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Mike Dolan: The ROI-Transatlantic Rate Convergence may be a mirage

The interest rate differentials are telling a story right now, and it is a complex one. Transatlantic policy rate gaps are closing quickly, but if you look farther out, a different picture emerges.

The euro/dollar rate is the pivotal currency pair in the world. It accounts for over $2 trillion of daily currency market turnover, and more than one fifth of all global flows. The U.S. premium on short rates over the euro zone may well disappear by the end of this year.

This is likely to be a powerful headwind for the dollar. It may struggle to maintain the renewed safety flows that it has enjoyed in the last two months.

The Federal Reserve and European Central Bank will likely hold their rates at the same level when they meet in this week. The Iran war, and the oil shock that accompanied it, have distorted inflation expectations and rate horizons both on the US and European sides.

Fed policy rates are consistently higher than ECB counterparts, despite the pandemic when all major central bank cut their rates to near zero. This is largely due to superior U.S. equity market and growth performance.

The ECB returned inflation quickly to its target after the pandemic and Ukraine. Since June last year, the ECB has been in a "happy place" with a 2% deposit rate and a real short-term rate of about zero.

The Fed has continued to ease late last year, but since then it's been on hold. Inflation is still above the 2% target. This was first caused by tariffs, and now fuel prices have been a major factor in recent weeks.

The Gulf conflict, and the subsequent oil market hiatus, has frozen both banks. The regional energy impact, and the inflation?and policy fallout--are very different.

Money markets have priced at least two ECB interest rate increases this year. Many bets are hovering around 2.6% by the end of the year - which is coincidentally what March's euro zone inflation rate was. As the war and oil shock unfolded last month, that pricing reached 2.80%. Some forecasters expect a more aggressive ECB reaction than markets currently price.

HAWKISH TILTS

Citadel strategist Frank Flight cites the rise in consumer inflation expectations for the euro zone over the next year to 4% as proof that a hawkish shock is coming.

He said that Hawks would "absolutely" push for an April rate increase based on the print. They have a good reason to do so. "I wouldn’t rule out an additional 50 basis points in June, if the rates remain unchanged this week. If the conflict continues."

This week, the Fed's meeting will be the last one for Jerome Powell, who is the Fed's chair until May 15.

The futures markets sees that there is less than 20% chance for another reduction in the Fed's mid-rate of 3.625%, at least over the next year.

By the end of the year, the rate will be significantly lower - as the oil price shock subsides and President Donald Trump's new appointee Kevin Warsh takes over the chairmanship. Powell is also nearing the end?of his term on the board.

It is possible that the policy rate will eventually converge to 3%.

The two-year differentials in the yields of transatlantic government bonds tell part this story. They reached their tightest level in nearly five years at the beginning of this month.

For the first time since four years, the actual two-year gap in rates fell below 50 basis points.

When you look at 10-year maturity, the picture is a little different. The gap between nominal and real yields remains large. In fact, it's even wider when comparing inflation-adjusted yields.

Since the start of the Iran War, there has been a rise in the 10-year real rate gap between Treasuries (US Treasury bonds) and eurozone debt.

This is reflected in the euro zone's numbers this week, which show a sharply increased inflation expectation combined with tightening of bank credit. This reinforces stagflationary effects and leads to a slower rate of growth and higher rates of inflation in the long-term.

On the other hand, the U.S. is expected to grow faster over a longer period of time, thanks in part to the booms in artificial intelligence and tech.

This helps to explain why Wall Street stocks led by tech surged despite the energy crisis related to Iran. Goldman Sachs analysts note that profits anticipated more than 10 years in the future, often referred to as terminal value, now account for about 75% the S&P 500 equity value. This is near a record high.

The more things change in the North Atlantic, the more they seem to remain the same.

The opinions expressed are those of Mike Dolan a columnist at. This column is great! Open Interest (ROI) is your new essential source of global financial commentary. Follow ROI on LinkedIn and X. Listen to the Morning Bid podcast daily on Apple, Spotify or the app. Subscribe to the Morning Bid podcast and hear journalists discussing the latest news in finance and markets seven days a weeks.

(source: Reuters)