L'ENI più sicura del Tesoro? Secondo Credit Suisse l'Italia è più sicura della Francia!

Sul Financial Times di venerdì scorso, James Mackintosh si domanda che senso abbia per il debito sovrano di un paese essere considerato più rischioso del debito di una società localizzata in quel paese. La domanda, ricorrente nel mondo accademico (ne ho spesso discusso con un amico a Siena) è ormai di attualità con i mercati che prezzano il rischio di molte imprese ben al di sotto di quello dei governi corrispondenti. Scrive Mackintosh: The market appears to be saying that companies such as Italy's Eni, Portugal Telecom, Spain's Telefonica, Greece's Hellenic Telecom and Belgium's Belgacom are less likely to default than their home countries. A naive justification is that large groups could survive a sovereign default; (...) But a more satisfactory explanation is that the flight to quality is having strange effects: investors who still want corporate bonds are flocking to the safest multinationals. Investors wanting a risk-free rate from which to calculate prices for European equities and bonds can still use German bunds. But the odd goings-on in the periphery should act as a warning. A theory built on something that does not exist (qui il riferimento è alla nozione di asset risk-free, centrale in tutta la moderna teoria del portafoglio) is bound to be hard to apply.

Vi segnalo inoltre uno studio di Credit Suisse sui rischi del debito sovrano dal quale l'Italia esce benino:
We present a framework for comparing the sustainability of government
liabilities across developed market countries. Our system goes beyond simple
debt and deficit ratios, adding a host of other less obvious but equally important
factors that ultimately affect whose debt is sustainable.
Such an approach is sorely needed, in our opinion. Past sovereign debt crises
had more to do with structural rigidities (fixed exchange rates, etc.), bad politics
(an inability to make tough decisions, etc.), and severe shocks (wars, etc.) than
with headline debt and deficits. Indeed, war is by far the most common cause
of past sovereign defaults in our developed world sample. Our attempt at
scoring yields the following conclusions about relative debt sustainability:
• The first tier of sovereign debt includes the liabilities of China, Germany,
Switzerland, Australia and Canada. More controversially it also includes the
US, Italy and Japan. In our view these countries have negligible credit risk.
These countries may (and probably do) have some unsustainable liabilities,
but for most this implies much longer-term risks of inflation (indirect default) if
action is not taken to cap or reduce long-term entitlement commitments.
• The second tier includes the UK and arguably France. Credit risk remains
very low for these two, but structural factors suggest slightly greater risks of
debt sustainability issues. For the UK these are most likely to show up in
higher inflation risks; for France the main concern is public sector rigidities
and entitlements.
• The third tier includes Greece, Portugal, Spain and Ireland. For these four the
risks of actual default are significantly greater, unless and until rules for a
more explicit fiscal and political union within the euro zone are worked out.
This process has now begun in a classic process of crisis-led reform.
• Note that the euro zone GDP-weighted average score is similar to the UK
score. Moreover, all countries in our sample – no matter what their debt level
– would be perfectly creditworthy if primary budget surpluses were the norm.
Naturally, our conclusions rely on many subjective judgements. The framework
is available in spreadsheet form on request, allowing readers to put in their own
country scores and category weightings.