git are pre-installed so just pull from origin/master to get latest fecon235 updates.