domenica 29 novembre 2009

Dubai, Grecia, Italia....come dormire male la notte. Aggiornamento al 27 novembre 2009

Un caro saluto ai miei 25 lettori (magari!) dalla lontana Seul! Questa settimana Dubai ha annunciato di non riuscire a pagare i debiti, proprio mentre gli americani festeggiavano il giorno del ringraziamento e sterminavano tacchini. A proposito: conoscete immagino la metafora di Bertrand Russell per spiegare le trappole dell'induzione, nelle quali tanto spesso si cade quando si modellizzano i mercati finanziari:
Domestic animals expect food when they see the person who feeds  them. We know that all these rather crude expectations of  uniformity are liable to be misleading. The man who has fed the
chicken every day throughout its life at last wrings its neck  instead, showing that more refined views as to the uniformity of  nature would have been useful to the chicken.

Taleb riprende l'idea in un interessante saggio sui rischi dell'induzione statistica:

e poi impietosamente confronta il destino del tacchino fino al giorno di Thanksgiving con i profitti di IndyMac fino al suo fallimento
Polemico e a volte nemmeno troppo simpatico ma certamente non è privo di argomenti il signor Taleb. 

Comunque a proposito di rischi e di scommesse l'Economist di giovedì pubblica un interessante grafichetto sul mercato dei Credit Default Swaps dal quale è facile farsi un'idea della probabilità di default stimata per i diversi paesi: se si tiene conto delle dimensioni del debito e del GDP la situazione della Grecia è persino peggiore di quella dell'Italia, anche se non possiamo andare in giro a vantarcene...

Bene, dopo queste cattive notizie, ecco l'aggiornamento al 27 novembre scorso:

sabato 21 novembre 2009

lunedì 16 novembre 2009

domenica 8 novembre 2009

L'occupazione crolla negli USA... Aggiornamento al 6 novembre 2009

Mentre una settimana fa si celebrava il ritorno della crescita economica negli USA, il dato molto negativo sull'occupazione di venerdì scorso ha portato anche i più ottimisti a riflettere un po' sulle prospettive future dell'economia americana. Il tasso di disoccupazione è al 10.2%, il più alto dal 1982, ma quando si tiene conto di chi è sottoccupato per via della congiuntura si sale al 17.5%! Scrive a proposito il New York Times:

In all, more than one out of every six workers — 17.5 percent — were unemployed or underemployed in October. The previous recorded high was 17.1 percent, in December 1982.

This includes the officially unemployed, who have looked for work in the last four weeks. It also includes discouraged workers, who have looked in the past year, as well as millions of part-time workers who want to be working full time.

La descrizione del mercato del lavoro USA mostra come assomigli sempre di più a quello Europeo: chi sta pagando la recessione è soprattutto chi è in cerca di un lavoro per la prima volta, piuttosto che chi è già occupato:

The main reason that the unemployment rate has soared is the hiring rate has plummeted.

So fewer workers than might be expected have lost their jobs. But those without work are paying a steep price, because finding a new job is extremely difficult.

Second, wages have continued to rise for most people who still have jobs. The average hourly wage for rank-and-file workers, who make up about four-fifths of the work force, actually accelerated in October, according to the new report.

Even though some companies have cut the pay of workers, the average hourly wage has still risen 1.5 to 2.5 percent over the last year, depending on which government survey is examined. Average weekly pay has risen less — zero to 1 percent — because hours have been cut. But average prices have fallen. Altogether, the typical worker has received a 1 to 2 percent inflation-adjusted raise over the last year.

In the other two severe recessions in recent decades, workers with jobs fared considerably worse. At the same point in the mid-1970s downturn, real weekly pay had fallen 7 percent; in the early 1980s recession, it had fallen 4 percent.

It is a strange combination: workers who still have a job are doing better than in other deep recessions, but the unemployment and underemployment have risen to their highest level since the Depression.

Non c'è molto da stare allegri evidentemente. La Fed ne è ben consapevole e ha ancora una volta annunciato pubblicamente l'intenzione di mantenere i tassi exceptionally low for an extended period. C'è da pensare che il carry trade sul dollaro e il toro nei mercati azionari possano continuare ancora per un po', anche se Buttonwood invita ad essere prudenti:

The future path of quantitative easing (QE) runs into similar dilemmas. This policy allows central banks to inject money into the system by purchasing assets from the private sector. Much of the money created has been used to buy government bonds. (...) QE will not last forever. If it is abandoned before government deficits are tamed, bond yields could soar. Furthermore, central banks will presumably want to sell their bond holdings at some point, or at least not roll them over when they mature. All this debt will end up back on the market and investors should set yields accordingly.

So perhaps bond yields are being held down not by QE, but by the expectation that interest rates will be held near zero for the foreseeable future. In effect, the authorities have bribed investors to buy assets. But rates will only be held at current low levels if the economy remains weak. As Paul McCulley of Pimco, a giant bond manager, points out, the bulls who argue for a V-shaped recovery need to be careful what they wish for. The result would be a rise in interest rates that would sabotage the chief motor of this year’s rally.

Ecco l'aggiornamento al 6 novembre 2009.

mercoledì 4 novembre 2009

La lenta agonia delle banche, e di tutti noi con loro

Il fallimento di CIT ha suscitato poche reazioni nella stampa: il New York Times riassume brevemente come si è arrivati a questa decisione:

The CIT Group is a commercial lender that ran in trouble during the financial downturn of 2008. The century-old lender received a $2.33 billion taxpayer-financed bailout in December 2008.

As the lender sought desperately to avoid bankruptcy in July 2009, it argued that being forced into Chapter 11 protection would spell disaster for its customers: a wide swath of the nation's small and midsize businesses who rely on the company for financing.

On Nov. 1, CIT entered what it called a different kind of bankruptcy, one that will let it reemerge from court protection by the end of 2009 under the ownership of its creditors, who widely supported the reorganization plan. The filing marks the culmination of months of bargaining among CIT, its creditors and the federal government over the company's fate. Bank regulators concluded over the summer that even though CIT was vital to many small businesses that needed financing, the company's problems did not pose the type of systemic risk that led to the aggressive rescues of Citigroup and Bank of America.

Even so, the bankruptcy filing means taxpayers will lose the $2.3 billion investment they made in CIT as part of the government's sweeping financial rescue in 2008, marking the first such loss of the bailout program.

CIT's filing will test whether a financial company can survive the Chapter 11 process. Bankruptcy has long been considered a death knell for lenders, whose very existence depends on the confidence of its creditors and customers. It also means the end of CIT's efforts to transcend its roots as a sleepy financier of retailers, restaurants and manufacturers. The company had branched out into student lending and investment advisory services.

With $71 billion in assets and nearly $65 billion in liabilities, CIT's bankruptcy ranks among the largest in corporate history, though it is dwarfed by the bankruptcies of Lehman Brothers and Washington Mutual.

Quale sarà il destino delle banche?
Negli USA nel 2009 i fallimenti hanno già raggiunto quota 100 il peggior dato dal 1992. Scrive l'Economist

More banks have failed in other years. The post-war record was set in 1989 when 534 banks went under. That was at the peak of the savings-and-loan (S&L) crisis, which erupted in the late 1980s and continued in the early 1990s. This year has seen more failures than any since 1992, but another 75 banks must go under to overhaul that year’s total.

Counting absolute numbers of failures, however, is not the best way to assess the extent of a financial crisis. The number of banks and thrifts has fallen dramatically since the S&L era, from some 16,000 lenders then to around 8,000 now. According to CreditSights, a research firm, when the current cycle is over, the rate of bank failures may be double what it was during the S&L crisis.

The total of failures also disguises the size of individual collapses. The demise of Washington Mutual, the biggest bank to fail in America so far in this crisis, means that banks accounting for more than 3% of the system’s total assets have fallen during the current cycle already, compared with 4.4% of assets over the entire S&L episode.

Alcuni analisti sostengono che per le grandi banche sia diventato semplicemente impossibile fare profitti senza ricorrere massicciamente al trading:
There have been no obituaries. No eulogies. No burial services. But this quarter marks the death of traditional banking at the big money-center banks.
In un editoriale il New York Times mette in guardia sulle conseguenze che questi comportamenti hanno sull'economia complessiva:

The banks that do have the financial wherewithal — like Goldman Sachs and JPMorgan Chase, which made combined profits of nearly $7 billion in the third quarter — are not making their money through lending. They are making it from trading complex financial products that few people understand.

Meanwhile, sectors of the economy are being starved of credit. Consumer credit by commercial banks stood at $834 billion in August — about $45 billion less than at the end of last year. Business financing is doing no better. Banks’ outstanding commercial and industrial loans fell to $1.411 trillion in September, $170 billion less than a year earlier. Commercial paper issued by nonfinancial businesses has plummeted 40 percent over the last year.

This will not do. It is nigh impossible for economic recovery to take hold when credit is sputtering as it is. For the Obama administration’s financial strategy to be a success, the banks must do more than survive. They must lend again.

Paul Krugman chiede più stimoli per l'economia, soprattutto per combattere la disoccupazione e per ridare fiducia ai consumatori americani. L'efficacità dello stimolo e la sostenibilità del debito pubblico (e privato) americani sono sempre più oggetto di dibattito ed alimentano l'incertezza. Proprio all'incertezza e ai tentativi da parte delle banche centrali di sterilizzarne gli effetti è dedicata la colonna di Buttonwood in un commento che ho trovato ancora più ispirato del solito.
Eccone un estratto:

So you could see low rates as the “price” of uncertainty. The authorities have been forced to push interest rates close to zero in order to give investors a one-way bet. Any asset offers a higher yield than cash. Equity and corporate-bond markets have duly responded, rallying strongly this year.

But it is all rather reminiscent of Ethelred the Unready, an 11th-century king of England who paid Danegeld to buy off Viking invaders. The result was that the Danes demanded ever-bigger payments.

The price of these bribes is being paid by the cautious, such as elderly people who do not want to trust their modest nest-eggs to the vicissitudes of the stockmarket. Their income has been slashed. (...)

But penalising the prudent and rewarding speculators can, at best, only be part of the process. The real “animal spirit” that needs lifting is the willingness of banks to lend to businesses (and of the latter to borrow). So far, that process has been a failure. Figures from the European Central Bank this week showed that lending to the private sector declined by 0.3% year on year in September, the first drop since records began. In America the annualised rate of broad-money growth over the past six months has been just 0.2%. (...)

At the heart of this failure may be two other kinds of uncertainty about the future direction of government policy. Instead of lending more, banks would rather boost their capital ratios to hasten the day when governments get off their backs. Companies may not want to borrow to invest, for fear that stimulus programmes will be followed by tax rises as governments strive to tackle their deficits.

Indeed, the final uncertainty is whether all this fiscal and monetary stimulus will work. It may do so in economists’ models, but the main practical example (Japan over the past two decades) is not encouraging. Perhaps uncertainty follows the “waterbed principle”: try to flatten it in one place and it simply pops up somewhere else.