Aggiornamento al 30 ottobre 2009

Oggi, domani e martedì sono impegnato con un workshop su "Probability, Uncertainty and Rationality": spero di riuscire a scrivere un po' di commento tra una conferenza e l'altra, nel frattempo ecco l'aggiornamento al 30 ottobre

Aggiornamento al 23 ottobre 2009

La settimana inizia con nuovi massimi degli indici azionari ma anche con un invito alla riflessione di Paul Krugman che dalle pagine del New York Times ci ricorda come le banche siano ancora in grave affanno e come ci sia ancora la necessità di nuove regole che impediscano il ripetersi di una crisi come quella del 2008: Beyond that, we desperately need to pass effective financial reform. For if we don’t, bankers will soon be taking even bigger risks than they did in the run-up to this crisis. After all, the lesson from the last few months has been very clear: When bankers gamble with other people’s money, it’s heads they win, tails the rest of us lose.
Anche l'Economist parla di Moral outrage

Qualche giorno dopo il NYTimes ci informa della volontà dell'amministrazione Obama di
tagliare gli stipendi dei top executives di quelle società che hanno sono state salvate da un probabile fallimento grazie ad iniezioni di denaro pubblico:

The plan, for the 25 top earners at seven companies that received exceptional help, will on average cut total compensation this year by about 50 percent. The companies are Citigroup, Bank of America, American International Group, General Motors, Chrysler and the financing arms of the two automakers.

Some executives, like the top traders at A.I.G., will face tight limits on their pay. In addition, the top-paid employees at all the affected companies will face new limits on their perks.

The plan will also change the form of the pay to align the personal interests of the executives with the longer-term financial health of the companies. For instance, the cash portion of the executives’ salaries will be slashed on average by 90 percent, and the rest will be replaced by stock that cannot be sold for years.

Continua quindi il dibattito sul moral hazard e su come evitare che le prossime crisi finanziarie mettano a rischio tutto il sistema come è invece successo un anno fa. La proposta dell'84enne ex-governatore della Fed Paul A. Volker è semplicemente di reintrodurre (con qualche aggiustamento per renderlo coerente con i nostri tempi) il Glass-Steagall act, revocato nel 1999, che separa banche commerciali da banche di investimento. Volker wants the nation’s banks to be prohibited from owning and trading risky securities, the very practice that got the biggest ones into deep trouble in 2008. And the administration is saying no, it will not separate commercial banking from investment operations. ... Mr. Volcker argues that splitting commercial and investment banking would put a damper on both pay and risky trading practices.

Il giorno dopo l'annuncio dell'amministrazione Obama è il momento della Fed: The Federal Reserve announced Thursday that it would crack down on pay packages that encouraged bankers to take excessive risks, but officials acknowledged that the plan might not reduce the biggest paychecks on Wall Street.

While unlikely by itself to end the practice of lavish compensation, the Fed’s plan is one of the most far-reaching responses yet to last year’s financial crisis. It will subject executives, traders, deal makers and other employees of the biggest banks to regulatory scrutiny of their compensation and represent another increase in government intervention in the marketplace.

The announcement was choreographed to coincide with the decision by the Obama administration this week to cut the pay of many high earners at the seven companies that received the most taxpayer help. Both decisions were announced amid growing public outrage over large pay packages at many of those companies.

(...)

Instead of pay limits, the Fed rules are intended to discourage pay packages that may encourage risky practices. The government wants to encourage pay packages that reward executives for long-term performance.

Officials acknowledged that it could be months before they would be able to tell whether the Fed’s changes would have the intended effect. Bank examiners will have to be trained on the ties between compensation and risk management. Moreover, compensation consultants have been adept at finding ways to get around pay restrictions.

The officials emphasized that the plan was not intended to make pay packages more socially equitable but was part of a broader effort by the Fed to shore up the stability of the banking system. That effort has included tighter supervision of lending and trading practices and higher requirements for capital held as a cushion against losses.

La settimana si chiude in negativo per le borse e per il dollaro: Buttonwood si dedica allo studio del paradosso di una corsa tris con le azioni vincenti e oro e obbligazioni piazzate:

GAMBLERS dream of achieving a trifecta: picking the first three horses, in the right order, in a given race. The payout is huge but so are the odds against success.

The same could be said, in financial markets, of a strategy that backed equities, gold and government bonds. The three asset classes do not tend to perform well at the same time. Both gold and equities can be classed as inflation hedges but government bonds are hard hit by higher consumer prices. Both gold and government bonds could be bracketed as havens for risk-averse investors but equities are definitely classed as risky assets.

The bet has paid off this year, however. According to Dhaval Joshi of RAB Capital, a fund-management firm, the three asset classes have all produced double-digit returns over the past three months. That has occurred only twice before in the past 50 years.

Se avete dollari in portafoglio e non sapete cosa fare potete consolarvi, oppure confondervi ulteriormente le idee, leggendo le analisi dell'Economist sulla valuta qui e sul debito pubblico americano qui. Se soffrite di insonnia e la notte vi annoiate potete interrogarvi sulla sostenibilità del debito pubblico del Giappone, leggere l'editoriale di Paul Krugman sull'insostenibilità della politica cinese di sottovalutazione dello yuan oppure potete leggere questo editoriale del New York Times nel quale ci si interroga sull'attendibilità dei bilanci della Fed e dedicare qualche riflessione sul significato del denaro: le voci Money e Monetary policy possono essere una lettura stimolante.

Ecco l'aggiornamento al 23 ottobre scorso:

Una ripresa trainata dall'high tech? Aggiornamento al 16 ottobre 2009

Le trimestrali di Intel, IBM e Google hanno battuto le aspettative degli analisti e il New York Times si interroga se la ripresa potrà essere duratura e trainata da un'ondata di innovazione tecnologica con relativo aumento della produttività. Secondo John T. Chambers, il CEO di Cisco le cose dovrebbero andare proprio così: he was even more bullish recently, predicting a substantial increase in productivity at American companies driven by investments in Internet software and hardware. “I think we are entering a period very similar to 1997 to 2004, where you’ll see a decade run of productivity increases,” he said in an interview.


Nel frattempo mercoledì scorso l'indice Dow Jones ha nuovamente superato quota 10000, un valore che aveva superato per la prima volta nel marzo del 2009.
Tutti a Wall Street hanno celebrato anche se l'economia USA rimane in grande affanno e l'indice ha poi chiuso la settimana di poco sotto quota 10000, fermandosi a 9995.91. In una intervista alla BBC Nouriel Roubini has warned we are already "planting the seeds of the next crisis". Secondo Roubini il rally dei mercati azionari (definiti bubbly and frothy) li sta allontanando da un'economia reale nella quale i consumatori sono asfittici e appesantiti dai debiti. La crisi non è finita: "I see an economy where the consumers are shopped out, debt burdened, they have to cut back consumption and save more.
"The financial system is damaged... and for the corporate sector I don't see a lot of capital spending because there is a glut of capacity."

Nel frattempo il dollaro si indebolisce sempre di più: per un'analisi informata e autorevolissima (!) delle prospettive del dollaro consiglio di dare ascolto a Fabius Maximus .

Buttonwood invece si interroga sul futuro del debito pubblico: ...the sheer scale of government deficits that seems to have triggered the change. Both Britain and America have shortfalls of more than 10% of GDP, a level seen only during world wars. Beyond saying that such a deficit is unsustainable, however, it is not obvious when a crisis point will be reached. How about a total government-debt level of 100% of GDP? Measured by gross financial liabilities (excluding the assets that governments might own) that level has already been surpassed by five OECD countries—Belgium, Greece, Iceland, Italy and Japan. Iceland aside, economic life in those countries seems to carry on.

There are three main fears about excessive government deficits. First, that the need to divert savings into buying public-sector debt will “crowd out” private-sector investment. Second, that servicing the debt will be a burden on future generations. And third, that governments will therefore be tempted into inflation or devaluation as a way of softening the blow.

(...)

Eventually, of course, the high levels of British and American public debt will create problems with both countries’ creditors. But it is very hard to say when.

(...) in the medium term the British and American public sectors will still have big deficits to finance and may not want to depend on the kindness of sovereign-wealth managers. The temptation will be to lean on the banks. (...)

Like two drunks leaning against each other to stay upright, this leads to an odd symbiotic relationship in which governments have stepped in to rescue the banks, only for the banks in turn to finance the government. In the long run the danger is that this cosy relationship means lending is diverted away from productive private-sector projects and into government spending. Economic growth will be slower as a result.

Ecco l'aggiornamento al 16 ottobre.

La Cina, l'oro, il dollaro e le banche che falliscono. Aggiornamento al 9 ottobre 2009

L'Economist si interroga se la prossima bolla scoppierà in Cina: il rapporto P/E delle azioni cinesi si aggira intorno a 24, al di sotto della media storica e un valore relativamente sostenibile visto il tasso di crescita degli utili.

But even if immediate worries about a bubble are overdone, there are medium-term risks. Ample liquidity, low inflation and strong growth are the perfect ingredients for sustained asset-price inflation. And China lacks one essential anti-bubble instrument: the ability to raise interest rates.

To support its exporters China has kept the yuan stable against the dollar over the past year, in effect tying China’s monetary conditions to America’s. So far that has mattered little. Domestic deflation means China’s real interest rates are the highest of any big economy. But this monetary coupling will become increasingly dangerous. America’s weak economy means its monetary conditions are likely to stay ultra-loose for far longer than makes sense for China. Left in place too long, the currency alignment could swell an asset bubble.

Just as the rebalancing of China’s economy calls for a stronger yuan, so the ability to avert bubbles requires a more flexible one. The transition will not be easy. The spectre of a stronger yuan will, temporarily at least, worsen China’s asset-price bubbliness, as foreign capital floods into the country in anticipation of a stronger currency. But this argues for acting quickly and carefully, rather than doing nothing. The longer China shadows the dollar, the bigger the distortions and the risks from any currency adjustment. Without an independent monetary policy China will eventually become a bubble economy. To avoid that fate, Beijing must let go of the yuan

Mentre potrebbe avvicinarsi l'ora dello yuan, il dollaro continua a indebolirsi (anche perchè circolano voci sulla fuga degli sceicchi dal dollaro) e l'oro supera i massimi storici.

Così il 2009 si avvia ad essere un anno da record in molti sensi, alcuni dei quali però gettano un'ombra sul futuro prossimo dell'economia USA: sono ormai 98 le banche fallite nel 2009 tante quante non se ne vedevano dalla saving and loans crisis degli anni Ottanta. Nel complesso l'agenzia federale che assicura i conti bancari americani ha perso 26.6 miliardi di dollari. Scrive il New York Times di oggi che

The pace of bank failures is expected to accelerate in the coming months. There were just 25 bank failures in 2008 and just 10 in the five previous years. But in September alone, regulators took over 11 banks in nine states that were saddled with soured commercial real estate loans, from Corus Bank, a $7 billion construction lender based in Chicago that financed projects across the country, to Brickwell Community Bank in Woodbury, Minn., which had just a single branch and $72.6 million in assets.

E purtroppo anche le previsioni per l'Europa non sono rosee...

Ecco l'aggiornamento al 9 ottobre

Aggiornamento al 2 ottobre 2009

L'Economist si interroga sul futuro della economia mondiale, e come molti altri

non trova troppe ragioni per essere ottimisti. Le borse tirano un po' il fiato, specialmente dopo

i pessimi dati sull'occupazione USA che sembrano dare ragione a chi come John Mauldin da tempo sostiene che i mercati si sono presi una vacanza dalla realtà: questa settimana nella sua newsletter scomoda la teoria dei sistemi complessi per prospettare scenari semi-apocalittici, ma onestamente devo dire che il grafico del debito USA qualche preoccupazione la risveglierebbe in chiunque:

Krugman però insiste che la disoccupazione e non i deficit sono un problema e

chiede a gran voce un nuovo stimolo.

Ecco l'aggiornamento al 2 ottobre 2009: