Unless Germany and the ECB move quickly, the single currency’s collapse is looming
e continua (le sottolineature sono mie):
Germany’s cautious chancellor, Angela Merkel, can be ruthlessly efficient in politics: witness the way she helped to pull the rug from under Silvio Berlusconi. A credit crunch is harder to manipulate. Along with leaders of other creditor countries, she refuses to acknowledge the extent of the markets’ panic (see article). The European Central Bank (ECB) rejects the idea of acting as a lender of last resort to embattled, but solvent, governments. The fear of creating moral hazard, under which the offer of help eases the pressure on debtor countries to embrace reform, is seemingly enough to stop all rescue plans in their tracks. Yet that only reinforces investors’ nervousness about all euro-zone bonds, even Germany’s, and makes an eventual collapse of the currency more likely.
This cannot go on for much longer. Without a dramatic change of heart by the ECB and by European leaders, the single currency could break up within weeks. Any number of events, from the failure of a big bank to the collapse of a government to more dud bond auctions, could cause its demise. In the last week of January, Italy must refinance more than €30 billion ($40 billion) of bonds. If the markets balk, and the ECB refuses to blink, the world’s third-biggest sovereign borrower could be pushed into default.
The perils of brinkmanship
Can anything be done to avert disaster? The answer is still yes, but the scale of action needed is growing even as the time to act is running out. The only institution that can provide immediate relief is the ECB. As the lender of last resort, it must do more to save the banks by offering unlimited liquidity for longer duration against a broader range of collateral. Even if the ECB rejects this logic for governments—wrongly, in our view—large-scale bond-buying is surely now justified by the ECB’s own narrow interpretation of prudent central banking. That is because much looser monetary policy is necessary to stave off recession and deflation in the euro zone. If the ECB is to fulfil its mandate of price stability, it must prevent prices falling. That means cutting short-term rates and embarking on “quantitative easing” (buying government bonds) on a large scale. And since conditions are tightest in the peripheral economies, the ECB will have to buy their bonds disproportionately.
Vast monetary loosening should cushion the recession and buy time. Yet reviving confidence and luring investors back into sovereign bonds now needs more than ECB support, restructuring Greece’s debt and reforming Italy and Spain—ambitious though all this is. It also means creating a debt instrument that investors can believe in. And that requires a political bargain: financial support that peripheral countries need in exchange for rule changes that Germany and others demand.
This instrument must involve some joint liability for government debts. Unlimited Eurobonds have been ruled out by Mrs Merkel; they would probably fall foul of Germany’s constitutional court. But compromises exist, as suggested this week by the European Commission (see Charlemagne). One promising idea, from Germany’s Council of Economic Experts, is to mutualise all euro-zone debt above 60% of each country’s GDP, and to set aside a tranche of tax revenue to pay it off over the next 25 years. Yet Germany, still fretful about turning a currency union into a transfer union in which it forever supports the weaker members, has dismissed the idea.
This attitude has to change, or the euro will break up. Fears of moral hazard mean less now that all peripheral-country governments are committed to austerity and reform. Debt mutualisation can be devised to stop short of a permanent transfer union. Mrs Merkel and the ECB cannot continue to threaten feckless economies with exclusion from the euro in one breath and reassure markets by promising the euro’s salvation with the next. Unless she chooses soon, Germany’s chancellor will find that the choice has been made for her.
Il Sole 24 Ore da settimane titola Fate Presto! Ha ragione, ma andebbe scritto in tedesco...Schnell! Schnell!
John Mauldin si preoccupa per il contagio agli U.S.A. e giustamente si arrabbia per il tempo perso nell'implementazione delle necessarie riforme della struttura e della regolamentazione dei mercati:
Contagion is the #1 risk on the minds of European leaders and regulatory authorities, and
it should be in the US, too. This points to a massive failure in Dodd-Frank to regulate credit
default swaps and put them on an exchange. This is the single largest error in the last few
decades, as it was so predictable. At least with the repeal of Glass-Steagall it was the unintended
consequences that got us. Dodd- Frank almost guarantees another credit and banking crisis.
Don’t get me started.
L'analista americano si oppone poi all'impiego del FMI per il salvataggio dell'eurozona:
Since the ECB is for now off the table as a source of unlimited funds (remember I said
“for now”), there are calls for funds from a variety of sources. Some new supranational fund,
more EFSF “donations,” etc. The only semi-realistic one is IMF participation. If that is seriously
considered, then the US Congress should step in and protest. US funds should not be used for
governments of the size of Italy and Spain. These are not third-world countries. This is a
European issue of their own making and not the responsibility of US taxpayers, or for that matter
taxpayers anywhere else. We should “just say no.”
As I have been writing, there is no credible source other than the ECB for the amount of
funds needed. Maybe something can be cobbled together under the pressure of a crisis, but for
now there is no realistic option. Europe is at the end of the road unless Germany “blinks.” The
only thing we can do now is to see how it works out.
If the ECB can’t print, then the rules have to be changed, if the eurozone is to survive.
And while a recession is underway.
Intanto le banche americane e inglesi non perdono tempo e preparano piani di emergenza nel caso di dissoluzione scomposta dell'eurozona. Lo temono gli strategist e lo chiedono peraltro i clienti:
In a survey published Wednesday of nearly 1,000 of its clients, Barclays Capital said nearly half expected at least one country to leave the euro zone; 35 percent expect the breakup to be limited to Greece, and one in 20 expect all countries on Europe’s periphery to exit next year.
Voi cosa ne pensate? Oltre che con i commenti potete esprimere la vostra opinione partecipando al sondaggio che trovate sulla destra in apertura del blog.
Some banks are now looking well beyond just one country. On Friday, Merrill Lynch became the latest to issue a report exploring what would happen if countries were to exit the euro and revert to their old currencies. If Spain, Italy, Portugal and France were to start printing their old money again today, their currencies would most likely weaken against the dollar, reflecting the relative weakness of their economies, Merrill Lynch calculated.
Some banks are now looking well beyond just one country. On Friday, Merrill Lynch became the latest to issue a report exploring what would happen if countries were to exit the euro and revert to their old currencies. If Spain, Italy, Portugal and France were to start printing their old money again today, their currencies would most likely weaken against the dollar, reflecting the relative weakness of their economies, Merrill Lynch calculated.
Ci sono anche delle bizzarrie in queste simulazioni. L'economia irlandese è in ripresa ma da qui a pensare che nel caso dell'uscita dall'euro la valuta salga ce ne passa:
Currencies in the stronger economies of Germany, the Netherlands and Ireland would probably rise against the dollar, according to the analysis.
In Asia, banks and regulators view the situation with growing alarm. Norman Chan, the chief executive of the Hong Kong Monetary Authority, said on Wednesday that regulators had stepped up their surveillance of banks’ exposure to Europe.
Regulators have been working with bank managers on stress tests to determine how the banks’ financial stability might be affected by an increasingly severe financial dislocation in Europe, said a Hong Kong banker who insisted on anonymity.
The main danger of a euro breakup, said Stephen Jen, managing partner at SLJ Macro Partners in London, is “redenomination risk,” the unpredictable effect that a euro breakup would have on financial assets as newly created currencies sought their own levels in the market and the value of contracts drawn up in euros came into question.
Most people hope that will not happen. “Remember when Lehman went bankrupt — nobody could anticipate what happened next,” said the French banker who was not authorized to speak publicly. “That was a company, not a country. If a country leaves the euro — multiply the Lehman effect by 10,” he said.
La settimana ha visto tutti gli asset seguiti da Alfa o Beta? chiudere in negativo: le strategie sono però tutte liquide e non ne hanno risentito. Senza nessuna pretesa di saggezza, manterrei una buona parte della liquidità in dollari (canadesi meglio ancora che U.S.A.).
Male anche l'indice SP500 (-2.6%) e l'indice immobiliare globale (-2.8%) mentre le materie prime hanno chiuso quasi invariate (-0.1%). Anche le variazioni di questi tre indici sono state calcolate in euro.
La classifica settimanale degli asset vede sempre al primo posto l'indice immobiliare globale, al secondo
sale l'indice delle materie prime CRB e al terzo posto il cambio euro/dollaro. Le ultime tre posizioni sono occupate rispettivamente dalle obbligazioni trentennali dell'eurozona, dall'indice SP500 e dall'indice Eurostoxx. Tutti gli asset hanno decisamente negativa sia la tendenza di medio periodo che quella di breve periodo. Tutte e tre le strategie seguite (top2, top3 e quella che investe il capitale dividendolo in parti uguali negli asset che hanno una tendenza di medio periodo positiva) investono al 100% in liquidità.
In questo post trovate le risposte ad alcune delle domande più frequenti relative alla metodologia che utilizzo per la costruzione della tabella e dei portafogli che aggiorno settimanalmente.
In questo post ho descritto quali ETF negoziati a Milano replicano (in positivo o in negativo) gli indici che sono settimanalmente tracciati qui su Alfaobeta. Se volete fare delle analisi da soli, in questo post ho spiegato come procurarsi gratuitamente le serie storiche dei prezzi e dei NAV degli ETF mentre qui potete trovare qualche informazione sui costi di transazione nel mercato dei cambi.
Dall'inizio del 2011 il rendimento (valutato in euro) di un portafoglio che ogni settimana investe nei primi 2 asset (top2) della tabella (se hanno la tendenza di medio periodo positiva, in liquidità altrimenti) è pari al
-15.1%, se investito nei primi tre asset (top3) il rendimento è stato del -7.9%.
Nell'intero 2009 le stessa strategie avevano reso rispettivamente il 12.2% e il 2.4% e nel 2010 il 22.4% e il 18.2%.
La strategia che investe negli asset con tendenza di medio periodo positiva ha avuto nel 2010 un rendimento pari al 12.1% e da inizio 2009 ad oggi ha reso il 17.1%, con un massimo drawdown pari al 9.2% e una volatilità del 10.5%. Il rendimento dal primo gennaio 2011 a oggi è stato negativo (-6.9%).
Nella figura è raffigurato l'andamento di un euro investito nelle tre strategie dal 3 gennaio 2009 ad oggi.
E' bene ricordare che i rendimenti calcolati non tengono neppure conto dei costi di transazione e del prelievo fiscale. Mi preme comunque sottolineare che le analisi e le simulazioni descritte in questo blog sono da considerarsi sempre e comunque risultati teorici e relativi al passato. Chiunque decidesse di utilizzare le strategie descritte o qualsiasi altra informazione tratta da questo blog per decisioni di investimento se ne assume completamente la responsabilità.
Ecco l'aggiornamento al 25 novembre 2011.
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