1999issue C051-3
A nested lag test of gold leading bond yields
A historical lag sweep compared monthly gold with bond yields across nested windows so a multi-month gold lead could be checked for stability, and markets that only moved with yields in the same period could be set aside.
- A visual review of about twenty years of gold and bond-yield history suggested that gold turning points often preceded yield turning points.
- Leadership was treated as confirmed only if gold still led inside shorter decade, five-year, and two-year windows, not merely across the full sample.
- In every reported window the strongest association appeared after gold was lagged, while crude oil, foreign bonds, and a major industrial equity average were characterized as coincidentally related to bond yields.
- Editorial: treat the gold lead as a slower regime backdrop for a yield view, and do not read same-period markets as if they supplied lead time.
A yield view inside a broader regime
A visual review of about twenty years of gold and bond-yield history suggested that gold turning points often preceded yield turning points. Intermarket analysis reads one market, such as bond yields, against related markets so a single trade sits inside a broader regime rather than in isolation.
The historical workflow did not stop at that visual hint. It scored the association after gold was shifted in time, then asked whether the same lead still appeared in shorter samples.
How the lag sweep was built
Association between the two series was scored with a correlation coefficient ranging from -1.0 to +1.0, capturing both direction and strength. Correlation analysis measures that signed strength, including after one series is shifted in time to test leadership.
If one series leads another by a fixed number of periods, the strongest measured association appears when the leader is lagged by that same number of periods. That pattern is a lead-lag: a timing relationship in which moves in one series tend to appear later in another series after a stable number of periods.
Monthly gold and bond-yield data covering about twenty years were compared after gold was lagged from zero through twenty months.
Nested windows as a stability check
The same lag search was repeated on decade, five-year, and two-year windows. Nested sample windows repeat that search on the full history and on shorter decade, multi-year, and recent windows to test whether a lead is stable.
Leadership was treated as confirmed only if gold still led inside the shorter windows, not merely across the full sample.
Where the strongest association sat
Over the full 1979 to 1999 window the strongest association occurred at a nine-month gold lag, with a coefficient of +0.46. In the 1989 to 1999 window the strongest association again occurred at a nine-month gold lag, with a coefficient of +0.63.
In every reported window the strongest association appeared after gold was lagged, and in all but one window the coefficient exceeded +0.50. In the most recent two-year window, gold led bond yields by about ten months and the coefficient was +0.95.
Coincidental markets beside the gold lead
Crude oil, foreign bonds, and a major industrial equity average were characterized as coincidentally related to bond yields, unlike gold's typical lead of about nine months. A coincidental relationship is a same-period association in which two markets move together without a useful lead time.
Editorial: a multi-month gold backdrop can be separated from markets that only move in coincidence. The coincident names belong in a same-period cluster. They do not replace the slower gold check.
All readings on this track · 37 readings
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- 1989A precious-metal price as a changing intermarket equation
- 1990Two clocks for copper: a factor regime, a regression baseline, and leftover moving-average timing
- 1990Earnings yield, rate correlation and regression for equity value
- 1991Name the window, then combine leaders
- 1991Constructing a two-market linear correlation check
- 1991Constructing a commodity-bond correlation regime filter
- 1992Building intermarket context with linear correlation
- 1993Inverse-scale overlays as a gold-equity regime filter
- 1994Constructing seasonal slots from windows, analog years, and implied volatility
- 1995Pin one reference close and roll companion correlations as an overlay
- 1995Rolling correlation windows for shifting intermarket regimes
- 1998Gold as a cross-market regime barometer
- 1999The gold-bond inverse is a regime, not a cause
- 1999A nested lag test of gold leading bond yields
- 1999Constructing spreads from stock and intermarket correlation
- 2000Evaluating headline versus food-and-energy-excluded CPI as bond-yield context
- 2005A late EUR/USD fifth wave tested by the Bund-Treasury gap
- 2006Intermarket dislocation as context for short-horizon momentum
- 2008Map ordinary 12-month outcomes before stacking valuation, rates, and seasonality
- 2008A clean-energy theme inside the oil-and-energy regime
- 2014Quantitative-easing overlays as fragile belief regimes
- 2015Three intermarket checks from the late-2014 crude decline
- 2015Basket construction via rank, correlation, and locked rules
- 2015Construct a CAD-oil pair from percent-of-range Bollinger maps
- 2015CAD/USD and crude: first the correlation, then the band gap
- 2017Correlation regime versus moving-average crossover for S&P 500 exposure
- 2017Updating intermarket systems after correlation shifts
- 2017Constructing a correlation-divergence regime filter for yen and Nikkei context
- 2018Clustered negative troughs in an energy-index pairwise correlation
- 2018Filter pairwise-correlation before reading an intermarket regime
- 2018Moving-average supports in the March 2018 correlation shock
- 2020Bond spreads as an equity regime lens
- 2020Crash-protection folklore as a correlation regime question
- 2020Constructing a bounded correlation-trend-filter
- 2020Constructing a correlation-to-line trend filter
- 2020Bitcoin correlation regimes across equities and gold