HALISTER1: Relationship Between NFP and Yields ‘Non-existent’:Nomura

Relationship Between NFP and Yields ‘Non-existent’:Nomura

(Bloomberg) -- AHE surprises “have been more impactful on market repricing of Fed hikes/front-end” than payroll surprises post-election as focus “has shifted to quality of jobs and wage-growth,” Nomura strategist George Goncalves says in June 30 note.
  • NFP surprises vs yield moves beta fell to -2.9bp per 100k, R2 to 0.19 in recent months, “essentially non-existent” relationship
  • Markets “more reactive” to inflationary surprises than employment surprises, “increasingly focusing on wage growth” given soft inflation readings, solid jobs creation
  • Longer-end duration “reacts more favorably” to AHE miss
  • 10-year UST had “much higher likelihood of being well bid if AHE continued to surprise on downside” from 2010-13
To contact the reporter on this story: Anna Windemuth in New York at awindemuth1@bloomberg.net To contact the editors responsible for this story: Boris Korby at bkorby1@bloomberg.net Jenny Paris

Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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George Goncalves (Nomura Holdings Inc)

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