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1998issue C101-4

Gold as a cross-market regime barometer

This Evaluation uses Intermarket analysis and Correlation analysis to score gold two ways: how often it agrees in direction with the dollar and CPI, and how stably its daily price ratio tracks the CRB. Across 40 quarters from 1988 through 1997, gold moved opposite the dollar versus the German mark in 65 percent of quarters and with quarterly CPI inflation in 70 percent. Over the prior 10 calendar years, gold posted the lowest average absolute deviation of a commodity-to-index daily price ratio versus the CRB.

  • Across 40 quarters from 1988 through 1997, gold and the dollar versus the German mark moved in opposite directions in 26 quarters, or 65 percent of the sample.
  • Across the same 40 quarters, the quarterly CPI inflation rate and gold moved in the same direction in 28 quarters, or 70 percent of the sample.
  • Over the prior 10 calendar years gold posted the lowest average absolute deviation of a commodity-to-index daily price ratio versus the CRB, at 0.053, ahead of soybeans at 0.085 and platinum at 0.096.
  • The evaluation frames gold as still useful as a regime barometer because gold declines usually coincide with softer inflation and commodities, while gold advances often coincide with a weaker dollar.
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Current trackCorrelation analysis52 readingsIntermarket analysis136 readings

A regime check, not a daily substitute

This Evaluation sits in Intermarket and spreads. It applies Intermarket analysis and Correlation analysis to put gold into a regime-aware market context.

The historical workflow scores gold against the dollar, consumer prices, and a commodity index rather than treating one metal as a complete picture of inflation or of the basket.

Direction versus the dollar and CPI

Across 40 quarters from 1988 through 1997, gold and the dollar versus the German mark moved in opposite directions in 26 quarters, or 65 percent of the sample.

Across the same 40 quarters, the quarterly CPI inflation rate and gold moved in the same direction in 28 quarters, or 70 percent of the sample.

A same-direction quarter in 1990

In the third quarter of 1990 the dollar versus the mark fell 0.0945, from 1.6615 to 1.5670, while gold rose 42.6, from 359.90 to 402.50.

In that same quarter the quarterly inflation rate rose 0.91 to 2.00 percent from 1.09 percent while gold rose 42.6, a same-direction inflation-gold episode.

Why a commodity basket still matters in CPI

The CPI mix cited in the evidence is about 55 percent labor-intensive services and 45 percent commodity-intensive goods, so a commodity basket remains a large share of the inflation picture.

Stability of the gold-to-CRB daily ratio

Representativeness versus the CRB was scored with a six-step relative deviation of the daily ratio: form the daily commodity-to-index ratio, subtract the period mean, take absolute values, average those deviations, then divide by the mean.

That score is the average absolute deviation of a commodity-to-index daily price ratio, scaled by that ratio's mean.

Over the prior 10 calendar years gold posted the lowest relative deviation of the daily ratio versus the CRB, at 0.053, ahead of soybeans at 0.085 and platinum at 0.096.

In the same ranking coffee, orange juice, and natural gas were the least stable CRB stand-ins, at 0.274, 0.216, and 0.178.

What a low ratio deviation implies

When that gold-to-CRB daily-ratio deviation is low, the two series tend to rise and fall together rather than gold moving in isolation.

The evaluation frames gold as still useful as a regime barometer because gold declines usually coincide with softer inflation and commodities, while gold advances often coincide with a weaker dollar.

Relative deviation of each commodity’s daily ratio to the CRB

Gold’s daily price ratio versus the CRB had the smallest relative deviation, 0.053, of any index member over the ten calendar years through 1997, so it tracked the basket more tightly than grains, energy, or the softs. The bars are the exact relative-deviation figures from Saitta’s commodity table, not a tracing of the dual-axis gold–CRB price plot.
Gold’s daily price ratio versus the CRB had the smallest relative deviation, 0.053, of any index member over the ten calendar years through 1997, so it tracked the basket more tightly than grains, energy, or the softs. The bars are the exact relative-deviation figures from Saitta’s commodity table, not a tracing of the dual-axis gold–CRB price plot.CRB index member commodities · Daily · 1988-01-01T00:00:00.000Z to 1997-12-31T00:00:00.000Z

Relative deviation is the mean absolute deviation of the daily commodity/CRB price ratio, divided by that ratio’s mean. The window is the same 10 calendar years as the 1988–97 quarterly study.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
13 of 37 in the Correlation analysis track
19991-4 pp.Next on Correlation analysisThe gold-bond inverse is a regime, not a causeCorrelation analysis on this pair is a same-way versus opposite-way tally of significant gold moves, not a proof that one market moved the other.
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  2. 1989A precious-metal price as a changing intermarket equation
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  13. 1998Gold as a cross-market regime barometer
  14. 1999The gold-bond inverse is a regime, not a cause
  15. 1999A nested lag test of gold leading bond yields
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All 52 readings tagged Correlation analysis
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