mercoledì 30 giugno 2010

Dov'è la crescita? La disoccupazione dilagante, Hayek vs. Keyens e il bell'esempio dell'Irlanda che aggiunge un buco alla cintura dopo un altro. Nella sfera di cristallo cosa si vede? La recessione del 2011.

Leggendo un articolo sul Wall Street Journal che illustra le conclusioni del G-20 ho trovato questa figura abbastanza significativa:
che ne pensate? In che mercati vi viene in mente di investire?

Una piccola osservazione: forse vi sarete accorti che non sono un fanatico sostenitore della stampa italiana e che tendo a segurila molto distrattamente. Nonostante ciò mi fanno arrabbiare gli sproloqui da qualunque parte vengano, e al riguardo di quanto fruttuoso sia stato l'ultimo G-20 potete per esempio leggere l'opinione molto negativa di Forbes .

Dal New York Times un accorato appello perchè il presidente si dia da fare per combattere la disoccupazione:

Mr. Obama had campaigned on the mantra of change, and that would have been the kind of change that working people could have gotten behind. But it never happened. Job creation was the trump card in the hand held by Mr. Obama and the Democrats, but they never played it. And now we’re paying a fearful price.
Fifteen million Americans are unemployed, according to the official count, which wildly understates the reality. Assuming no future economic setbacks and job creation at a rate of 200,000 or so a month, it would take more than a decade to get us back to where we were when the Great Recession began in December 2007. But we’re nowhere near that kind of sustained job growth. Last month, a measly 41,000 private-sector jobs were created.
We are in deep, deep gumbo.(...) 
It’s not too late for the president to turn things around, but there is no indication that he has any plan or strategy for doing it. And the political environment right now, with confidence in the administration waning and budgetary fears unnecessarily heightened by the deficit hawks, is not good.
It would take an extraordinary exercise in leadership to rally the country behind a full-bore jobs-creation campaign — nothing short of large-scale nation-building on the home front. Maybe that’s impossible in the current environment. But that’s what the country needs.

Di tutt'altro tono il commento di un paio di giorni sull Wall Street Journal che invece sostiene che le politiche neo-Keynesiane di sostegno all'economia sono state un clamoroso fallimento:

The larger lesson here is about policy. The original sin—and it was nearly global—was to revive the Keynesian economic model that had last cracked up in the 1970s, while forgetting the lessons of the long prosperity from 1982 through 2007. The Reagan and Clinton-Gingrich booms were fostered by a policy environment for most of that era of lower taxes, spending restraint and sound money. The spending restraint began to end in the late 1990s, sound money vanished earlier this decade, and now Democrats are promising a series of enormous tax increases.
Notice that we aren't saying that spending restraint alone is a miracle economic cure. The spending cuts now in fashion in Europe are essential, but cuts by themselves won't balance annual deficits reaching 10% of GDP. That requires new revenues from faster growth, and there's a danger that the tax increases now sweeping Europe will dampen growth further.
President Obama's tragic mistake was to blow out the U.S. federal balance sheet on spending that has produced little bang for the buck. The fantastical Keynesian notion (the "multiplier") that $1 of spending produces $1.50 in growth was long ago demolished by Harvard's Robert Barro, among others. That $1 in spending has to come from somewhere, which means in taxes or borrowing from productive parts of the private economy. Given that so much of the U.S. stimulus went for transfer payments such as Medicaid and unemployment insurance, the "multiplier" has almost certainly been negative. 

Posso solo immaginare la rabbia di Krugman e De Long nel leggere quanto sopra. Ma non è finita qui:
What the world has now reached instead is a Keynesian dead end. We are told to let Congress continue to spend and borrow until the precise moment when Mr. Summers and Mark Zandi and the other architects of our current policy say it is time to raise taxes to reduce the huge deficits and debt that their spending has produced. Meanwhile, individuals and businesses are supposed to be unaffected by the prospect of future tax increases, higher interest rates, and more government control over nearly every area of the economy. Even the CEOs of the Business Roundtable now see the damage this is doing. A better economic policy will have to await a new Congress, which we hope at a minimum can prevent punishing tax increases. But for now the good news is that voters and markets are telling politicians to stop doing what hasn't worked.

Sempre il Wall Street Journal, dopo aver seppellito Keynes, dedica un articolo al ritorno in voga di Friedrich Hayek.
Leggetelo e distraetevi con Fear the Boom and Bust, il video rap che mette i due maestri a confronto:

Ancora sul NYTimes potete informarvi sulle delizie che forse ci aspettano guardando a quanto è successo in Irlanda...sicuramente basterà l'incipit dell'articolo per solleticare i vostri sogni: As Europe’s major economies focus on belt-tightening, they are following the path of Ireland. But the once thriving nation is struggling, with no sign of a rapid turnaround in sight. 
E' probabile che l'Irlanda ripagherà i suoi debiti ma nel frattempo...

Rather than being rewarded for its actions, though, Ireland is being penalized. Its downturn has certainly been sharper than if the government had spent more to keep people working. Lacking stimulus money, the Irish economy shrank 7.1 percent last year and remains in recession.
Joblessness in this country of 4.5 million is above 13 percent, and the ranks of the long-term unemployed — those out of work for a year or more — have more than doubled, to 5.3 percent.
Now, the Irish are being warned of more pain to come.
“The facts are that there is no easy way to cut deficits,” Prime Minister Brian Cowen said in an interview. “Those who claim there’s an easier way or a soft option — that’s not the real world.”
Despite its strenuous efforts, Ireland has been thrust into the same ignominious category as Portugal, Italy, Greece and Spain. It now pays a hefty three percentage points more than Germany on its benchmark bonds, in part because investors fear that the austerity program, by retarding growth and so far failing to reduce borrowing, will make it harder for Dublin to pay its bills rather than easier.
Other European nations, including Britain and Germany, are following Ireland’s lead, arguing that the only way to restore growth is to convince investors and their own people that government borrowing will shrink.
The Group of 20 leaders set that in writing this weekend, vowing to make deficit reduction the top priority despite warnings from President Obama that too much austerity could choke a global recovery and warnings from a few economists about the possibility of a much sharper 1930s style downturn. 

In ogni caso non abbondano solo le voci a favore del rigore fiscale. Da Basilea giungono anche appelli perchè le banche centrali alzino i tassi di interesse! Secondo il Wall Stret Journal 
The Bank for International Settlements delivered a stern message to central banks and governments that keeping interest rates low for too long, or failing to act quickly to cut budget deficits, could sow the seeds for the next crisis.
"The time has come to ask when and how these powerful measures can be phased out," the BIS said in its annual report, referring to large fiscal and monetary stimulus measures initiated to lift economies out of recession.
The warning amounts to a direct challenge to the European Central Bank and U.S. Federal Reserve, the world's dominant central banks, both of which have held their main lending rates at record lows for more that a year. Neither central bank is expected to begin raising rates until well into 2011 due to continued pressures in the financial system.
The BIS applauded central banks for cutting rates in response to the financial crisis, but cautioned that waiting too long to return to normal monetary policy could impose further damage on the global economy.
"Keeping interest rates very low comes at a cost—a cost that is growing with time," the BIS said. "Experience teaches us that prolonged periods of unusually low rates cloud assessments of financial risks, induce a search for yield and delay balance-sheet adjustments." BIS said.
Central banks aren't bound by the recommendations of the BIS. Yet the Basel-based organization's stature as the "central bank for central banks"—a reference to the role it plays handling transactions for central banks—gives it an important voice on matters related to monetary policy. 

Ottimo. Allora c'è da stupirsi se anche Hussman si aggiunge all'elenco dei profeti della recessione prossima ventura?

martedì 29 giugno 2010

Clifford Asness sulle strategie momento. La terza depressione è alle porte.

Clifford Asness è una personalità di spicco del mondo degli hedge funds e uno dei protagonisti di The Quants: How a Small Band of Maths Wizards Took Over Wall Street and Nearly Destroyed it,  uno dei numerosi libri sulla crisi finanziaria che ha tuttavia la particolarità di concentrarsi sul mondo degli hedge funds e dei quants (l'ho letto un mesetto fa: mi sono divertito a leggerlo, la descrizione di qualcuno dei caratteri è ben fatta, contiene degli spunti di riflessione interessanti ma non consideratelo un libro utile per approfondire le cause della crisi finanziaria). Nell'intervista qui sotto Asness discute le difficoltà che i fondi quantitativi che impiegano strategie di tipo momento hanno attraversato negli ultimi 12-24 mesi (quando il momento prima si è affossato scendendo a livelli non visti da molti anni e poi ha avuto uno spettacolare rimbalzo, trascinato tuttavia soprattutto dai titoli più ipervenduti).

Vi state preparando per la terza depressione? Se vi sfugge di cosa si tratti, beh c'è un premio Nobel per l'economia pronto a spiegarvelo: ecco cosa scrive Krugman 

Recessions are common; depressions are rare. As far as I can tell, there were only two eras in economic history that were widely described as “depressions” at the time: the years of deflation and instability that followed the Panic of 1873 and the years of mass unemployment that followed the financial crisis of 1929-31.
Neither the Long Depression of the 19th century nor the Great Depression of the 20th was an era of nonstop decline — on the contrary, both included periods when the economy grew. But these episodes of improvement were never enough to undo the damage from the initial slump, and were followed by relapses.
We are now, I fear, in the early stages of a third depression. It will probably look more like the Long Depression than the much more severe Great Depression. But the cost — to the world economy and, above all, to the millions of lives blighted by the absence of jobs — will nonetheless be immense.
And this third depression will be primarily a failure of policy. Around the world — most recently at last weekend’s deeply discouraging G-20 meeting — governments are obsessing about inflation when the real threat is deflation, preaching the need for belt-tightening when the real problem is inadequate spending.(...)
Why the wrong turn in policy? The hard-liners often invoke the troubles facing Greece and other nations around the edges of Europe to justify their actions. And it’s true that bond investors have turned on governments with intractable deficits. But there is no evidence that short-run fiscal austerity in the face of a depressed economy reassures investors. On the contrary: Greece has agreed to harsh austerity, only to find its risk spreads growing ever wider; Ireland has imposed savage cuts in public spending, only to be treated by the markets as a worse risk than Spain, which has been far more reluctant to take the hard-liners’ medicine.
It’s almost as if the financial markets understand what policy makers seemingly don’t: that while long-term fiscal responsibility is important, slashing spending in the midst of a depression, which deepens that depression and paves the way for deflation, is actually self-defeating.
So I don’t think this is really about Greece, or indeed about any realistic appreciation of the tradeoffs between deficits and jobs. It is, instead, the victory of an orthodoxy that has little to do with rational analysis, whose main tenet is that imposing suffering on other people is how you show leadership in tough times.
And who will pay the price for this triumph of orthodoxy? The answer is, tens of millions of unemployed workers, many of whom will go jobless for years, and some of whom will never work again.

lunedì 28 giugno 2010

Come resuscitare il mercato delle IPOs negli USA?

Il commento settimanale di Jason Zweig sul Wall Street Journal è una delle mie letture preferite del weekend. Questa settimana si occupa della costante diminuzione del numero delle società quotate negli U.S.A. Alfaobeta aveva ripreso un'analisi di lavoce qualche giorno fa sullo stesso problema in ambito europeo. Ecco alcuni dati dall'articolo di Zweig:
In two-thirds of the years from 1960 through 1996, the number of initial public offerings exceeded the number of stocks that dropped out. Since then, however, there have been more deaths than births among stocks every year: 7,725 stocks have disappeared over that period, while just 4,299 new ones have arisen to replace them 
Esattamente come accade in Europa sembra che siano i costi ad allontanare le società dal mercato:
If IPOs are to resume fostering innovation and creating jobs, the IPO process itself needs to be innovated. These days, big investment banks are rarely willing to underwrite and research firms smaller than $250 million or so in total market value. William Hambrecht of W.R. Hambrecht & Co. estimates that there are 4,000 to 5,000 small but robust growth companies in Silicon Valley that would like to list their shares. "We're looking at literally dozens of companies" that want to sell 20% stakes to the public, raising $10 million to $30 million apiece, he says. But most banks can't be bothered with such piddly deals. Cost is also a deterrent.
Alcuni si spingono a proporre un mercato per le piccole IPOs, una piccola oasi ecologica per permettere alle piccole aziende di crescere, protette dagli "squali" del mondo del trading ad alta frequenza:
Mr. Hambrecht and Mr. Weild have independently proposed a stock exchange dedicated to IPOs. Market-making firms would maintain fair and orderly prices. Such an exchange would also collect and distribute independent research on its listed stocks. To discourage fast trading, Mr. Weild suggests that the stocks be priced at minimum spreads, or differences between buying and selling price, of 10 cents—rather than the one-penny spread prevailing on other exchanges.

domenica 27 giugno 2010

Ancora sul cambio yuan/dollaro. I rendimenti del primo semestre 2010. Aggiornamento al 25 giugno 2010.

La (relativa) liberalizzazione del cambio dello yuan cinese è stata discussa in numerosissimi articoli questa settimana. Se l'argomento non vi è ancora venuto a noia potete leggere:
  • il commento di Paul Krugman sul New York Times: non va tanto per il sottile il nostro Paul che conclude la sua analisi invocando sanzioni contro l'export cinese. Krugman denuncia la malafede cinese: In fact, far from representing a step in the right direction, the Chinese announcement was an exercise in bad faith — an attempt to exploit U.S. restraint. To keep the rhetorical temperature down, the Obama administration has used diplomatic language in its efforts to persuade the Chinese government to end its bad behavior. Now the Chinese have responded by seizing on the form of American language to avoid dealing with the substance of American complaints. In short, they’re playing games. Secondo Krugman la Cina ha artificialmente depresso il cambio in questi anni tanto è vero che the central bank is accumulating so many dollars, euros and other foreign assets — more than $2 trillion worth so far. Così facendo favorisce l'esportazione e protegge il mercato interno dalle importazioni, danneggiando l'economia mondiale e mettendone in pericolo la ripresa. La cosa è particolarmente grave in questo momento di debolezza della domanda: In normal times, you could argue that Chinese purchases of U.S. bonds, while distorting trade, were at least supplying us with cheap credit — and you could argue that it wasn’t China’s fault that we used that credit to inflate a vast, destructive housing bubble. But right now we’re awash in cheap credit; what’s lacking is sufficient demand for goods and services to generate the jobs we need. And China, by running an artificial trade surplus, is aggravating that problem. (...) Well, China has allowed the renminbi to rise — but barely. As of Thursday, the currency was only about half a percent higher than its typical level before the announcement. And all indications are that watching the future movement of the renminbi will be like watching paint dry: Chinese officials are still making statements denying that a rise in their currency will do anything to reduce trade imbalances, and prices in the forward market, in which traders agree to exchange currencies at various points in the future, suggest a rise of only about 2 percent in the renminbi by the end of this year. This is basically a joke. (...) what America, and the world, wants (and has the right to demand): a much stronger renminbi. Having the currency bob up or down slightly makes no difference to the fundamentals. So what comes next? China’s government is clearly trying to string the rest of us along, putting off action until something — it’s hard to say what — comes up.
    That’s not acceptable. China needs to stop giving us the runaround and deliver real change. And if it refuses, it’s time to talk about trade sanctions. 
  •  Secondo gli analisti di Forbes, collaboratori dell'Economonitor promosso da Nouriel Roubini, uno yuan più forte dovrebbe sostenere gli asset rischiosi: We expect China to allow a modest and nominal appreciation against the USD of no more than 4% on an annual basis in the next year. Yet even though we expect gradualism and caution from the PBoC, we predict global markets--and particularly risk assets and proxies for China revaluation, especially in Emerging Market Asia--will react positively to the move in the short-term. Ma non mancano le ambiguità e le preoccupazioni: The uncertainty could provide the PBoC greater discretion to manage the CNY's real effective exchange rate, albeit at the cost of some autonomy in monetary policy. The longer-term effect could well be a paradoxical eventual depreciation against the USD, which would help offset the competitiveness losses from the recent sharp fall in the EUR. After all, the euro zone is China's largest export destination. 
  •  Infine vi segnalo l'analisi dell'Economist così come l'approfondimento sulle prospettive future del cambio dollaro/yuan: The last time the central bank let the currency crawl, it clambered up by 21% against the dollar over three years. But it may not match that pace this time. China will not want the yuan to get too far ahead of other significant currencies that may be falling against the dollar. As the central bank says, China now has a “long and diversified” list of trading partners. Against a broad basket of their currencies, the yuan has already risen this year; against the euro it has strengthened by 17%. On any given day the yuan may also slip, as well as climb, against the dollar. The central bank is keen to deter “hot money” that might seep past the country’s capital controls, looking to profit from a stronger currency. Mark Williams of Capital Economics, a research firm, thinks it has already succeeded. The currency forwards market expects the yuan to appreciate by only 2.2% over the next 12 months, a slender return given the hassle of getting money in and out of China.

Due parole sulla performance dei segnali in questo primo semestre: un portafoglio equipesato concentrato nei primi 3 asset della classifica settimanale e settimanalmente ribilanciato ha  reso l'8.1% da inizio anno, con un drawdown massimo (calcolato sulle chiusure settimanali) inferiore al 5%. Restringendo la scelta ai primi due asset il rendimento cala leggermente al 6.9%. Non troppo male in un anno che finora ha visto i principali indici azionari europei andare in rosso. Ecco la tabella tratta dal Il Sole 24 Ore Plus con i rendimenti dei fondi di investimento divisi per categoria. Gli indici bilanciati hanno reso da inizio anno poco meno del 2%.

Ecco l'aggiornamento al 25 giugno 2010.

Una recessione nel 2011?

John Mauldin torna a casa dopo una vacanza a 30 km da casa mia e scrive una lettera particolarmente ispirata (anche se pessimista) centrata sul rischio che gli U.S.A. cadano nuovamente in recessione tra 6-12 mesi: ve ne raccomando la lettura. Con i tassi di interesse a breve termine inchiodati allo 0.25% la curva dei rendimenti non ha possibilità di invertirsi, rendendo inutile questo indicatore di "rischio recessione" spesso utilizzato dai practioneers. Mauldin ne illustra altri che sostengono la sua tesi, che per di più si fonda sulla costante diminuzione dei crediti concessi dalle banche (come da grafico) e sull'anticipazione delle conseguenze dell'aumento delle tasse previsto per il 2011 a causa della fine di alcune agevolazioni fiscali per i redditi medio-alti, retaggio dell'amministrazione Bush. Insieme alla recessione l'aspettativa è che gli U.S.A. possano nuovamente rischiare di scivolare in deflazione, costringendo la Fed a riprendere il quantitative easing.

Se volete tenere sotto controllo la situazione, oltre che ai dati pubblicati mensilmente in Europa e negli USA sulla produzione industriale, gli indici di fiducia degli imprenditori, l'occupazione, ecc. ecc. potete anche divertirvi a seguire l'R-word index dell'Economist che ha correttamente anticipato la recessione del 2008-2009. La cosa è stata presa sul serio anche da qualche economista, approfondendo la metodologia e fornendo una validazione (parziale) del metodo.

Non ho modo di accedere all'indice dell'Economist in tempo reale, così ho pensato di utilizzare un surrogato accessibile a chiunque. Basta guardare su Google Trends con quale frequenza viene cercata la parola recessione negli USA. E' interessante anche il confronto tra la frequenza delle ricerche di recession (in blu) e unemployment (in rosso). Trovate prima i due grafici relativi agli USA poi il confronto recession/unemployment per il Regno Unito. 

La buona notizia è che apparentemente la discesa di recession continua indisturbata anche nelle ultime settimane. La cattiva notizia è invece la persistenza delle ricerche relative a unemployment, che nel Regno Unito sembrano addirittura aumentare considerevolmente nelle ultime settimane.

Ho infine dato un'occhiata all'indice Baltic Dry, dopo lo svegliarino di Bespoke su Seekingalpha: 
sono ormai 21 i giorni  consecutivi di discesa, non proprio un segnale incoraggiante per l'economia globale. Speriamo bene, ma è bene viaggiare con le cinture di sicurezza allacciate! A buon intenditor...

sabato 26 giugno 2010

Ci sono buone ragioni per continuare a stampare banconote. Ma attenti alla crisi DDD.

Sul Financial Times di qualche giorno fa Martin Wolf
spiega perchè le banche centrali devono continuare a stampare denaro, pena il ritorno della recessione (e allora altro che great recession, potrebbero avverarsi i sogni dei più estremisti dei permabears e l'economia si ritroverebbe a fronteggiare una nuova great depression. Scrive Wolf:
Festina lente – hurry slowly – is advice we have inherited from the ancient Romans. Western policymakers should now take it to heart. Confronted with huge fiscal deficits, many have concluded that they should hurry fiscal tightening on as fast as possible, in the hope that it will prove expansionary. What are the chances that they will be right? Small, I believe. Moreover, rather better alternatives are on offer. But their drawback is that they are unorthodox: alas, many “sound” people prefer orthodox recessions to unorthodox recoveries.
Dopo aver esaminato gli argomenti di Alesina e Ardagna a favore dell'impiego di una politica di stretta disciplina di bilancio e fiscale per aiutare l'espansione dell'economia Wolf ne negà l'utilità in questa fase della crisi finanziaria globale:

A reduction in the fiscal deficit must be offset by shifts in the private and foreign balances. If fiscal contraction is to be expansionary, net exports must increase and private spending must rise, or private savings fall. Thus, experience of fiscal contraction is going to be very different when it occurs in a few small countries, not in many big ones simultaneously; when the financial sector is in good health, not impaired; when the private sector is unindebted, not highly leveraged; when interest rates are high, not close to zero, when external demand is buoyant, not feeble; and when real exchange rates depreciate sharply rather than remain fixed.
In short, when, as now, the economies affected by financial sector fragility make up half of the world economy (indeed, together with the still feeble Japanese economy, close to 60 per cent); when the most dynamic large economy in the world – China – is mercantilist; when interest rates are near zero; and when businesses and households are credit-constrained, the view that an early fiscal tightening will prove strongly expansionary is surely heroic. I hope it will be true. But there is little reason to believe it.
Secondo Wolf non ci sono molte alternative ad una politica di stimoli fiscali:

In current circumstances, the belief that a concerted fiscal tightening across the developed world would prove expansionary is, to put it mildly, optimistic. At this stage, I will inevitably be asked: what is the alternative? If these huge deficits continue, markets will take fright, interest rates will jump and the debt dynamics will become truly awful.
I have two responses to this.
The first, one I made a week ago, is that the deleveraging cycle is generating huge private sector financial surpluses across the developed world. Unless we expect a shift into aggregate external surpluses (and corresponding deficits in the emerging world), these surpluses must now to be invested in government liabilities. This helps explain why yields on the bonds of safer governments remain so low.
The second response is that if governments need to run deficits, to support demand at a time of private sector weakness, they can always borrow from central banks. Yes, this is “printing money”. It is also an insanely radical policy recommended by no less insane a radical than Milton Friedman, back in 1948. His view was that the government could expand the money supply during recessions and contract it in the subsequent booms. A country with a fiat currency and a floating currency could, thus, stabilise the economy without destabilising credit markets. The neat thing about this proposal is that one does not have to decide whether fiscal policy or monetary policy is doing the heavy lifting: they are two sides of one coin.
The argument for aggressive monetary expansion remains strong, though not equally everywhere, since the growth of broad money and nominal GDP is weak (see chart). So Friedman’s policy of “quantitative easing”, as it is called, still makes good sense. Am I recommending the economics of Robert Mugabe? No. As in everything else, it is the context that matters. At present, we have “too little money chasing too many goods”. In this environment, monetary policy must be aggressive. When the economy recovers, the monetary effects should be withdrawn, via budget surpluses obtained via long-term control over spending. In the short term, changes in reserve requirements can offset the impact on monetary expansion of the rise in deposits of commercial banks at the central bank. Since, in practice, the money supply is driven more by the demand for credit than reserves, this may be unnecessary.
The conventional wisdom is that a strong and co-ordinated structural fiscal contraction, focused on spending, will promote the growth of a thousand private blooms. I hope this will prove true. But I doubt it. Governments should hurry slowly. If they all hurry quickly, they – and we – may regret it nearly as soon.

Se l'opinione di Wolf vi scatena paure da iperinflazione allora ascoltate cosa ne pensa Robert Arnott che vede una tempesta all'orizzonte fatta di Deficit, Debito e Demografia, la crisi DDD...Vi anticipo la conclusione della sua analisi: ... if you own a printing press, run it. So I think the U.S. has been helped by the fact that it is the world’s reserve currency and the world’s largest economy. Absent that, we’d be Greece. With those, we’re not.
But roll the clock forward, and inflation, high odds, will raise its ugly head in inflationary bursts in the years ahead. They won’t be expected well in advance of when they strike. You buy the protection against the inflation when the inflation protection is cheap. When is that? When there is a lot of talk about deflation.
So if we get a rollover into a second dip of the recession, that’s the time to buy inflation protection.

giovedì 24 giugno 2010

Il cambio yuan/dollaro non è più costante. Conseguenze e previsioni.

Piccola rassegna stampa sul cambio yuan/dollaro:
  • editoriale sul NYTimes di giovedì sul renminbi speriamo che qualcuno a Pechino lo legga attentamente!  The announcement by China’s central bank that it would stop pegging its currency to the dollar could be a watershed moment for the global economy — if China really allows the value of the currency to rise. China’s cheap currency policy has not only built up enormous trade surpluses with the United States and Europe, it has become a drag on the economic recovery of other developing nations whose exports can’t compete.(...) The policy of deliberately undervaluing the renminbi has been central to China’s economic success over the last two decades. But it is no longer tenable even for China’s own economic health.(...)China is now well on the way to economic recovery. Other countries are not so fortunate. Unless China makes a firm commitment to let its currency rise, it will have a hard time managing inflationary pressures and international resentment. 
  • Anche lavoce dedica un'analisi al cambio yuan/dollaro affidandolo a due economisti di Berkeley che hanno esaminato ventisette esempi nei quali un cambio fisso è stato abbandonato e la moneta rivalutata nell’anno successivo contro il dollaro oppure contro gli Sdr (i diritti speciali di prelievo dell’Fmi). Secondo la loro analisi il tasso annuale medio di crescita del Pil rallenta di 1 punto percentuale tra i cinque anni precedenti la rivalutazione e i cinque anni successivi  ma non c’è nessun crollo della crescita, nè della bilancia di parte corrente nè una significativa caduta del tasso di investimento.
  • Il Wall Street Journal si occupa della crescita del mercato forex in Cina e alle sue probabili manipolazioni da parte della Banca Centrale cinese (PBOC): The interbank foreign-exchange market has almost 300 members and has gradually opened up to insurance companies and nonbank finance companies. The market is dominated by domestic banks which, with more extensive branch networks, account for the lion's share of deposits and dominate the banking industry.Still, experienced Chinese-speaking currency traders have become prize commodities among banks. (...) Though small by international standards, the foreign-exchange trading system in Shanghai, where the yuan is traded, moves hundreds of millions of dollars per day. It has proved it can be a profit center for foreign banks, contributing significantly to their 2008 results, although that revenue dropped off in 2009.The extent of China's liberalization of its foreign-exchange regime has been limited by measures geared toward preventing currency speculation and ensuring that no one profits from betting on the yuan. While derivative products were expressly rolled out to help China's exporters and importers cope with currency volatility, Beijing's fear of speculation hasn't made it easy for companies. They must provide extensive documentation to prove that the trade is backed by a real economic need.
    Banks also have strict limits on how they can trade. (...)
    The central bank's most effective means of control has been by setting a daily reference level for the yuan for the start of trade. Given the yuan can only move 0.5% up or down from this level, called the central parity rate, the overall pace of yuan appreciation isn't determined by intraday trade but by how the central parity rate moves from one day to the next.
    In this way the central bank seldom needs to intervene directly in the market, although traders sometimes suspect that when two or more major state-owned banks start trading large volumes in the same direction they are doing so under the instructions of the PBOC. 
  • Sempre dal WSJ un articolo sulle previsioni del cambio yuan/dollaro a fine anno: molte banche lo vedono apprezzarsi di circa il 3% con un ulteriore ribasso del 2% nei sei mesi successivi. Lunedì all'apertura la PBOC aveva fissato la parità di apertura  6.8275 consentendo nel corso della giornata un apprezzamento fino dello 0.46% fino a 6.7958, per poi rimbalzare a 6.8133 martedì e rimanendo pressochè invariato nella giornata di mercoledì per poi riprendere la (leggera) discesa giovedì fino a circa 6.79.

    Il successo degli hedge funds global macro. Il buonsenso e l'asset allocation

    Non tutti gli hedge funds hanno avuto un 2008 disastroso. Dando un'occhiata alle performance delle diverse tipologie di fondi hedge nel triennio 2007-2009 le strategie macro sono spesso riuscite a produrre rendimenti decenti con drawdown tollerabili. Nell'approccio macro solitamente si utilizzano numerose strategie con allocazioni di capitale e scelte di investimento che dipendono dal movimento di variabili (macro)economiche e dall'impatto che si prevede queste variabili possano avere sui mercati azionari, obbligazionari, sulle materie prime e sui cambi. Steven Drobny è un esperto di questo tipo di strategie e l'autore di The Invisible Hands
    (che ho appena comprato e devo ancora leggere):

    La crisi del 2008 ha esposto anche i limiti della diversificazione e dell'approccio classico all'asset allocation, che è riuscito sì a moderare le perdite rispetto al 40-50% o più subito da azioni e materie prime ma che ha lasciato ugualmente gli investitori indietro con drawdowns del 20% o più. Limitandoci alle opzioni più semplici (e rinviando ai post futuri un analisi di alternative per investitori dotati di un minimo di sofisticazione e di disciplina) ho trovato molto ragionevoli le considerazioni che Harold Evensky svolge in questa intervista di Christine Benz di Morningstar. Ecco le sue aspettative per i rendimenti futuri delle principali asset classes:

    So can you share what your current expectations are for various asset classes?
    Very generally, we're operating with a real equity return of about 6%, and a nominal return of 9%, with the assumption of inflation around 3%. For bonds we're using the same inflation assumption, so the nominal return we're using is about 5.5% and a real return of about 2.5%.
    Off the top of my head, we do assume a slightly higher rate for small-cap and value--1 percentage point or so higher. We believe returns from developed international markets, basically EAFE, will be comparable to domestic stock returns. We don't distinguish between domestic and international.
    How about for emerging markets?
    It would be a couple of percentage points over the domestic and international assumptions, with substantially greater volatility but less correlation. Although now the correlations are, like everything else, a lot higher than in the past.

    What is the most effective way to add inflation protection to a portfolio? I know that you've long been a user of Treasury Inflation-Protected Securities.
    Right. We think that inflation is likely to be the single biggest risk in the next decade to our clients' portfolios. So TIPS are the single easiest, biggest, most obvious inflation hedge. The problem is, they're not a big hedge, and they're also extraordinarily tax inefficient.

    J.P. Morgan now has a municipal inflation-protected bond fund that we've been using, JPMorgan Tax Aware (TXRIX). So we now have a TIPS or a TIPS-type of allocation in all of our portfolios.
    And that's a strategic allocation so it's not a function of "Gee, we think TIPS are a little pricey today and a little more attractive tomorrow." It is in effect a permanent allocation in our fixed-income category.
    In terms of the equities, we believe that in reasonably high-inflation environments--single-digit--equities are a reasonable inflation hedge. If we get into hyperinflation, that's more problematic. That's not something we're anticipating or planning for, but if we get to that point then we would be looking more to commodities and something of that nature.
    So what about commodities and the long-only commodities investments and some of the problems they've run into with contango and so forth? What's your thought on commodities as a slice of the inflation-fighting part of one's portfolio?We've vacillated over the years, but still consider commodities a credible and appropriate investment, a good inflation hedge for high or very high inflation. The contango has been a particular problem for some of the index commodities; they have been more hurt than some of the actively managed commodities. So we've learned to be very careful about understanding the strategy of the underlying investment.
    Is it designed for long-term commodity exposure? Or is it designed for commodity-trading exposure? There's a big difference, and it's not a good or a bad. There are just different kinds of products out there.

    Qui trovate la seconda parte dell'intervista di Evensky, nella quale sviluppa il suo punto di vista sulla pianificazione del portafogli per chi si avvicina alla pensione:

    The one big difference between the day someone's working and the day they retire is that instead of adding to their nest egg, that individual will be taking money out of their nest egg.
    When you're taking money out, volatility becomes an extraordinarily significant factor. It's kind of like the opposite of dollar-cost averaging, the worst of all worlds. You may be taking a lot out when you don't want to, or very little when you should be taking more.
    So, it's what's called volatility drain. The reason people get in trouble is if they live at the wrong time. If the year they retire happens when the market crashes, they may dip into principal so much they can never recover.
    And that's true even if during the next 20 years they get exactly the same return as their neighbor who retired a year later when the market went up. So, there's just a huge element of luck, in effect. So, the question that we face is how can we manage that risk? And the solution that I developed back in the early 1980s was a fairly simple idea. I wish I'd called it buckets at the time, but we called it the cash-flow reserve.
    We believe that no one should invest money--stocks or bonds--unless they have a five-year window to decide when to sell. And five years isn't magic, but it's roughly an economic cycle. The point is that if you've got a five-year warning, you're never likely to take a very big loss. Whereas if the market just crashed and someone came to me and had a $1 million and said, "I need $200,000," I'm hoping they're telling me they need it five years from now, not next week. If they need it next week, they're going to take the loss and they'll never recover it. If we can wait five years, the likelihood of taking a big loss is, at least historically, very slim.
    So, that was the beginning of the thought process. We called it a five-year plan, which simply means that if someone came to us and they've got a pot of money, we'll ask what are their expenses in the next five years?
    "I've got to pay for the kids' college," they'd say, or for a wedding. We'll say fine. We're going to carve that out and put that in cash, in certificates of deposit, or short-term bonds. These are not your "investment dollars." The problem we had was someone who came in with $1 million and said, "I need 5%, I need $50,000 a year." And carving out five years' worth of cash flow was problematic because that's a pretty big opportunity gone if that's sitting in cash.
    So, in playing with different possibilities, we looked at one year, two years, three years, four years, five years for the cash-flow reserve. Two years seemed to be the most effective reserve for cash flow for your grocery money.
    So for someone with a $1 million portfolio who needs $50,000 a year, we carve out 10% for cash-flow reserves. That means 90% of someone's nest egg is invested in a total-return portfolio that we can manage for tax efficiency and expense efficiency, rebalance, and not have to worry about constantly dipping in and out of it. So that becomes a total-return portfolio. Everything gets reinvested. The cash-flow reserve this $100,000, this 10% gets invested somewhere between money markets, maybe CDs, or short-term bond funds, depending on what the expectations are.
    Generally, we'll leave the amount a client may need in the first six months or so in money market funds. We might go into a high-quality short-term bond fund or six-month to one-year CDs on some of the balance. But basically these are very liquid, very high-quality investments.
    We'll set that up literally to pay to our clients a check once a month to their local bank account so it meets with what [my wife and partner] Deena refers to as the "paycheck syndrome." People are used to getting a paycheck. So now, they get a paycheck. At least once a quarter we review the allocations, and at some point, we need to rebalance. We'll look over the cash flow and say, "Gee, it's low. While we are doing this, let's fill it back up again."
    Along the way, as part of the management of the investment portfolio, we almost always have the opportunity to occasionally fill that cash-flow bucket back up. But imagine if we went through a two-year period that everything was down in the investment portfolio. Interest rates went through the roof, stocks were down, and the client used up the two years' cash reserves. What are we going to do for an encore?
    Just in case of such a situation, we have what we call our second-tier emergency reserve in the investment portfolio. We have at least another three years' worth of living expenses that we could liquidate without having to take any or certainly much of a loss.
    All of our portfolios have a fixed-income allocation; the maximum equity weighting today would be 80%. Most of the portfolios have 30% or 40% in fixed income. Because we ladder our fixed-income position, we have a reasonably big chunk down at the high-quality short end of the duration exposure. Tapping that fixed-income position might throw the portfolio out of balance, but our thought process is that the second-tier emergency reserve, combined with the cash-flow reserve, can take us through a four- or five-year economic cycle. Again, it's never happened.

    martedì 22 giugno 2010

    Come investire quando i tassi di interesse sono bassi?

    Come investire in un mondo in cui i tassi di interesse sono così bassi? La risposta secondo alcuni è molto semplice...bisogna indebitarsi! Secondo il Wall Street Journal There has never been a better time for people to borrow money, whether to buy financial assets or boost cash reserves.
    For sophisticated, disciplined investors who have lived and invested within their means—and perhaps decried the bailouts being lavished on those who haven't—this is your time to take advantage. Not only are interest rates just about as low as they can get, but future inflation could erode the paper value of loans, making debt even cheaper over the long run. (...) "there's nothing inherently wrong with leverage," or borrowed money, says Christopher Jones, a New York financial planner working with high-net-worth clients. For people with the capacity to take on debt, who understand it and can tolerate the risk, "now is an ideal time to leverage cheap dollars to buy into areas that can produce much higher returns over the longer term," he says.
    Dunque: se dovete comprare casa ... fate un mutuo e investite i contanti in asset rischiosi, fiduciosi di avere un rendimento superiore nel medio-lungo termine. Oppure andate in marginazione nel vostro portafoglio azionario. E così via....ah che bello se il mondo fosse così semplice! Ammetto che sto un po' prendendo in giro gli autori di questo articolo ma mi sono ugualmente stupito nel leggerlo: certi consulenti finanziari sono davvero coraggiosi...con i soldi degli altri.

    Due figure dal blog di Mebane Faber illustrano i drawdown storici degli investimenti in obbligazioni del Tesoro USA a lungo termine (tipicamente 30 anni o più) e decennali. Fa sempre un po' impressione scoprire come le obbligazioni decennali siano state capaci di perdere oltre il 20%. I tassi di interesse sui bond trentennali del Tesoro USA sono andati in 15 mesi da un minimo del 2.52% nel dicembre 2008 a un massimo del 4.86% all'inizio di aprile di quest'anno! Una variazione, in termini relativi, di quasi il 100%!

    Brad De Long linkfest.

    Oggi festeggiamo Brad De Long con una serie di link ai suoi post:
    • sulla politica fiscale. Qui la discussione si centra sul problema dei deficit e la necessità di stimoli: Marginal costs of further stimulative macro policy in the G-5 economies are very low in every model anybody has written down or spoken out to me. Marginal benefits are uncertain but might well be quite high.
    • sui costi dell'austerità fiscale:  non uccidete la ripresa, please, i mercati non lo chiedono (almeno negli USA): I would add that we really should be taking steps now to significantly improve the long-term deficit picture: standby tax increases and spending caps and entenched via procedures in such a way that it would be very, very difficult to undo them. This congress could pass a VAT to be implemented in five years if the budget deficit then still exceeds some trigger value. That would do much more to actually improve the long-term budget position and in all likelihood do more to give markets confidence than pointless exercises in unemployment-creating austerity today.
    • le differenze di un approccio micro e macro all'uscita dalla crisi: In our normal, microeconomic world it is not a big deal when excess demand emerges in one market and excess supply emerges in another--it is, in fact, a good thing, because it induces shifts in production that make the structure of what is made correspond more closely to what people want (or perhaps to what the people with money want).(...) But in macroeconomics things are different. The excess supply is economy-wide--throughout all commodity markets, producing supply in excess of demand for goods, services, labor, and capacity. Producers and entrepreneurs respond to an aggregate demand shortfall just as individual producers respond to a particular shortfall of demand for their products: they hold sales to liquidate inventories, they cut prices, they cut wages to try to preserve margins, they fire workers. In the macroeconomic case, the dynamic process that leads to the elimination of excess supply and its counterbalancing excess demand in the microeconomic case gets underway--or, rather, half of it gets underway.
    • sette approcci diversi della teoria economica alle depressioni!
    • Mr Keynes and the classics, ovvero come unificare i punti di vista monetaristi di Irving Fisher, le analisi dei mercati finanziari di Knut Wicksell, e le analisi dei moltiplicatori di Richard Kahn. 

    lunedì 21 giugno 2010

    It is not rocket science! E se gli stress test sono troppo poco stressanti?

    Leggevo poco fa un articoletto sul Wall Street Journal di qualche giorno fa che commentava l'incredibile dimensione assunta dai derivati e da come la maggior parte di questi fossero in possesso di banche commerciali:
    Right now, U.S. banks, mostly a few giants, have $276 trillion in over-the-counter derivatives, instruments that don't trade on exchanges. Most of these derivatives are within commercial-bank subsidiaries that enjoy federal deposit insurance. Thus, the banks effectively enjoy a government subsidy that likely distorts prices and allows them to hold too little capital against the derivatives. 
    La questione preoccupa (giustamente) molti e numerose sono le proposte per la creazione di mercati regolamentati per la maggior parte di questi prodotti. Ma la sorpresa è venuta leggendo i commenti all'articolo: infatti ne ho trovato uno di Vernon Smith! Eccolo: It is not rocket science. Derivatives are securities, and should have been, and now should be, registered, listed and subject to reserve requirements....Vernon L. Smith, Chapman University

     Ancora dal Wall Street Journal un articolo esamina la decisione europea di rendere pubblici i risultati degli stress test bancari (decisione condivisa dall'87% dei lettori del WSJ), cosa che dovrebbe avvenire entro la fine di luglio, almeno per i 25 maggiori istituti europei (inclusa dunque Unicredito e Banca Intesa). Ma saranno stati abbastanza severi? Scrive il WSJ:  European authorities, though, have had a particularly knotty problem to resolve. It concerns what stresses the banks should be tested for and how much of that should be disclosed. In the U.S. exercise, authorities examined the impact on the banks' balance sheets of a serious downturn in the economy, and the consequent rise in variables such as unemployment and bad mortgage loans. To be credible, however, European bank stress tests will need to contemplate eventualities that governments don't want to admit are possible, such as defaults on Greek, Portuguese and even Spanish debt. Over the past year, those worries came to the fore among European policymakers, officials said. But the bulk of the opposition came from Germany, whose Landesbanken share the main spotlight of market worry with Spain's regional savings banks, or cajas.
    Germany's main banking associations have expressed vehement opposition to publishing stress tests, claiming markets might "misinterpret" the results, and arguing that German law requires banks' consent before disclosing stress-test results. The German government said Thursday it plans to seek banks' consent, but a finance-ministry official said a change in the law is also possible if banks don't cooperate.
    Spain's intention to publish its own results left Germany with little choice but also to show its cards, one European official said, lest it be seen as having something to hide.
    While the stress tests may shore up confidence, they come with their own costs. The heaviest: What to do with banks that fail the exam. Most European countries are now racing to embrace a newfound philosophy of fiscal prudence to ward off concerns about their own deficit and debt levels. Shelling out for pricey bank rescues would imperil those efforts.

    Sull'argomento torna oggi il WSJ con un commento dai torni piuttosto scettici:

    European leaders may have hoped to draw a line under Europe's sovereign crisis by agreeing to publish individual bank stress-test results. But that may be easier said than done. There are three questions that matter when stress-testing banks: Which are being tested? What is being tested? And what will be done with the results? It isn't clear that what is being contemplated will provide convincing answers to any of them.
    What the leaders appear to have agreed on—and there are mixed messages across Europe over this—is to publish bank-by-bank results of a stress test currently being conducted by the Committee of European Bank Supervisors. But if that is all they have got to offer, it isn't going to convince anyone. This particular test covers about 25 of the largest European banks, excluding the majority of Spanish and German savings banks whose potential capital deficits most worry the markets.
    Nor is it likely to be particularly stressful. Like the last CEBS stress test in 2009, it is based on average European growth and asset prices scenarios that don't take account of national variations. The criteria are less demanding than those applied by some national regulators, including the U.K.'s Financial Services Authority, being based on a plausible scenario rather than a worst-case one, according to someone familiar with the process.
    Finally, it isn't clear that CEBS will be able publish bank-by-bank results even if it wants to since it is against European law for regulators to divulge data gathered from banks that they supervise.

    domenica 20 giugno 2010

    Bailouts senza fondo. La rivalutazione del cambio yuan/dollaro

    Quanto costerà ai contribuenti USA il salvataggio di Freddie Mac e Fannie Mae? Le ultime stime si aggirano intorno ai 400 miliardi di dollari ma c'è chi prospetta anche cifre superiori.
    Secondo l'analista e blogger di MSN Money Jim Jubak le cose potrbbero anche mettersi molto peggio:
    In August, the nonpartisan Congressional Budget Office estimated the two companies would need $389 billion in government money through 2019. Barclays Capital said in December that the price tag could run as high as $500 billion if housing prices dropped an additional 20%. (Housing prices as measured by the S&P/Case-Shiller 20-city index fell 3.2% in the first quarter of 2010 compared with the previous quarter.)
    Sean Egan, the president of Egan-Jones Ratings, recently told Bloomberg that a 20% loss on mortgages and guarantees, which is in line with the losses at a mortgage lender such as Countrywide Financial -- now owned by Bank of America (BAC, news, msgs) -- could take a worst-case scenario to $1 trillion.
    No one knows the exact number, but there's an awful lot of taxpayer money riding on housing prices.
    The obligations are real, but none of it is in the federal budget. How long will the foreign money financing the U.S. deficit buy that one, do you think?
    Jubak considera l'esplosione del bailout di Fannie e Freddie uno dei principali rischi di breve-medio termine per la ripresa dell'economia USA e mondiale, insieme all'aggravarsi della crisi del debito spagnolo e al rischio insolvenza del sistema bancario cinese. 
    Come ho già anticipato ieri la banca centrale cinese ha annunciato la sua disponibilità a una maggiore flessibilità del cambio dello yuan. Ecco quanto scrive oggi il New York Times:
    China announced on Saturday evening that it would allow greater flexibility in the value of its currency, a move that could deflect growing international criticism of its economic policies and defuse one of the greatest sources of tension between Beijing and Washington.
    The statement, by China’s central bank, was the clearest sign yet that the country would allow its currency to appreciate gradually against the dollar. World leaders are due to meet next week in Canada for economic talks, and China’s currency policies had appeared a certain source of conflict.
    The United States has been leading a chorus of countries urging China to let its currency fluctuate. Many members of Congress believe China’s exchange rate policy gives it an unfair trade advantage, and a movement has been growing to take retaliatory trade action if China did not make an adjustment.
    President Obama and the Treasury secretary, Timothy F. Geithner, immediately praised China’s action. “China’s decision to increase the flexibility of its exchange rate is a constructive step that can help safeguard the recovery and contribute to a more balanced global economy,” Mr. Obama said in a statement. The European Commission also said it supported the move.
    But it remains to be seen whether the move will significantly rebalance the global trade picture. The People’s Bank of China was cautious in its statement about how far its currency, the renminbi, might fluctuate, warning explicitly that “the basis for large-scale appreciation of the RMB exchange rate does not exist.” Chinese officials said the renminbi would move in relation to an unspecified basket of currencies, not just the dollar. Experts said that depending on how the system was designed, China could avoid rapid fluctuations.
    Mr. Geithner alluded to this in a statement, saying, “This is an important step, but the test will be how far and how fast they let the currency appreciate.”
    The first sign of how much currency appreciation will be tolerated is likely to come Monday morning, when the Chinese government will set the initial trading band for the value of the renminbi in Shanghai trading.
    China has kept its currency value low since mid-2008 by pegging it to that of the dollar and not letting it fluctuate. Any trend in the renminbi’s value would have been higher without the peg, making China’s goods more expensive to foreign consumers and possibly slowing the country’s export-based economy.(...)
    For China, a stronger renminbi will increase the buying power of its consumers and could make gasoline and other imported commodities seem less expensive. Faced with spreading labor unrest, particularly in the auto industry, the government has started to make an energetic effort to improve the standard of living of industrial workers.
    But many economists inside and outside China have argued that currency appreciation is in China’s interest most of all. The country has been spending nearly one-tenth of its annual economic output to buy Treasury notes and bonds and other foreign securities while printing and selling renminbi, all in an effort to prevent the renminbi from rising against the dollar.
    The renminbi has already risen with the dollar by 15 percent against the euro in the last two months. That has made Chinese officials nervous about the future competitiveness of Chinese sales to Europe, the biggest market for Chinese exports.
    Cui Tiankai, a vice foreign minister, said on Friday that the value of the renminbi was not a subject for global discussion, the latest in a series of remarks by Chinese officials indicating strong nationalistic sensitivities about currency policy.
    But people familiar with Chinese currency policy making have been saying for two months that the Chinese leadership agreed in early April to a change of direction. A devastating earthquake in western China in mid-April followed by worries about economic turmoil in Europe delayed action on the decision.

    Cos'è il rischio sistemico? Zingales e la necessità di un FMI per le banche

    Un video da Morningstar che cerca (con un po' di superficialità e di semplicismo) di dare un'idea di cosa sia il rischio sistemico. Ha comunque il pregio di riassumere una serie di questioni che si sono affacciate all'orizzonte degli investitori dal 2008 ad oggi.

    Tra gli scenari da incubo ai quali si fa riferimento c'è proprio quello del fallimento di un'importante banca internazionale. A questo proposito ha le idee molto chiare Luigi Zingales che così scrive nel suo editoriale ieri sul Sole 24 Ore:
    Il peggior incubo finanziario che incombe sull'economia mondiale è l'insolvenza di una grande banca internazionale. Che accada a causa di un default sovrano o di gravi perdite accumulate sfruttando regole contabili compiacenti, l'insolvenza di una grande banca (soprattutto se europea) è una possibilità tutt'altro che remota. Per quanto remota sia una possibilità, tuttavia, dovremmo sapere da quanto ci ha insegnato la crisi finanziaria del 2008 che anche gli eventi più rari si possono verificare.

    A rendere questa ipotesi l'incubo finanziario numero uno, più grave ancora del crollo della Lehman Brothers nel 2008, è la preoccupazione che molti stati sovrani abbiano già sparato tutte le cartucce di cui disponevano e pertanto sarebbero impossibilitati a intervenire. I credit default swaps (Cds) delle più importanti banche dell'Europa meridionale si scambiano a cifre leggermente inferiori dei Cds degli stati sovrani, segno che il mercato non considera i secondi in grado di sostenere i primi. Purtroppo, a quasi due anni di distanza dal crollo di Lehman, è stato fatto molto poco per dare adeguata soluzione a questo rischio.
    Il Congresso degli Stati Uniti è in procinto di portare a compimento l'approvazione di un disegno di legge che conferirà autorità e poteri decisionali sui principali istituti finanziari statunitensi a un consiglio sistemico di recente costituzione. Le procedure necessarie a innescare questo intervento, tuttavia, sono complesse e i finanziamenti sono a tal punto opachi che la legge in questione non eliminerà i danni collaterali arrecati dal fallimento di una grossa banca perfino per le istituzioni statunitensi, per non parlare di quelle internazionali, per rimediare ai quali sarebbe necessario l'intervento coordinato di numerosi stati, con vari gradi di solvibilità.
    Per ridurre al minimo il rischio di un crollo incontrollabile, è necessario che si approvi un meccanismo di risoluzione internazionale che abbia poteri su tutti i più importanti istituti finanziari internazionali. L'obiettivo non sarebbe quello di salvare le banche e i loro creditori, bensì di ridurre al minimo lo scompiglio totale che un default incontrollato di tal fatta potrebbe determinare.

    sabato 19 giugno 2010

    Le persone serie vogliono i tagli. I keynesiani del pleistocene no. Aggiornamento al 18 giugno 2010.

    Una settimana con troppi impegni mi ha impedito di aggiornare il blog con continuità.I mercati si sono un po' ripresi e l'euro ha chiuso ieri la sua migliore settimana da oltre un anno, guadagnando oltre il 2% nel cambio con il dollaro. L'euro ha recuperato oltre il 4% dal minimo di 1.1876 di pochi giorni fa.
    Oggi poi è arrivata la notizia che la banca centrale cinese si è detta disponibile a una rivalutazione dello yuan sul dollaro...staremo a vedere.
    Continua la corsa dell'oro il cui valore  dal minimo del 2001 ad oggi si è quasi quintuplicato.

    Piccola rassegna stampa:
    • Su lavoce Alesina e Perotti si schierano in difesa della Germania e della sua linea di austerità: il corsivo a introduzione dell'articolo è esauriente...Sono in molti ad accusare la Germania per la sua politica fiscale prudente, che finirebbe per aggravare la crisi. La cui soluzione sarebbe invece in un'espansione della spesa pubblica tedesca. Ma si tratta di una ricetta sbagliata, frutto di un keynesianismo datato. E' un'illusione credere che un 5 per cento sul Pil di deficit di bilancio in Germania basti per risolvere i problemi di crescita dell'Europa. Che dipendono piuttosto dalle rigidità sul lato dell'offerta, soprattutto nei paesi oggi più in difficoltà. Non sono convinto al 100%...così eccovi una sfilza di keynesiani datati con le loro prediche...
    • ...Krugman si scaglia contro i sostenitori dell'austerity (oggi sulla prima pagina del Sole 24 Ore: E' nato un professionista: il profeta dell'austerity) e dell'urgenza di ridurre i deficit sovrani (ad esempio un arzillo vecchietto, ex-governatore Fed... un signore che di come (dis?)-innescare crisi finanziarie se ne intende). Per cominciare si toglie un sassolino dalla scarpa ricordando come Kenneth Rogoff chiedeva nell'estate del 2008 un rialzo dei tassi per combattere l'inflazione generata dall'aumento dei costi delle materie prime (non c'è che dire - con il senno di poi - un bel tempismo!). Infine conclude scatenato: Perchè tutto questo? A mio parere la ragione va ricercata nel desiderio di fare la parte dei duri intransigenti. Chiedere austerità fa sentire coraggiosi e virtuosi, consente di assumere la posa della "persona seria", che lancia strali contro gli scialacquatori. Altrimenti perchè questi specialisti del ramo (e non sono i soli) si scaglierebbero contro i tassi bassi? (...) In un momento in cui le economie mondiali hanno un disperato bisogno di menti lucide, questi economisti non fanno altro che complicare le cose.
    • ...ancora sul Sole 24 Ore di oggi vi consiglio la lettura dell'articolo di Robert Skidelsky Keynes alla prova della crisi che parte dalla manovra finanziaria annunciato dal nuovo governo inglese per sviluppare un parallelo con il 1931:
      È inevitabile il parallelo con ciò che accadde in Gran Bretagna nel 1931. Nel febbraio di quell'anno, Philip Snowden, ministro del Tesoro di un governo laburista, istituì la commissione May per raccomandare tagli alla spesa pubblica. La commissione stimò un disavanzo di 120 milioni di sterline, più tardi salito a 170 milioni, cioè circa il 5% del Pil, e propose di aumentare le tasse e ridurre la spesa pubblica per «pareggiare il bilancio». La crisi finanziaria internazionale generata dal fallimento della banca austriaca Creditanstalt nel luglio del 1931 spinse il governo ad agire sulla base del rapporto May. L'establishment finanziario e politico si unì per chiedere tagli ai sussidi di disoccupazione al fine di «salvare la sterlina».
      Keynes fu uno dei pochissimi ad andare controcorrente. Riguardo agli autori del rapporto May scrisse: «Suppongo che siano uomini tanto semplici che i vantaggi del non spendere soldi appaiono loro scontati». Non avevano minimamente considerato il fatto che i tagli proposti avrebbero fatto crescere la disoccupazione di 250-400mila unità e diminuito le entrate fiscali. «Al momento - continuava Keynes - tutti i governi hanno forti disavanzi. Questi disavanzi sono il rimedio per impedire che le perdite delle imprese diventino tali da portare tutta la produzione a uno stallo».
      Quando nel settembre 1931 la coalizione fra liberali e conservatori subentrata al governo laburista presentò una manovra di emergenza, Keynes ancora una volta si tenne fuori dal coro. La manovra, scrisse, era «assolutamente folle e ingiusta». Spiegò a un corrispondente americano che «ogni persona in questo paese di asini matricolati, chiunque odi il progresso sociale e ami la deflazione, sente che è arrivato il suo momento e annuncia trionfante in che modo, astenendoci da ogni sorta di attività economica, potremo tornare a essere ricchi».
      I politici di destra spesso sostengono che il risanamento dei conti pubblici consente la ripresa economica. Se è così, l'effetto di quell'accesso di morigeratezza pubblica nel 1931 fu particolarmente tortuoso. L'azione combinata della svalutazione della sterlina e dell'abbassamento dei tassi d'interesse rianimò le esportazioni e diede il via a un boom immobiliare. Ma prima della guerra non ci fu mai ripresa completa. L'efficacia dei tagli, insomma, è tutta da dimostrare.
      Stiamo per imbarcarci in un importantissimo esperimento per scoprire quale delle due storie sia vera. Se il risanamento dei conti pubblici si dimostrerà la via per la ripresa e una crescita rapida, allora potremo seppellire Keynes una volta per tutte. Se al contrario i mercati finanziari e i loro portabandiera politici si riveleranno degli "asini matricolati" come pensava Keynes, bisognerà prendere di petto la sfida che rappresenta, per il buongoverno, il potere finanziario.
    • ...di nuovo Krugman che sul New York Times un paio di giorni fa sviluppava pressochè le stesse considerazioni: Suddenly, creating jobs is out, inflicting pain is in. Condemning deficits and refusing to help a still-struggling economy has become the new fashion everywhere, including the United States, where 52 senators voted against extending aid to the unemployed despite the highest rate of long-term joblessness since the 1930s. Many economists, myself included, regard this turn to austerity as a huge mistake. It raises memories of 1937, when F.D.R.’s premature attempt to balance the budget helped plunge a recovering economy back into severe recession. And here in Germany, a few scholars see parallels to the policies of Heinrich Brüning, the chancellor from 1930 to 1932, whose devotion to financial orthodoxy ended up sealing the doom of the Weimar Republic.
      But despite these warnings, the deficit hawks are prevailing in most places — and nowhere more than here, where the government has pledged 80 billion euros, almost $100 billion, in tax increases and spending cuts even though the economy continues to operate far below capacity.
      What’s the economic logic behind the government’s moves? The answer, as far as I can tell, is that there isn’t any.(...) The key point is that while the advocates of austerity pose as hardheaded realists, doing what has to be done, they can’t and won’t justify their stance with actual numbers — because the numbers do not, in fact, support their position. Nor can they claim that markets are demanding austerity. On the contrary, the German government remains able to borrow at rock-bottom interest rates.
      So the real motivations for their obsession with austerity lie somewhere else.
      (...)  it still has nothing to do with fiscal realism. Instead, it’s about moralizing and posturing.(...) There will, of course, be a price for this posturing. Only part of that price will fall on Germany: German austerity will worsen the crisis in the euro area, making it that much harder for Spain and other troubled economies to recover. Europe’s troubles are also leading to a weak euro, which perversely helps German manufacturing, but also exports the consequences of German austerity to the rest of the world, including the United States.
      But German politicians seem determined to prove their strength by imposing suffering — and politicians around the world are following their lead.
      How bad will it be? Will it really be 1937 all over again? I don’t know. What I do know is that economic policy around the world has taken a major wrong turn, and that the odds of a prolonged slump are rising by the day. 
    • ...infine se cercate un commento forse più neutrale, centrato tuttavia sui rischi dell'austerità imposta a economie anemiche che si sono salvate (forse) a malapena da un abisso, potete ascoltare l'opinione di Martin Wolf in questo podcast.

    Ecco l'aggiornamento al 18 giugno 2010.

    mercoledì 16 giugno 2010

    Come avvicinare le PMI alla borsa? Chi vincerà i mondiali?

    • come riuscire a portare più piccole e medie imprese europee in Borsa? Forse serve un regime normativo agevolato per la presentazione delle situazioni contabili che riduca i costi di quotazione salvaguardando la protezione degli investitori. Si parla anche della creazione di una piattaforma paneuropea che accresca la liquidità.
    • chi vincerà i mondiali di calcio? Scrive Panunzi: JP Morgan fa una previsione basata su dati tecnici (ranking Fifa, risultati nelle qualificazioni e nelle edizioni precedenti dei Mondiali) e di mercato (le quote del bookmakers). Un’analisi che replica quella che JP Morgan usa per valutare le azioni delle società, che utilizza sia variabili legate ai “fondamentali” di mercato che all’investor sentiment. JP Morgan prevede che la Coppa andrà a Londra, con la squadra di Fabio Capello che batterà in finale la Spagna. Secondo questo modello, l’Italia tornerebbe a casa nei quarti, sconfitta dagli spagnoli. Chissà se è cambiato l’investor sentiment dopo la papera del portiere Robert Green. Quello di Capello sicuramente sì.
      Invece Ubs usa i criteri ideati dal fisico Arpad Elo per classificare i giocatori di scacchi, criteri che tengono conto dei risultati precedenti, pesati per la forza dell’avversario (vincere contro Brasile e Spagna ha maggior valore che vincere contro Malta). Il Brasile risulta la squadra favorita, con l’Italia che segue la Germania al terzo posto.
      Goldman Sachs usa un modello con criteri simili a quelli di JP Morgan, ma prevede il Brasile probabile vincitore, con la Spagna subito dopo. L’Italia è al settimo posto con una probabilità di vittoria che è la metà di quella del Brasile.
      Queste le stime prima della sconfitta della Spagna di oggi, naturalmente. 
    • un modello econometrico per prevedere i risultati dei mondiali
     Infine trovate qui un elenco di link con le previsioni per i mondiali fondate sui metodi quantitativi. L'approccio quant allo sport mi incuriosisce sempre di più, anche gli studenti sono curiosi, peccato che manchi il tempo per approfondire tutte le passioni!

    martedì 15 giugno 2010

    Gold in the long run?

    Quando si dice investire per il lungo credete a Raymond Kurzweil il vostro orizzonte temporale per gli investimenti raggiunge i 700 anni ...: “We will transcend all of the limitations of our biology,” says Raymond Kurzweil, the inventor and businessman who is the Singularity’s most ubiquitous spokesman and boasts that he intends to live for hundreds of years and resurrect the dead, including his own father. “That is what it means to be human — to extend who we are.” 

    Se come me trovate questa prospettiva terrificante ma siete ugualmente preoccupati da un più modesto long run che si misura in un lustro o due anzichè in secoli e secoli potete unirvi alla qualificata schiera di investitori che proteggono il loro capitale dalla futura probabile monetizzazione del debito sovrano aggrappandosi all'oro: la compagnia comprende superstars come John Paulson e George Soros:
    Daniel J. Arbess, who manages more than $2 billion in Perella Weinberg’s Xerion fund, is another new gold lover. A few years ago, he said, he would not have taken a second look at gold as an investment. But now Mr. Arbess, a Harvard Law graduate and a generally conservative investor, is very serious about gold.
    Spiraling deficits in the United States, Japan and Britain are unsustainable, he said, and could eventually hurt confidence in what are called “fiat currencies” — paper money not backed by gold, including the United States dollar.
    “Indebted countries may soon be forced to choose among three politically difficult alternatives: sharp cuts in expenditures, debt default or printing money to pay off debt,” he said, with the last option the most likely outcome. Gold, he said, is a logical hedge against this risk, because firing up the printing presses ignites inflation.
    True believers note that gold has risen in each of the last nine years, and that while the Standard & Poor’s 500-stock index is down 13 percent since 2001, gold is now worth nearly five times what it was then.
    For all its newfound respectability, gold still manages to bring out the inner survivalist in its adherents. Gold bugs like Peter Schiff of the investment firm Euro Pacific Capital in Westport, Conn., envision a black market arising in the United States, with merchants refusing paper money and insisting on gold instead, while Mr. Hathaway, the gold fund manager, says the credit system has entered “the end game.”
    “People probably still think I’m nuts,” Mr. Hathaway said. “But I’m not talking to myself in an isolation chamber anymore. We’ve got company now.”