mercoledì 7 dicembre 2011

Quanto varrebbe la lira oggi?

Gli analisti di Nomura si divertono a stimare i valori relativi che potrebbero avere le valute europee dell'eurozona in caso di fine dell'euro. Beh, com'era ovvio la lira varebbe considerevolmente meno del marco tedesco, del fiorino olandese o anche del franco francese. Si difende invece nel confronto con il franco belga, e con la sterlina irlandese. Sorprende invece quanto più forte sarebbe della peseta (per non parlare dell'escudo o della dracma...). Spannometricamente sono convinto, da italiano che va regolarmente negli USA sottoscrivo che il cambio più corretto sarebbe alla pari. L'analista autore dello studio (Jens Nordvig) spiega così la metodologia seguita:

Since the uncertainties in the valuation exercise are large, we want to focus on a relatively simple and transparent framework. And we want to stress up-front that these estimates are unlikely to be particularly precise. They are intended to give a sense of potential magnitudes involved over a 5-year forward time frame, after which we believe temporary transition effects should be smaller. Our framework for valuing potential new national eurozone countries concentrates on two main medium-term effects:

1. Current real exchange rate misalignments: The eurozone currency union has, by definition, disabled the normal FX adjustments, which would happen under a flexible exchange rate regime. Moreover, given rigidities in nominal prices, especially in terms of downward adjustments of wages, real exchange rates are now potentially significantly misaligned from their „equilibrium? levels in some countries. The first component in our valuation framework is an estimate of the current real exchange rate misalignment.

2. Future inflation risk: A break-up of the eurozone would mean that individual eurozone countries would return to independent monetary policies. The national central banks would have differing inflation fighting credibility and face varying degrees of pressure to provide liquidity for banks and public institutions. Those differences would leave potential for significant divergence in inflation trends. The second component in our valuation framework is the projected future inflation risk.

A eurozone break-up will create additional short-term risks and require new risk premia for investors. These extraordinary risk premia will vary by country depending on factors such as market volatility, liquidity conditions, as well as issues relating to capital controls, including possible taxes on capital flows. Since our analysis is focussed on equilibrium considerations over a 5-year period, we will not focus directly on these more temporary effects, although we recognize that they could be crucial in the short-term. (...)

We focus on four parameters which measure future inflation risk:

1. Sovereign default risk: Financial stability and conduct of sound monetary policy is closely linked to fiscal stability. From this perspective, sovereign default risk will be a key parameter influencing future inflation risk. This is especially the case since sovereign default is likely to trigger a domestic banking crisis, in which case central bank action may be partially dictated by the liquidity needs of banks. We look at the implied default probability in 5yr CDS to quantify sovereign default risk per country.

2. Inflation pass through: The degree to which the inflation process is vulnerable to shocks depends on open-ness, indexation, unionization, terms-of-trade volatility and other factors. The exchange rate pass-through is a summary measure, which captures a number of these effects. Past inflation volatility is another proxy for susceptibility to shocks, such as energy price shocks. We use estimates from academic studies of the exchange rate pass-through coefficient per country and we combine this with the observed volatility of CPI inflation in the past at the country level.

3. Capital flow vulnerability: Large current account deficits combined with a weak structure of capital flows can combine to leave a vulnerable capital flow picture. A vulnerable balance of payment situation may imply higher risk of capital flight, with implications for money demand and inflation dynamics. We look at the basic balance, defined as the current account balance plus net foreign direct investment flows, as a simple metric of capital flow vulnerability by country

4. Past inflation track record. Inflation expectations can have long memory, and past experience may matter when new monetary policy frameworks are put in operation. The inflation track-record before Euro entry may therefore be important. We look at inflation performance in the pre-Euro period (1980s and 1990s) by country.

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