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Visualizzazione post con etichetta Fed. Mostra tutti i post
martedì 31 gennaio 2012
I bilanci delle banche centrali a confronto
sabato 8 ottobre 2011
L'atterraggio duro della Cina e la psicanalista di Ben Bernanke
Secondo Vitalyi Katsenelson il pericolo ora viene dalla Cina: prevede un hard landing da molti mesi, e i mercati se ne accorgeranno appena la situazione in Europa migliorerà.
Se Katsenelson vi ha convinto e vi state dimenticando dei problemi degli Stati Uniti allora siete pronti ad unirvi a Ben Bernanke nelle sue visite regolari a una psicanalista tanto acuta quanto spietata (che addirittura gli aumenta la parcella a fine seduta): il video lo trovate qui. Povero Ben!
"The market can only focus on one thing at a time," says well-known value investor Vitaliy Katsenelson, chief investment officer at Investment Management Associates.
"That's why nobody is talking about China or Japan because we are focused on Europe today," says Katsenelson. "The spotlight will be there when things get worse."
Katsenelson was an early adopter of China skepticism and has remained bearish on the country for more than a year. Today, the fact that China is slowing and struggling with inflation and over-capacity is a given. The debate is over how much the world's second largest economy will slow.
"The argument between hard landing and soft landing is going to be won by hard landing," Katsenelson says in the attached clip, pointing to the collapse in copper prices as "just the beginning."
Qui sotto potete sentire la sua opinione al riguardo
Se Katsenelson vi ha convinto e vi state dimenticando dei problemi degli Stati Uniti allora siete pronti ad unirvi a Ben Bernanke nelle sue visite regolari a una psicanalista tanto acuta quanto spietata (che addirittura gli aumenta la parcella a fine seduta): il video lo trovate qui. Povero Ben!
mercoledì 8 giugno 2011
Pane al pane, vino al vino....
Moody's non è convinta che un piano di rollover del debito sia un'altra cosa rispetto a un default...
Secondo l'agenzia di rating it is hard to say how a rollover could be deemed voluntary.
"If it's voluntary, then it falls outside the default definition," said Bart Oosterveld, head of the sovereign-risk group at Moody's. But he said: "It's hard to imagine in the current circumstances how it could be voluntary."
Speaking to reporters in Paris, Mr. Oosterveld said such a rollover "would likely constitute a credit event."
Ancora dal Wall Street Journal di oggi:
A Default by Any Other Name: History of Credit Crises Shows Countries' Experiences Vary Widely
Not all government debt defaults are created equal. A default—the failure of a creditor to repay a scheduled interest payment or capital repayment in full and on time—can occur with the consent of creditors or without. History shows defaults can deliver rapid benefits to a borrower or destroy confidence in its economy for years; they can shake the financial system, or not.
Although some options now being considered for Greece's bailout package would be defined as a default by the rating agencies, they wouldn't all force bondholders to take explicit losses—or "haircuts"—on their bonds. Many analysts believe, because of Greece's heavy debt burden, that such losses are highly likely in the years to come. But providing Greece gets more bailout money by Aug. 20, when €5.9 billion ($8.6 billion) of government bonds come due, many analysts say that, even if Greece's second bailout leads to a default, it shouldn't generate a financial crisis this year.
Whether a crisis follows default depends on the uncertainty generated in the financial system, the scale of the likely losses, and the financial strength of the holders of the debt. What happens to Greece this year is unlikely to come anywhere close to the panic generated in August 1982 by Mexico's announcement that it couldn't meet its debt obligations. (...)
Rating agency Moody's Investors Service lists 16 sovereign defaults of countries it has rated since 1983, the latest being Jamaica in early 2010. Its list doesn't include defaults by sovereign borrowers that it didn't rate.
Not all defaults end in long-term disaster. Take Uruguay. Contagion from Argentina led its neighbor to complete a distressed debt exchange in 2003. The exchange was announced on April 10; on May 16, Standard & Poor's lowered the rating to a "selective default," and on June 2, it raised the rating to B-minus, when the debt exchange was completed—on the basis that Uruguay's debt was more sustainable than before. The default lasted 17 days.
Mah...
...Comunque non è solo l'Europa ad avere qualche problema. Ieri negli U.S.A. il governatore della Fed Bernanke
ha sostenuto la tesi che il rallentamento in corso dell'economia sia solo temporaneo con segni di ripresa che dovrebbero essere già tangibili nel secondo semestre del 2011. Il discorso di Bernanke lo trovate qui.
I mercati sono stati così positivamente colpiti da perdere quasi l'1% in un'ora, forse anche perchè alcuni speculavano sull'annuncio di un possibile terzo round di quantitative easing e sono rimasti delusi:
Ma il clima non è dei migliori: ecco qui sotto il risultato di un sondaggio tra il lettori del WSJ
Secondo l'agenzia di rating it is hard to say how a rollover could be deemed voluntary.
"If it's voluntary, then it falls outside the default definition," said Bart Oosterveld, head of the sovereign-risk group at Moody's. But he said: "It's hard to imagine in the current circumstances how it could be voluntary."
Speaking to reporters in Paris, Mr. Oosterveld said such a rollover "would likely constitute a credit event."
Ancora dal Wall Street Journal di oggi:
A Default by Any Other Name: History of Credit Crises Shows Countries' Experiences Vary Widely
Not all government debt defaults are created equal. A default—the failure of a creditor to repay a scheduled interest payment or capital repayment in full and on time—can occur with the consent of creditors or without. History shows defaults can deliver rapid benefits to a borrower or destroy confidence in its economy for years; they can shake the financial system, or not.
The technical definition of default varies among credit-rating agencies, accountants and lawyers. And a default as defined by a rating agency isn't necessarily a "credit event" that would lead to payouts to holders of credit-default swaps, which are a form of insurance against nonpayment of debt.
Although some options now being considered for Greece's bailout package would be defined as a default by the rating agencies, they wouldn't all force bondholders to take explicit losses—or "haircuts"—on their bonds. Many analysts believe, because of Greece's heavy debt burden, that such losses are highly likely in the years to come. But providing Greece gets more bailout money by Aug. 20, when €5.9 billion ($8.6 billion) of government bonds come due, many analysts say that, even if Greece's second bailout leads to a default, it shouldn't generate a financial crisis this year.
Whether a crisis follows default depends on the uncertainty generated in the financial system, the scale of the likely losses, and the financial strength of the holders of the debt. What happens to Greece this year is unlikely to come anywhere close to the panic generated in August 1982 by Mexico's announcement that it couldn't meet its debt obligations. (...)
Rating agency Moody's Investors Service lists 16 sovereign defaults of countries it has rated since 1983, the latest being Jamaica in early 2010. Its list doesn't include defaults by sovereign borrowers that it didn't rate.
Not all defaults end in long-term disaster. Take Uruguay. Contagion from Argentina led its neighbor to complete a distressed debt exchange in 2003. The exchange was announced on April 10; on May 16, Standard & Poor's lowered the rating to a "selective default," and on June 2, it raised the rating to B-minus, when the debt exchange was completed—on the basis that Uruguay's debt was more sustainable than before. The default lasted 17 days.
Mah...
...Comunque non è solo l'Europa ad avere qualche problema. Ieri negli U.S.A. il governatore della Fed Bernanke
ha sostenuto la tesi che il rallentamento in corso dell'economia sia solo temporaneo con segni di ripresa che dovrebbero essere già tangibili nel secondo semestre del 2011. Il discorso di Bernanke lo trovate qui.
I mercati sono stati così positivamente colpiti da perdere quasi l'1% in un'ora, forse anche perchè alcuni speculavano sull'annuncio di un possibile terzo round di quantitative easing e sono rimasti delusi:
| Financial Times - UK Homepage |
Ma il clima non è dei migliori: ecco qui sotto il risultato di un sondaggio tra il lettori del WSJ
martedì 24 maggio 2011
Le pepite d'oro al posto della carta di credito
Nello stato dello Utah è ora possibile andare a fare shopping e pagare direttamente in oro o in argento! Sarà contento Zio Paperone! La settimana scorsa è stata approvata una legge che rende legale l'impiego nei pagamenti dei due metalli preziosi al posto delle banconote, considerati un bene rifugio sia dai rischi di inflazione che da quelli di collasso del sistema finanziario dovuti a deflazione e rischio sistemico: In the short run, gold can be a safe haven in a time of crisis. We don't know what the next crisis will be, but we have seen plenty of "black swan" events over the past two years alone; our markets and our world seem increasingly hard-wired to experience periods of crisis and calm. In this sense, gold can be seen as a short-term hedge, or a short-term speculative play on volatility.
Some may say that we're heading for a period of stability, but that's hard to believe. The Fed is desperately trying to stimulate the economy. Housing prices remain weak. Unemployment remains high. On the political side, the Middle East has been far from stable in recent weeks. We have learned from the past three years that events can move extremely quickly in our increasingly interconnected world. Stability will be more and more fleeting—perhaps permanently.
In the longer term, gold is a good way to invest in expectation of higher inflation—a growing possibility. As governments battle debt problems and central banks intervene on their behalf, we could very well see deliberate weakening of currencies in many developed countries. Why use gold, rather than some other inflation hedge? Simplicity. Gold can be easily held in most portfolios...
Apparentemente la legge introdotta in Utah non è il preludio a un ritorno allo standard aureo per la valuta USA:
...the Utah State Representative Brad Galvez who introduced the bill in protest of the Fed's monetary policy. "We're too far down the road to go back to the gold standard," Galvez said. "This will move us toward an alternative currency."
Utah is not alone in this desire for an alternative to the weakening U.S. dollar. There are about nine other states considering similar laws, including North Carolina and Idaho.
Attenzione però: per il momento la legge non obbliga i negozianti ad accettare pepite d'oro o d'argento come forma di pagamento: bisogna almeno lasciare il tempo perchè si attrezzino con le bilance di precisione e con altri strumenti per verificarne il titolo. Altrimenti si ricomincia con il quantitative easing vecchio stile, in cui semplicemente si limavano le monete oppure si impiegavano leghe sempre più povere d'oro. Qui sotto un video sulla legge introdotta nello Utah
giovedì 28 aprile 2011
Requiem for a dream? Bernanke, i giornalisti e il dollaro
Ieri Bernanke ha tenuto la prima storica conferenza stampa dopo la riunione del FOMC della Fed:
nel video qui sotto, tratto dal sito web del Wall Street Journal, lo potete vedere intento a rispondere
a un giornalista e a spiegare come la fine del secondo round di quantitative easing (QE2) dovrebbe avere un impatto limitato sui mercati mobiliari e a difenderne l'efficacia, messa in discussione da più parti.
Ancora dal WSJ: How much further can the dollar plummet?
L'accostamento della foto di Bernanke ai grafici della discesa del biglietto verde non ha bisogno di commenti: la debolezza del dollaro è dovuta alla politica monetaria ultra-accomodante della Fed. La conferenza stampa di ieri sembra segnarne il requiem e la fine del QE2 non dovrebbe cambiare la situazione:
While the money printing is finally scheduled to end in June, the Fed still plans an extended period of low rates. Meanwhile, central banks elsewhere are firmly in rate-raising mode, including the European Central Bank, which seems determined to burnish its inflation-busting credentials. A big yield differential between the U.S. and Europe could open up.
Another negative is international capital flows. U.S. investors have been stepping up purchases of foreign stocks, and foreign central-bank reserve managers are diversifying holdings. Central banks' purchases of foreign currency added $248 billion to reserves in the first quarter. But official flows into U.S. dollar assets are far limper compared with that, according to Nomura. China, in particular, has signaled support for the euro and euro-zone bonds.
There also is the risk of further dollar weakness if it starts to reflect fiscal concerns, as the euro did last year. Washington has shown little evidence of its ability to agree to a coherent plan to tame the runaway deficit.
The danger is chasing the dollar down this apparent one-way street. The biggest threat to the conventional wisdom is the potential for a dip in risk appetite. That might be sparked by the end of quantitative easing, or a more serious resurgence in the euro-zone debt crisis, particularly if it threatened Spain. A risk-off trade likely would cause a dollar spike on safe-haven flows and investors closing short-dollar bets.
But even that likely would be temporary.
Dedicato alla crisi del dollaro e alla malinconica icona di Bernanke: il trailer di Requiem for a dream? dal regista di π - Il teorema del delirio (un cult movie per chi, come me, ama la matematica e i mercati finanziari)
nel video qui sotto, tratto dal sito web del Wall Street Journal, lo potete vedere intento a rispondere
a un giornalista e a spiegare come la fine del secondo round di quantitative easing (QE2) dovrebbe avere un impatto limitato sui mercati mobiliari e a difenderne l'efficacia, messa in discussione da più parti.
L'accostamento della foto di Bernanke ai grafici della discesa del biglietto verde non ha bisogno di commenti: la debolezza del dollaro è dovuta alla politica monetaria ultra-accomodante della Fed. La conferenza stampa di ieri sembra segnarne il requiem e la fine del QE2 non dovrebbe cambiare la situazione:
While the money printing is finally scheduled to end in June, the Fed still plans an extended period of low rates. Meanwhile, central banks elsewhere are firmly in rate-raising mode, including the European Central Bank, which seems determined to burnish its inflation-busting credentials. A big yield differential between the U.S. and Europe could open up.
Another negative is international capital flows. U.S. investors have been stepping up purchases of foreign stocks, and foreign central-bank reserve managers are diversifying holdings. Central banks' purchases of foreign currency added $248 billion to reserves in the first quarter. But official flows into U.S. dollar assets are far limper compared with that, according to Nomura. China, in particular, has signaled support for the euro and euro-zone bonds.
There also is the risk of further dollar weakness if it starts to reflect fiscal concerns, as the euro did last year. Washington has shown little evidence of its ability to agree to a coherent plan to tame the runaway deficit.
The danger is chasing the dollar down this apparent one-way street. The biggest threat to the conventional wisdom is the potential for a dip in risk appetite. That might be sparked by the end of quantitative easing, or a more serious resurgence in the euro-zone debt crisis, particularly if it threatened Spain. A risk-off trade likely would cause a dollar spike on safe-haven flows and investors closing short-dollar bets.
But even that likely would be temporary.
Dedicato alla crisi del dollaro e alla malinconica icona di Bernanke: il trailer di Requiem for a dream? dal regista di π - Il teorema del delirio (un cult movie per chi, come me, ama la matematica e i mercati finanziari)
mercoledì 15 dicembre 2010
Il dibattito sul Quantitiative Easing 2 e sul gioco in anticipo della Fed
Dalle colonne del Wall Street Journal Jeremy Siegel si lancia in un'appassionata difesa della politica della Fed (una versione leggermente più estesa dell'articolo era comparsa qualche giorno fa su Yahoo Finance). Secondo Siegel
The recent surge in long-term Treasury yields has led many to say that the Fed's second round of quantitative easing is a failure. The critics predict that QE2 may end up hurting rather than helping the economic recovery, as higher rates nip in the bud any rebound in the housing market and dampen capital spending. But the rise in long-term Treasury rates does not signal that the Fed's policy has backfired. It is a sign that the Fed's policy is succeeding.
Long-term Treasury rates are influenced positively by economic growth—which encourages consumers to borrow in anticipation of higher incomes and causes firms to seek funds to expand capacity—and by inflationary expectations. Long-term Treasury rates are affected negatively by risk aversion: Seeking a safe haven, investors pile into Treasury bonds, running up their prices and lowering their yields.
The Fed's QE2 program has raised expectations of growth and inflation, sending long-term Treasury rates up. It has also lowered risk aversion, which implies rising long-term rates. The evidence for a decline in risk aversion among investors is the shrinkage in the spreads between Treasury and other fixed-income securities, the strong performance of the stock market, and the decline in VIX, the indicator of future stock-market volatility. This means that expectations of accelerating economic growth—and a reduction in the fear of a double-dip recession—are the driving forces behind the rise in rates.
Siegel fa appello alle lezioni di Friedman per dare ancora maggiore autorità alla sua tesi e riprende i commenti del grande economista di Chicago sulla politica monetaria durante la Grande Depressione e sulla crisi inflazionistica degli anni Settanta:
I remember him stressing that the extremely low interest rates of the early 1930s were not indicative of an easy monetary policy. They were instead the result of the Fed's drastically tight policy, which did not provide enough reserves to failing banks and drove the economy into the Great Depression.
Similarly, the double-digit interest rates that we witnessed in the 1970s were not indicative of the Fed's brave stance against inflation but of a far-too-easy policy that inflated the money supply and heightened inflationary expectations.
Il punto fondamentale di Siegel è che occorre tenere conto anche dei dati relativi alla crescita economica nel giudicare l'andamento dei tassi di interesse e l'efficacia della politica della Fed:
But monetary tightening will only begin if the pace of the economic recovery accelerates significantly next year, which I believe is increasingly likely.
We should not look only at interest rates to judge whether monetary policy is working. Indeed, in the present situation, if long-term rates were not rising, it would be a sign that the economy is in serious trouble—a sign that investors are worried about deflation and a decline in economic activity.
Nello stesso giorno in cui il WSJ dà spazio alla difesa di Siegel, il New York Times dedica invece un articolo a Thomas Hoenig, presidente della Federal Reserve Bank di Kansas City prossimo alla pensione e da sempre l'oppositore numero uno all'interno del FOMC di Bernanke e della sua politica espansiva. La tesi di Hoenig è semplice:
If it were up to him, he would keep interest rates very low, but would not promise to keep them at essentially zero for “an extended period,” as the Fed has announced. He says he thinks that trying to lower long-term rates, as the Fed is doing by buying bonds, is a mistake. The recovery, however slow and painful, he says, cannot be hurried.
As the longest-serving regional Fed president, his views are shaped by the uncontrolled inflation of the 1970s, the spike in land prices that followed and the ensuing banking and thrift crises.
To him, Mr. Bernanke’s plan is “a dangerous gamble” and “a bargain with the devil,” strong words that have rankled some officials of the Fed, where dissent is tolerated but not celebrated.
Intanto proprio ieri sera la Fed ha deciso di mantenere i tassi invariati e proseguire l'acquisto di obbligazioni del Tesoro U.S.A. (il QE2): qui potete leggere il comunicato ufficiale nel quale si legge
To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to continue expanding its holdings of securities as announced in November. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month. (...)
The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels for the federal funds rate for an extended period.
The Committee will continue to monitor the economic outlook and financial developments and will employ its policy tools as necessary to support the economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.
La decisione è stata unanime, beh...quasi unanime, con un solo voto contrario...sapete già di chi.
Per concludere vi segnalo inoltre l'articolo di Mario Platero su Plus24 di sabato scorso (L'Europa non gioca d'anticipo, a pag. 12 del supplemento): arrabbiato con il no della Merkel sia alla proposta degli E-Bond di Tremonti e Juncker sia a quella di Strauss Kahn e Trichet per l'ampliamento del meccanismo di salvataggio europeo, giustamente Platero osserva come la "divergenza transatlantica" raggiunge un punto di svolta: l'America si muove, l'Europa sta ferma. Secondo Platero la differenza principale è nel tentativo della politica U.S.A. di anticipare e governare il ciclo economico. Platero vede un legame tra la decisione di fine agosto della Fed di lanciare una seconda fase di Quantitative Easing e l'accordo bipartisan di qualche giorno fa per prolungare i tagli di Bush. Conclude infatti in questo modo il suo articolo: C'è una raffinatezza nella combinazione dell'operazione di stimolo americana: i 600 miliardi di dollari che la Fed utilizzerà per interventi sui mercati obbligazionari servivano a tenere i tassi bassi a medio termine. Il QE2 (...) annunciato sei o sette settimane da e preannunciato molto prima sembrava ridondante: i tassi erano comunque bassi, li si voleva abbassare di più? No, era chiaro che con i nuovi 900 miliardi di dollari di riduzioni fiscali accordate il 6 dicembre, ci sarebbero state pressioni al rialzo sui tassi a dieci anni. E dunque la Fed ha giocato d'anticipo. Perchè in Europa non lo facciamo mai?
The recent surge in long-term Treasury yields has led many to say that the Fed's second round of quantitative easing is a failure. The critics predict that QE2 may end up hurting rather than helping the economic recovery, as higher rates nip in the bud any rebound in the housing market and dampen capital spending. But the rise in long-term Treasury rates does not signal that the Fed's policy has backfired. It is a sign that the Fed's policy is succeeding.
Long-term Treasury rates are influenced positively by economic growth—which encourages consumers to borrow in anticipation of higher incomes and causes firms to seek funds to expand capacity—and by inflationary expectations. Long-term Treasury rates are affected negatively by risk aversion: Seeking a safe haven, investors pile into Treasury bonds, running up their prices and lowering their yields.
The Fed's QE2 program has raised expectations of growth and inflation, sending long-term Treasury rates up. It has also lowered risk aversion, which implies rising long-term rates. The evidence for a decline in risk aversion among investors is the shrinkage in the spreads between Treasury and other fixed-income securities, the strong performance of the stock market, and the decline in VIX, the indicator of future stock-market volatility. This means that expectations of accelerating economic growth—and a reduction in the fear of a double-dip recession—are the driving forces behind the rise in rates.
Siegel fa appello alle lezioni di Friedman per dare ancora maggiore autorità alla sua tesi e riprende i commenti del grande economista di Chicago sulla politica monetaria durante la Grande Depressione e sulla crisi inflazionistica degli anni Settanta:
I remember him stressing that the extremely low interest rates of the early 1930s were not indicative of an easy monetary policy. They were instead the result of the Fed's drastically tight policy, which did not provide enough reserves to failing banks and drove the economy into the Great Depression.
Similarly, the double-digit interest rates that we witnessed in the 1970s were not indicative of the Fed's brave stance against inflation but of a far-too-easy policy that inflated the money supply and heightened inflationary expectations.
Il punto fondamentale di Siegel è che occorre tenere conto anche dei dati relativi alla crescita economica nel giudicare l'andamento dei tassi di interesse e l'efficacia della politica della Fed:
But monetary tightening will only begin if the pace of the economic recovery accelerates significantly next year, which I believe is increasingly likely.
We should not look only at interest rates to judge whether monetary policy is working. Indeed, in the present situation, if long-term rates were not rising, it would be a sign that the economy is in serious trouble—a sign that investors are worried about deflation and a decline in economic activity.
Nello stesso giorno in cui il WSJ dà spazio alla difesa di Siegel, il New York Times dedica invece un articolo a Thomas Hoenig, presidente della Federal Reserve Bank di Kansas City prossimo alla pensione e da sempre l'oppositore numero uno all'interno del FOMC di Bernanke e della sua politica espansiva. La tesi di Hoenig è semplice:
If it were up to him, he would keep interest rates very low, but would not promise to keep them at essentially zero for “an extended period,” as the Fed has announced. He says he thinks that trying to lower long-term rates, as the Fed is doing by buying bonds, is a mistake. The recovery, however slow and painful, he says, cannot be hurried.
As the longest-serving regional Fed president, his views are shaped by the uncontrolled inflation of the 1970s, the spike in land prices that followed and the ensuing banking and thrift crises.
To him, Mr. Bernanke’s plan is “a dangerous gamble” and “a bargain with the devil,” strong words that have rankled some officials of the Fed, where dissent is tolerated but not celebrated.
Intanto proprio ieri sera la Fed ha deciso di mantenere i tassi invariati e proseguire l'acquisto di obbligazioni del Tesoro U.S.A. (il QE2): qui potete leggere il comunicato ufficiale nel quale si legge
To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to continue expanding its holdings of securities as announced in November. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month. (...)
The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels for the federal funds rate for an extended period.
The Committee will continue to monitor the economic outlook and financial developments and will employ its policy tools as necessary to support the economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.
La decisione è stata unanime, beh...quasi unanime, con un solo voto contrario...sapete già di chi.
Per concludere vi segnalo inoltre l'articolo di Mario Platero su Plus24 di sabato scorso (L'Europa non gioca d'anticipo, a pag. 12 del supplemento): arrabbiato con il no della Merkel sia alla proposta degli E-Bond di Tremonti e Juncker sia a quella di Strauss Kahn e Trichet per l'ampliamento del meccanismo di salvataggio europeo, giustamente Platero osserva come la "divergenza transatlantica" raggiunge un punto di svolta: l'America si muove, l'Europa sta ferma. Secondo Platero la differenza principale è nel tentativo della politica U.S.A. di anticipare e governare il ciclo economico. Platero vede un legame tra la decisione di fine agosto della Fed di lanciare una seconda fase di Quantitative Easing e l'accordo bipartisan di qualche giorno fa per prolungare i tagli di Bush. Conclude infatti in questo modo il suo articolo: C'è una raffinatezza nella combinazione dell'operazione di stimolo americana: i 600 miliardi di dollari che la Fed utilizzerà per interventi sui mercati obbligazionari servivano a tenere i tassi bassi a medio termine. Il QE2 (...) annunciato sei o sette settimane da e preannunciato molto prima sembrava ridondante: i tassi erano comunque bassi, li si voleva abbassare di più? No, era chiaro che con i nuovi 900 miliardi di dollari di riduzioni fiscali accordate il 6 dicembre, ci sarebbero state pressioni al rialzo sui tassi a dieci anni. E dunque la Fed ha giocato d'anticipo. Perchè in Europa non lo facciamo mai?
venerdì 15 ottobre 2010
Riusciranno i nostri eroi a salvare il mondo? Punti di vista a confronto in attesa del discorso di Bernanke
C'è grande attesa per il discorso di oggi di Bernanke: ogni parola sarà attentamente soppesata, e il dollaro, l'oro e i mercati azionari si muoveranno di conseguenza (almeno in teoria...). Ecco due letture per ingannare l'attesa:
Ecco come vede Weldon le prospettive di obbligazioni, valute e materie prime:
we remain … bullish on Gold and Silver, along with the precious metals mining share indexes and ETFs …
… we remain … bearish on the US Dollar and the British Pound, relative to both the Japanese Yen and the Eurocurrency …
… while also remaining … bullish on a host of Asian currencies.
Further, we remain bullish on emerging Asian ‘tigers’, with focus on Malaysia, Indonesia, the Philippines, Singapore, Thailand, and Taiwan.
Also, we remain bullish on select commodities, with focus on Corn, Cotton, Sugar, Copper, and Aluminum
And, of course … we remain bullish on the US Treasury market, with focus on the ‘mid-curve’ maturities, in line with our expectation that a compression in the Yield Curve will intensify, perhaps dramatically.
- dal Wall Street Journal di ieri un articolo significativamente intitolato For Fed, Risks of Goosing Market Are Worth It. Al momento la cosa sembra funzionare, il fois gras ha sempre i suoi estimatori, anche oltreoceano: So the Fed hopes to chase investors out of Treasurys into other, riskier securities. Like stocks. That seems plausible. Since Mr. Bernanke confirmed on Aug. 27 that the Fed was thinking about QE2, the Dow Jones Industrial Average has risen more than 10% and the yield on 10-year Treasurys has fallen. If markets thought the economy was getting better, stocks and bond yields would be up. The unusual combination is seen by the Fed as confirmation that QE2 might work as hoped. Higher stock prices, it figures, make households richer and business executives perkier. The Fed hopes they'll spend more as a result. That's not the whole story. When the Fed prints more dollars, the price of dollars falls—in euros, yen, Brazilian reais. That's not the Fed's chief objective, but it's a fact. A cheaper dollar makes U.S. exports more attractive, and helps the U.S. export more while American shoppers are spending less. Two problems: One, no one else, especially the Chinese, is volunteering to let their currency rise against the dollar. Two, a cheaper dollar tends to mean higher oil prices. Still, the models on which the Fed relies suggest a weaker dollar is a net plus for U.S. growth. (...) OK, if this is such a good idea, why so much hesitancy and controversy? Because no one is sure it'll work, and everyone knows there'll be unwelcome, unintended consequences. The first round of QE was easier: The economy was collapsing. "Additional monetary adventurism at this point has to be thought of very carefully," says the University of Chicago's Raghuram Rajan, a QE2 skeptic. Among the risks: One, the more bonds the Fed buys, the harder it'll be to sell them someday without shaking up the markets and the economy, a major worry for some at the Fed, less so for Mr. Bernanke. (...)Mr. Bernanke and QE2 skeptics have the same list of benefits and risks, but weigh them differently. He thinks the risks are worth taking to avoid what might otherwise be years of stagnation, unemployment and deflation jitters.
- Secondo Greg Weldonsi sta chiedendo troppo alla Fed. Tra i numerosi grafici della sua lunga analisi delle scelte di politica monetaria americana ho scelto di riprodurne uno qui, che mi è sembrato particolarmente interessante per gli investitori:
Ecco come vede Weldon le prospettive di obbligazioni, valute e materie prime:
we remain … bullish on Gold and Silver, along with the precious metals mining share indexes and ETFs …
… we remain … bearish on the US Dollar and the British Pound, relative to both the Japanese Yen and the Eurocurrency …
… while also remaining … bullish on a host of Asian currencies.
Further, we remain bullish on emerging Asian ‘tigers’, with focus on Malaysia, Indonesia, the Philippines, Singapore, Thailand, and Taiwan.
Also, we remain bullish on select commodities, with focus on Corn, Cotton, Sugar, Copper, and Aluminum
And, of course … we remain bullish on the US Treasury market, with focus on the ‘mid-curve’ maturities, in line with our expectation that a compression in the Yield Curve will intensify, perhaps dramatically.
La guerra delle valute, il quantitative easing e il prezzo del grano
L'Economist appena uscito dedica la copertina alla guerra delle valute, insieme a due articoli di commento che potete leggere qui e qui.
Il tema dei cambi si intreccia con quello del quantitative easing promesso dalla Fed per sostenere una crescita U.S.A. che non riesce a creare occupazione.
Ma nessuno sa se lo scopo che la Fed si prefigge sia realistico: qui potete leggere l'opinione dell'Economist sull'argomento, mentre qui trovate un articolo del Wall Street Journal che ancora una volta mette in guardia gli investitori sui rischi associati alle obbligazioni con lunga scadenza, se l'inflazione dovesse finalmente fare di nuovo capolino, e con essa un rialzo dei tassi. Scrive il WSJ:
Of course, quantitative easing mightn't succeed in triggering core price inflation, at least in the short term. The impact may be simply to inflate the price of financial-sector assets and commodities, rather than driving activity in the real economy. Over time, policy makers seem to hope that asset-price inflation will boost confidence and encourage risk-taking. They ultimately have the power to generate inflation if they choose and seem willing to err on the side of doing too much rather than too little.
The policy carries huge risks. But price rises for gold and inflation-linked bonds suggest a return to inflation is starting to be baked in. Tipping the balance toward inflation should boost the allure of equities as real assets over bonds as nominal assets. And yet, so far flows into bonds have shown little sign of slowing: U.S. equity mutual funds saw $19 billion of outflows in September, while bond funds saw $32 billion of inflows, data from the Investment Company Institute show.
Long-dated U.S. Treasury investors can salivate at the prospect of the price-insensitive Fed increasing its purchases, even with yields already at rock-bottom levels. But if the central bank does succeed in juicing inflation, anybody left holding the bonds is in for a rude awakening.
Oltre ai prezzi dell'oro e ai tassi di interesse in molti tengono d'occhio i prezzi delle materie prime. Negli ultimi giorni si è assistito a un netto rialzo dei prodotti agricoli, con il future sul grano che ha guadagnato oltre il 20% in una manciata di giorni. Secondo l'Economist i prezzi sono destinati a rimanere volatili per lungo tempo: China, which needs corn to fatten its vast population of pigs, is one source of support. Its assurances that home-grown supplies are adequate conflicts with evidence that it is importing large quantities of corn for the first time in 15 years. American regulators are set to raise the proportion of ethanol in fuel to 15%, which may buttress prices. The fact that prices for other crops such as soyabeans and wheat are also bubbling makes it difficult for farmers to judge which will be the most profitable crop to sow for next season, which may hamper an immediate supply response.
Price volatility could be a more permanent feature of agriculture. The concentration of farming in a few big countries means that a hungry world is dependent for its food on stable production patterns in a small number of places. Whether Russian wheat or American corn, problems in one country can send shock waves through global markets.
martedì 28 settembre 2010
Il dollaro, la Fed e la corsa all'oro
If banks are not lending now, with what seems like lots of reserves, then what is to make us think that another $2 trillion in QE will make them feel like they have too much money in their vaults?
If it is because they don't have enough capital, then adding liquidity to the system will not help that. If it is because they don't feel they have creditworthy customers, do we really want banks to lower their standards? Isn't that what got us into trouble last time? If it is because businesses don't want to borrow all that much because of the uncertain times, will easy money make that any better? As someone said, "I don't need more credit, I just need more customers."How much of an impact would $2 trillion in QE give us? Not much, according to former Fed governor Larry Meyer, who, according to Morgan Stanley, "...maintains a large-scale macro-econometric model of the US economy that is widely used in the private sector and in public policy-making circles. These types of models are good for running 'what if?' simulations. Meyer estimates that a $2 trillion asset purchase program would: 1) lower Treasury yields by 50bp; 2) increase GDP growth by 0.3pp in 2011 and 0.4pp in 2012; and 3) lower the unemployment rate by 0.3pp by the end of 2011 and 0.5pp by the end of 2012. However, Meyer admits that these may be 'high-end estimates'.
"Some probability of a resumption of asset purchases is already priced in, and thus a full 50bp response in Treasuries is unlikely. Moreover, a model such as Meyer's is based on normal historical relationships and therefore assumes that the typical transmission mechanisms are working. For example, a drop in Treasury yields would lower borrowing costs for consumers and businesses, helping to stimulate consumption, business investment and housing. But there is good reason to believe that the transmission mechanism is at least partially broken at present, and thus the pass-through benefit to the economy associated with a small decline in Treasury yields (relative to current levels) would likely be infinitesimal." (Morgan Stanley)
Mentre l'effetto diretto del QE sull'economia U.S.A. sembra essere discutibile, l'effetto sul dollaro è lampante, e Mauldin maliziosamente insinua che possa essere questo il vero obiettivo della Fed:
That is not much bang for the buck, so to speak, but it would be pointing a gun with a very big bang at the valuation of the dollar. If QE were attempted on that scale, it would not be good for the dollar. My call for the pound and the euro to go to parity with the dollar would be out the window for some time, and maybe for good.
Now, if the strategy is to lower the dollar, then QE might make some sense; but of course no one would admit to that, not when we are accusing other countries of manipulating their currencies (as in China). No, we would just be fighting deflation. The fact that the dollar dropped would just be a coincidence, a necessary but sad thing in the important fight against deflation. (Please note tongue firmly in cheek. Not you, of course, but some other readers sometimes miss my sarcasm.)
Se non vi sentite pronti a speculare sul mercato valutario, e avete una qualche esposizione ai dollari che volete coprire, l'hedge naturale è sicuramente l'oro, che sembra guadagnare a ogni incertezza del quadro macroeconomico (dollaro, debito sovrano, inflazione, ecc.). Secondo il Wall Street Journal la prossima tappa è quota 1300 (dollari l'oncia):
Gold continued its record run and moved closer to $1,300 an ounce on the Federal Reserve's acknowledgment it was ready to do more to stimulate the U.S. economy.
The dollar weakened sharply after the Fed's Tuesday statement on the view that more purchases of assets such as Treasurys would inject more cash into the economy and devalue the greenback.
The Fed's willingness to, in its words, "provide additional accommodation," widely interpreted as a stance toward a looser money policy, underscores the bank's grim assessment of the economy's health. This, together with other central banks' measures to intervene in markets, has pushed investors into the relative security of gold.
"There appears to be little in the way of factors that could negatively impact the gold market in the coming months," said BNP Paribas analyst Anne-Laure Tremblay. (...)
Many investors have been recently targeting $1,300. September historically is a strong month for the metal, as it is underpinned by high demand from Asia during festival and wedding seasons there.(...)
American Precious Metals Advisors Managing Director Jeffrey Nichols said he sees "no end in sight" for the gold rally, reiterating his view that prices could reach $1,500 by year end, with higher prices likely in the years ahead.
J.P. Morgan Chase fund manager Ian Henderson, who manages $7 billion in natural-resource assets, said he is positive on gold, having increased his fund's exposure to 38% from 32% six months ago.
Mr. Henderson, who said it wouldn't be unrealistic to suggest prices may reach $1,350 before year end, has been gradually increasing his exposure to the metal on the back of both its steady price advance and a more-robust performance by many gold miners.
Calyon Credit Agricole has also raised its three-month outlook, up to a high of $1,350, from a previous forecast of $1,260. But analyst Robin Bhar continues to expect a pullback in prices in the longer term.
"I suppose we have become more bullish in the short-term because of the possibility of quantitative easing," Bhar said. "But beyond that the result of the stimulus should be stronger growth. The middle of next year we should also see a rebound in the dollar and that is definitely going to moderate some of the bullishness in the market."
lunedì 16 agosto 2010
Krugman e Siegel all'attacco di Bernanke, ovvero le indecisioni della Fed
Povero Bernanke! Non c'è più solo Krugman ad accusarlo di paralisi ma anche Jeremy Siegel accusa la Fed di non fare abbastanza per sostenere la crescita dell'economia U.S.A. Secondo Krugman America’s current economic troubles aren’t exactly identical to those of Japan in 1999-2000: Japan was experiencing outright deflation, while we aren’t — yet. But inflation is well below the Fed’s target of around 2 percent, and it is continuing to slide. And Americans face a level of unemployment, and sheer human misery, far worse than anything Japan went through.
Yet the Fed is doing almost nothing to confront these troubles.
What could the Fed be doing? Back when, Mr. Bernanke suggested, among other things, that the Bank of Japan could get traction by buying large quantities of “nonstandard” assets — that is, assets other than the short-term government debt central banks normally hold. The Fed actually put that idea into practice during the most acute phase of the financial crisis, acquiring, in particular, large amounts of mortgage-backed securities. However, it stopped those purchases in March.
Since then, the economic news has grown steadily worse. And earlier this week, the Fed changed course — but barely. It now says that it will reinvest the proceeds from maturing securities in long-term government bonds. That’s a trivial change, basically the least the Fed could get away with without facing a firestorm of criticism — and far short of the major asset-purchase program the Fed should be undertaking.
A differenza della Banca Centrale Europea uno degli obiettivi statutari della Federal Riserve Bank è promuove la massima occupazione. Da qui l'accusa senza mezzi termini di Krugman: while the Fed sits there in its self-inflicted paralysis, millions of Americans are losing their jobs, their homes and their hopes for the future.
La prosa di Siegel è meno appassionata ma la sostanza è più o meno la stessa. Per cominciare The Fed’s move on August 10 to “keep the balance sheet of the central bank stable” and offset the run-off of mortgage-backed securities with Treasury purchases was just a baby step. Much stronger measures can and should be taken to combat the economic slowdown. Secondo Siegel la Fed dovrebbe ridurre a zero i tassi di interesse che paga sulle riserve bancarie e riprendere la strategia di quantitative easing espandendo le riserve del sistema bancario. Il meccanismo è ben illustrato dallo stesso Siegel: Banks hold large excess reserves because they wish to show regulators and investors a high level of liquidity.
This does not mean that banks would hold unlimited excess reserves. In fact, banks are not happy earning near zero interest on these reserves, nor are investors satisfied with similar rates on their money market funds. Placing more zero-interest reserves into the banking system will tempt more banks to make loans where the profit margin is much higher.
Although the Fed’s main policy tool, the Fed Funds rate, works on short-term interest rates, QE has the potential to lower longer-term rates, especially if the asset purchases are concentrated in long-dated securities.
Yet the Fed is doing almost nothing to confront these troubles.
What could the Fed be doing? Back when, Mr. Bernanke suggested, among other things, that the Bank of Japan could get traction by buying large quantities of “nonstandard” assets — that is, assets other than the short-term government debt central banks normally hold. The Fed actually put that idea into practice during the most acute phase of the financial crisis, acquiring, in particular, large amounts of mortgage-backed securities. However, it stopped those purchases in March.
Since then, the economic news has grown steadily worse. And earlier this week, the Fed changed course — but barely. It now says that it will reinvest the proceeds from maturing securities in long-term government bonds. That’s a trivial change, basically the least the Fed could get away with without facing a firestorm of criticism — and far short of the major asset-purchase program the Fed should be undertaking.
A differenza della Banca Centrale Europea uno degli obiettivi statutari della Federal Riserve Bank è promuove la massima occupazione. Da qui l'accusa senza mezzi termini di Krugman: while the Fed sits there in its self-inflicted paralysis, millions of Americans are losing their jobs, their homes and their hopes for the future.
La prosa di Siegel è meno appassionata ma la sostanza è più o meno la stessa. Per cominciare The Fed’s move on August 10 to “keep the balance sheet of the central bank stable” and offset the run-off of mortgage-backed securities with Treasury purchases was just a baby step. Much stronger measures can and should be taken to combat the economic slowdown. Secondo Siegel la Fed dovrebbe ridurre a zero i tassi di interesse che paga sulle riserve bancarie e riprendere la strategia di quantitative easing espandendo le riserve del sistema bancario. Il meccanismo è ben illustrato dallo stesso Siegel: Banks hold large excess reserves because they wish to show regulators and investors a high level of liquidity.
This does not mean that banks would hold unlimited excess reserves. In fact, banks are not happy earning near zero interest on these reserves, nor are investors satisfied with similar rates on their money market funds. Placing more zero-interest reserves into the banking system will tempt more banks to make loans where the profit margin is much higher.
Although the Fed’s main policy tool, the Fed Funds rate, works on short-term interest rates, QE has the potential to lower longer-term rates, especially if the asset purchases are concentrated in long-dated securities.
martedì 10 agosto 2010
Che farà la Fed oggi?
La decisione sui tassi e sulla ripresa (o meno) del Quantitative Easing sarà resa nota a momenti. Intanto c'è chi auspica che i tassi siano alzati...
Lo stesso analista forse se lo augura anche perchè ha previsto e prevede che il Dow Jones perda il 20% assestandosi intorno a quota 8500: state a sentire
Lo stesso analista forse se lo augura anche perchè ha previsto e prevede che il Dow Jones perda il 20% assestandosi intorno a quota 8500: state a sentire
martedì 1 giugno 2010
I crash passati, presenti e purtroppo anche quelli futuri...
E' sempre confortante (o sconsolante, dipende dall'umore del momento) sapere che la storia si ripete: non dimenticherò il flash crash del 6 maggio mentre il 28 maggio del 1962 non ero ancora nato. Scrive Jason Zweig: Some of the parallels between the two flash crashes are uncanny.
In this year's crash, many trades, especially in exchange-traded funds, went off at prices wildly different from the orders investors had placed. Likewise, in 1962, "some orders were executed at prices substantially different from those which prevailed when the order was entered," an investigative report by the Securities and Exchange Commission noted the following year.
Some high-frequency traders, which use powerful computers to make markets in stocks, stopped trading in this year's flash crash at the very moments when the market needed liquidity most urgently.
In 1962, high-frequency trading didn't exist, but "specialists" did. By law, specialists were obligated to try to maintain a fair and orderly market for each stock on the floor of the exchange. However, concluded the SEC's report, "At no time during the day did the specialist intervene in sufficient volume to slow the rapid deterioration of the market in IBM."
Even without the Internet, fear spread quickly in 1962. Investors piled into brokerage firms' "board rooms," where wall-mounted boards displayed market prices. "It was standing room only at Merrill Lynch, Pierce, Fenner & Smith," reported the Journal, "with spectators lined up three or four deep in the customers' gallery there."
As the SEC report noted a year later, "The markets' erratic behavior prompted concern and caused bewilderment at home and abroad. The frenetic activity of the break resulted in large and sudden losses for many and gains for some … this break had a strong and immediate psychological impact upon the Nation."
Ancora dal Wall Street Journal e ancora sul flash crash del 6 maggio vi segnalo questo articolo di Mark Spitznagel, fondatore dell'hedge fund Universa (di cui Taleb è consulente). Universa è stato chiamato in causa per un ordine immesso pochi istanti prima del crash. Spitznagel chiama invece in causa ... la Fed, sostenendo che la politica di bassi tassi di interesse rende il sistema intrinsecamente più instabile e più fragile. Non credo che il signor Spitznagel sia esente dal bisogno di tutelare il buon nome del suo fondo, ma le sue argomentazioni non sono prive di senso:
Regulators have been busy searching for the cause of the May 6 "flash crash" when the market dropped by 9.3% and then recovered within minutes. I think it's a good bet no cause will be found; there is still no consensus on what triggered the one-day 20% stock market crash of 1987. But even if there was no trigger, market conditions created by the Federal Reserve's easy money policy definitely made the crash more likely.
The market is a critical system. (...)
Back to markets. Think of every investor holding a risky position. Then think of all of these investors together in a big herd. Each member of the herd focuses on what the others will do next, since the only reason anyone takes a position is because others are initiating like-minded ones.
When imitative behavior starts happening in markets en masse, expect funny things to happen to liquidity. All you need to know about market dynamics—as I learned as a Chicago pit trader—is that market prices always adjust to the level where market-makers see balanced two-way order flow between buyers and sellers. All market-makers want to do is buy at the bid price, sell at the offer price, and at the end of the day go home unscathed. When there are only buy orders, for instance, expect market-makers to be unwilling to sell to those buyers until the price has adjusted to the point where they see roughly equal buyers and sellers again. To expect them to do anything else is to imagine them as charities.
So when you combine imitative behavior with noncharitable market-makers, there will be seismic waves from time to time. What makes our current system particularly prone to global ruptures is that hair-trigger traders have crowded into exceedingly risky bets. Why would that be, with the crash of 2008 so fresh in traders' minds?
This type of alignment among investors in risky positions is precisely what the central economic planners at the Federal Reserve intended when, in response to the historic credit collapse, they commanded interest rates to zero and signaled that they would prop up all risky assets.
The profitability of an investment is simply its return on capital beyond the cost of that capital. It is against this spread that investors must assess risk. So when the Fed distorted the cost of capital following the 2008 collapse by lowering it for many by roughly 2% (to about 0% for banks), it had the same effect as the 2% higher aggregate dividend yield for stocks or higher credit spreads for investment grade bonds. Suddenly what was toxic looked cheap.
The Fed lured everyone to buy everything and anything that was risky—and did so itself with outright purchases of risky assets like mortgage-backed bonds. Anyone eager for easy profits fell right in line, bidding up dangerous assets like clockwork. Sensing safety in numbers, the herd quickly followed, and in no time the market had consumed the Fed's gifted 2% profit spread and then some.
All in all, it seemed like an impressively engineered recovery. In reality, it was an ephemeral illusion caused by distorting investors' assessment of risk. Despite what zero interest rates were signaling, savers flush with cash weren't flooding the capital markets and credit wasn't expanding.
The Fed has managed to align every little market fault right with each other such that they all succumb to the very same stresses at the very same time. Meanwhile—no surprise—the world remains a very seismically active place. What's extraordinary is that the Fed continues this intentional deception about the real cost of credit, even as we've repeatedly witnessed the consequences of this policy.
Il Wall Street Journal mantiene una pagina con i link agli articoli relativi al flash trading e argomenti collegati: potete seguirla cliccando qui.
In this year's crash, many trades, especially in exchange-traded funds, went off at prices wildly different from the orders investors had placed. Likewise, in 1962, "some orders were executed at prices substantially different from those which prevailed when the order was entered," an investigative report by the Securities and Exchange Commission noted the following year.
Some high-frequency traders, which use powerful computers to make markets in stocks, stopped trading in this year's flash crash at the very moments when the market needed liquidity most urgently.
In 1962, high-frequency trading didn't exist, but "specialists" did. By law, specialists were obligated to try to maintain a fair and orderly market for each stock on the floor of the exchange. However, concluded the SEC's report, "At no time during the day did the specialist intervene in sufficient volume to slow the rapid deterioration of the market in IBM."
Even without the Internet, fear spread quickly in 1962. Investors piled into brokerage firms' "board rooms," where wall-mounted boards displayed market prices. "It was standing room only at Merrill Lynch, Pierce, Fenner & Smith," reported the Journal, "with spectators lined up three or four deep in the customers' gallery there."
As the SEC report noted a year later, "The markets' erratic behavior prompted concern and caused bewilderment at home and abroad. The frenetic activity of the break resulted in large and sudden losses for many and gains for some … this break had a strong and immediate psychological impact upon the Nation."
Ancora dal Wall Street Journal e ancora sul flash crash del 6 maggio vi segnalo questo articolo di Mark Spitznagel, fondatore dell'hedge fund Universa (di cui Taleb è consulente). Universa è stato chiamato in causa per un ordine immesso pochi istanti prima del crash. Spitznagel chiama invece in causa ... la Fed, sostenendo che la politica di bassi tassi di interesse rende il sistema intrinsecamente più instabile e più fragile. Non credo che il signor Spitznagel sia esente dal bisogno di tutelare il buon nome del suo fondo, ma le sue argomentazioni non sono prive di senso:
Regulators have been busy searching for the cause of the May 6 "flash crash" when the market dropped by 9.3% and then recovered within minutes. I think it's a good bet no cause will be found; there is still no consensus on what triggered the one-day 20% stock market crash of 1987. But even if there was no trigger, market conditions created by the Federal Reserve's easy money policy definitely made the crash more likely.
The market is a critical system. (...)
Back to markets. Think of every investor holding a risky position. Then think of all of these investors together in a big herd. Each member of the herd focuses on what the others will do next, since the only reason anyone takes a position is because others are initiating like-minded ones.
When imitative behavior starts happening in markets en masse, expect funny things to happen to liquidity. All you need to know about market dynamics—as I learned as a Chicago pit trader—is that market prices always adjust to the level where market-makers see balanced two-way order flow between buyers and sellers. All market-makers want to do is buy at the bid price, sell at the offer price, and at the end of the day go home unscathed. When there are only buy orders, for instance, expect market-makers to be unwilling to sell to those buyers until the price has adjusted to the point where they see roughly equal buyers and sellers again. To expect them to do anything else is to imagine them as charities.
So when you combine imitative behavior with noncharitable market-makers, there will be seismic waves from time to time. What makes our current system particularly prone to global ruptures is that hair-trigger traders have crowded into exceedingly risky bets. Why would that be, with the crash of 2008 so fresh in traders' minds?
This type of alignment among investors in risky positions is precisely what the central economic planners at the Federal Reserve intended when, in response to the historic credit collapse, they commanded interest rates to zero and signaled that they would prop up all risky assets.
The profitability of an investment is simply its return on capital beyond the cost of that capital. It is against this spread that investors must assess risk. So when the Fed distorted the cost of capital following the 2008 collapse by lowering it for many by roughly 2% (to about 0% for banks), it had the same effect as the 2% higher aggregate dividend yield for stocks or higher credit spreads for investment grade bonds. Suddenly what was toxic looked cheap.
The Fed lured everyone to buy everything and anything that was risky—and did so itself with outright purchases of risky assets like mortgage-backed bonds. Anyone eager for easy profits fell right in line, bidding up dangerous assets like clockwork. Sensing safety in numbers, the herd quickly followed, and in no time the market had consumed the Fed's gifted 2% profit spread and then some.
All in all, it seemed like an impressively engineered recovery. In reality, it was an ephemeral illusion caused by distorting investors' assessment of risk. Despite what zero interest rates were signaling, savers flush with cash weren't flooding the capital markets and credit wasn't expanding.
The Fed has managed to align every little market fault right with each other such that they all succumb to the very same stresses at the very same time. Meanwhile—no surprise—the world remains a very seismically active place. What's extraordinary is that the Fed continues this intentional deception about the real cost of credit, even as we've repeatedly witnessed the consequences of this policy.
Il Wall Street Journal mantiene una pagina con i link agli articoli relativi al flash trading e argomenti collegati: potete seguirla cliccando qui.
mercoledì 7 aprile 2010
Ancora su Greespan, la Fed, le bolle e i mercati (in)efficienti.
Greenspan difende le proprie azioni come governatore della Fed davanti
alla commissione di inchiesta sulle cause della crisi finanziaria: secondo il New York Times
In his testimony, an unflinching Alan Greenspan fended off a barrage of questions about the Fed’s failure to crack down on subprime mortgages and other abusive lending practices during his lengthy tenure.
He pointed out that the Fed had warned about subprime lending and low-down-payment mortgages in 1999, and again in 2001. And he argued that if the Fed had tried to slow the housing market amid a “fairly broad consensus” about encouraging homeownership, “the Congress would have clamped down on us.”
Molti commentatori non sono dello stesso avviso, ecco qui sotto l'opinione di Lowenstein da TechTicker
La fede di Greenspan nell'efficienza dei mercati non è certamente isolata ma il dibattito
sull'efficienza dei mercati è diventato molto vivace. In questo video dell'Economist
Justin Fox, autore di The Myth of the Rational Market passa in rassegna molti dei punti di discussione,
incluse le (disastrose) conseguenze per la gestione del rischio di una fede troppo convinta (e magari non abbastanza disinteressata) nell'efficienza.
Aspettando una nuova sintesi...si riscrivono i libri di macroeconomia.
alla commissione di inchiesta sulle cause della crisi finanziaria: secondo il New York Times
In his testimony, an unflinching Alan Greenspan fended off a barrage of questions about the Fed’s failure to crack down on subprime mortgages and other abusive lending practices during his lengthy tenure.
He pointed out that the Fed had warned about subprime lending and low-down-payment mortgages in 1999, and again in 2001. And he argued that if the Fed had tried to slow the housing market amid a “fairly broad consensus” about encouraging homeownership, “the Congress would have clamped down on us.”
Molti commentatori non sono dello stesso avviso, ecco qui sotto l'opinione di Lowenstein da TechTicker
La fede di Greenspan nell'efficienza dei mercati non è certamente isolata ma il dibattito
sull'efficienza dei mercati è diventato molto vivace. In questo video dell'Economist
Justin Fox, autore di The Myth of the Rational Market passa in rassegna molti dei punti di discussione,
incluse le (disastrose) conseguenze per la gestione del rischio di una fede troppo convinta (e magari non abbastanza disinteressata) nell'efficienza.
Aspettando una nuova sintesi...si riscrivono i libri di macroeconomia.
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