Il mondo visto al di là dell'Oceano Atlantico: deflazione in arrivo?

Un bel modo di sottolineare la differenza di prospettiva tra USA e Eurozona nel giorno in cui la BCE alzerà i tassi: un importante gestore americano suggerisce di speculare a breve termine sui T-bond decennali per i quali prevede un ribasso dei tassi al 2-2,5% !!

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Inflazione o deflazione? Questo è il dilemma! L'ultimo atto, con i rendimenti negativi delle obbligazioni indicizzate all'inflazione

La rincorsa dei rendimenti delle obbligazioni del Tesoro Usa indicizzate all'inflazione (TIPS, Treasury Inflation Protected Securities) è giunta al termine nelle ultime settimane. Da quando la Fed ha annunciato un probabile nuovo round di quantitative easing, aumentando così le aspettative di inflazione nel mercato e favorendo la caduta del dollaro, il total return dei TIPS ha finalmente superato quello delle obbligazioni governative non indicizzate di pari durata, come mostra la figura qui accanto tratta dal Wall Street Journal di un paio di giorni fa:

Inflation insurance in the form of TIPS, or Treasury Inflation Protected Securities, has returned about 10% this year, according to Barclays Capital indexes. At the same time, regular Treasurys, which thrive in times of deflation, are up nearly 9%. The performance is measured by combining price appreciation with yield payment.
In other words, you have been a winner this year whether you were betting on inflation or deflation.
One question for investors is whether Federal Reserve Chairman Ben Bernanke is about to bring this kumbaya moment to an end.
With the Fed preparing to pump more money into the financial system, the scales are starting to tip in favor of those betting on inflation. TIPS have outperformed Treasurys in the past two weeks, after lagging behind them for most of the summer.
The gap between yields on Treasurys and TIPS has widened sharply. This gap, often called the "breakeven" inflation rate, is used as a rough measure of market expectations of inflation.
Since late August—just before Mr. Bernanke's speech in Jackson Hole, Wyo., suggesting the Fed could embark on another round of quantitative easing to juice the economy—the 10-year breakeven rate has surged from 1.49% to roughly 2.10%, the highest in five months.
That suggests the Fed has already raised inflation expectations, simply by talking about the second round of quantitative easing, known in the market as QE2. The recent rally for gold and misery for the dollar also suggest inflation expectations are rising.
"We're not at a point where the market is getting particularly concerned about high inflation, it's just less concerned about deflation or even low inflation for a long period of time," said Mike Pond, Treasury and inflation-linked strategist at Barclays.
TIPS and Treasurys had benefited from hopes of another round of quantitative easing, which is expected to be announced at the Fed's policy meeting on Nov. 3.
Ten-year Treasury yields, which move in the opposite direction of price, fell this month to their lowest levels since the dark days of January 2009.
TIPS are at similarly historical levels: The Treasury Department is scheduled to sell $10 billion in new five-year TIPS on Monday, and the yield is likely to be the lowest since the government started selling them in 1997.
A low yield means demand is high for TIPS, which offer investors additional annual returns to make up for the rate of inflation. Regular Treasury bonds don't offer that protection, so they have higher yields to compensate. The gap, or breakeven, between the two yields implies what investors expect inflation to be.
On the surface, it looks like investors are making two bets at once, one on prices rising and the other on prices falling. But the Fed's influence is a driving and distorting force in both markets.

La previsione di una forte richiesta di TIPS nell'asta di lunedì si è puntualmente avverata. I bassi tassi di interesse si sono combinati con i timori di inflazione consentendo per la prima volta nella storia di questi prodotti finanziari al Tesoro U.S.A. la vendita di TIPS con un rendimento negativo. Se le aspettative di inflazione non si realizzeranno gli invetitori avranno pagato un tasso di interesse pur di poter prestare denaro al governo U.S.A.!
 Scrive il Wall Street Journal:

The Treasury sold $10 billion of five-year Treasury inflation protected securities, or TIPS, at an auction on Monday with a yield of negative 0.55%.
The big demand is a sign the Federal Reserve is gaining some traction in its efforts to kickstart the economy and nudge inflation higher. TIPS are designed to protect investors against inflation, offering a return that rises as the cost of goods increase. In times of inflation, they are more attractive than standard Treasury bonds, whose fixed income stream is worth less as other prices are rising.
"While the yield on many TIPS is negative, investors in these securities expect a positive return overall," Tony Crescenzi, portfolio manager at Pacific Investment Management Co. in Newport Beach, Calif.(...)
TIPS investors won't lose money as long as the economy avoids deflation for the next five years, because TIPS investors get extra money every year to keep up with the inflation rate. If inflation is high enough to offset the negative yield, investors will end up with a positive return.(...)
In the case of five-year TIPS, the negative yield suggests inflation expectations of about 1.70%—hardly runaway inflation, but better than deflation.
The Fed's policy-setting committee said at its most recent policy meeting that inflation was below its desired level.
Investors sought 2.84 times the amount on sale. Anything more than two times oversubscribed is considered a success. Indirect bidders—domestic and foreign institutions, including foreign central banks—took a hefty 39% of the notes. 

Secondo il New York Times

Buyers “believe we have reached the bottom of the inflation cycle and the next move is higher, not lower,” said Kevin H. Giddis, the executive managing director and president for fixed-income capital markets at Morgan Keegan & Company.
A growing aversion to risk has produced all manner of investment oddities in the last two years. At the height of the financial crisis, for example, the yield on ordinary short-term Treasury bonds turned negative for a brief time as people flocked to safe investments.
Even now, big investors are buying gold at levels unseen in decades, to protect against fluctuations in the value of currencies. Small investors are fleeing the stock market in droves, favoring bonds and even cash over equities. Companies have managed to sell bonds that do not pay off for 50 or even 100 years.
The remarkable auction occurred as stock indexes on Wall Street edged higher, buoyed by recent strong corporate earnings and a month-to-month rise in housing sales.(...)
Economists point to the fall in the dollar as a sign of budding inflationary pressures. Another is the recent sharp rise in the price of some assets, including commodities like gold.

I rendimenti bassi delle obbligazioni del Tesoro U.S.A. e dei TIPS sono anche il risultato delle aspettative di un nuovo round di quantitative easing da parte della Fed, nella sua lotta per combattere l'inflazione. Gli investitori hanno anticipato le mosse della Fed, alzando i prezzi delle obbligazioni e dunque diminuendone i tassi di interesse. Se i rendimenti negativi dei TIPS riflettono l'ansietà degli investitori per una possibile ripresa dell'inflazione, allora la Fed può dichiararsi soddisfatta. Le aspettative di inflazione tendono a materializzarsi e possono agire da scudo contro il rischio di uno scenario di deflazione prolungata.


Secondo Jens Christensen, un economista della Federal Reserve Bank di San Francisco, è possibile utilizzare i prezzi di mercato dei TIPS e delle obbligazioni governative non indicizzate per stimare la probabilità di uno scenario di deflazione prolungata negli U.S.A. Il risultato è una probabilità inferiore al 5.3%, suggerendo che le preoccupazioni della Fed di uno scenario deflattivo siano eccessive.
Non tutti però sono d'accordo con questa conclusione e sulla possibilità di utilizzare il mercato dei TIPS per questo tipo di analisi: scrive un commentatore del WSJ che

The TIPS market has long been one of the ways policymakers, economists and market participants could get a handle on the outlook for inflation. That said, the use of TIPS to tell a broader story is a complicated task.
The rap against the TIPS market goes like this: It is a relatively new market sector, and it has less liquidity than other parts of the Treasury trading world. That means price movements can be signaling something other than a shift in investors’ inflation outlook. In the market’s favor, however, is the fact that it at least represents a real money bet on something — an investor can lose cash if they predicted the pricing outlook incorrectly. In any case, Christensen argued his model compensates for these factors.
Meanwhile, there are other ways to gauge the inflation outlook. Some look to surveys of consumer expectations as a guide into what is expected of the price outlook, such as the twice monthly University of Michigan survey of consumer sentiment.
Fed officials mix and match these gauges. This inexact pursuit is important because regardless of the balance between art and science, Fed officials agree expectations about future price movements matter a lot to the level of inflation today. If the public thinks inflation will rise, then actual measures of prices will likely begin to tip upward.
Because of this, central bankers consider expectations management important. And even as officials themselves have grown more worried about price pressures ebbing to uncomfortably low levels, if not falling, they see some reason to be confident things will turn out right. Bernanke, in a speech a little over a week ago, said “indicators of longer-term inflation expectations have generally been stable in the wake of the financial crisis,” suggesting a broader confidence deflation will not take hold.

Sorpresa, sorpresa! Un po' di deflazione (poca) è amica delle azioni

Un articolo sul Wall Street Journal sembra rimettere in discussione l'idea che le azioni soffrano durante i periodi di deflazione mentre garantiscano una buona protezione durante i periodi di inflazione alta. Scrive infatti il WSJ:

Over the past 70 years, U.S. stocks have performed better during deflationary periods than in high inflationary periods, according to data compiled by Bespoke Investment Group, Harrison, N.Y. For the three deflationary periods since 1940, as defined by a year-over-year fall in the consumer-price index, the Standard & Poor's 500-stock index rose an average of 24.9%, the group says. The figures aren't annualized. Bespoke looked at the performance for each period, then came up with an overall average.
One reason for the rise: Markets were in recovery mode. For the 12-month periods preceding each deflationary episode, the S&P 500 fell an average of 4% in sharp economic slowdowns that prompted the Federal Reserve to slash interest rates in order to get the economy moving again. And investors snapped up stocks as rates hit bottom. (...) 
By contrast, during the five periods of high inflation since 1940, as defined by a jump in the CPI of more than 8.5% year over year, the S&P 500 fell an average of 2.15%. The inflationary periods averaged 21 months, compared with 10 months for the deflationary periods.

Jason Hsu, chief investment officer at Research Affiliates, a Newport Beach, Calif., investment-management firm, thinks inflation is on the way. Maybe not in the next year or so, but he says the market could start pricing in the risk ahead of time.
"Investors should be worried about long-horizon inflation," Mr. Hsu says.
Commonly suggested inflation hedges include mutual funds and exchange-traded funds that invest in Treasury inflation-protected securities and in securities linked to commodity prices.
Within the stock market, meanwhile, Mr. Hsu likes property-focused funds that invest in real-estate investment trusts, or REITs. Such funds have had a big run in 2010, gaining about 19%.
In part, that is due to a rebound from depressed levels after the housing bust. It's also a bet that property values will recover once inflation picks up, Mr. Hsu says. He favors REITs that focus on residential property over commercial property because he believes residential REITs fell far more sharply and represent a better bargain now.
One housing-focused possibility among ETFs: iShares FTSE NAREIT Residential Plus Capped Index.
Morningstar Inc. analyst Christine Benz says investors worried about inflation should consider stocks with exposure to commodities. Exxon Mobil Corp. or ConocoPhillips fit that bill. Big energy companies also tend to spit out a healthy dividend, providing benefits during deflation. The steady payments provide a welcome safety net when prices for other assets, including stocks, are on the wane.

In Case of Deflation

A number of people we talked to say dividend-paying stocks of large, stable companies are a reasonable choice for a deflationary period, even if inflation follows hard on its heels.

Se siete sorpresi da quanto racconta il WSJ non siete i soli. Ho pensato allora di estendere l'analisi alla più lunga serie storica di rendimenti azionari ai quali ho accesso: si tratta della serie dei rendimenti mensili dell'indice S&P500 che  Robert Shiller ha ricostruito e mette a disposizione sulla sua pagina web. Se si dividono le 1655 osservazioni mensili dal 1875 al 2009 nei decili di inflazione osservata crescente nei 12 mesi precedenti ecco i risultati che si ottengono

					deviazione	deviazione
					standard	standard
	media dell'	media dell'	rendimento	rendimento	rendimento	del rendimento
decili	inflazione	inflazione	futuro	futuro	futuro	medio
	nei 12 mesi	nei 12 mesi	S&P500	S&P500	S&P500	S&P500
	precedenti	futuri	6 mesi	12 mesi	12 mesi	12 mesi
1	-9,27	-2,26	1,26	5,23	29,77	2,32
2	-3,41	0,37	4,11	4,55	17,09	1,33
3	-0,31	1,28	6,93	10,96	19,4	1,51
4	1,14	1,57	2,66	6,16	16,87	1,31
5	1,98	3,01	6,01	9,24	16,28	1,27
6	2,79	2,27	4,85	10,32	16,24	1,26
7	3,58	3,27	2,51	5,55	18,29	1,42
8	4,94	3,07	-0,95	0,43	17,9	1,39
9	7,51	2,99	0,3	2,26	16,27	1,27
10	13,88	6,84	0	4,02	17,94	1,4
media	2,28	2,24	2,77	5,87	18,61

Ho evidenziato in verde (risp. in rosso) i rendimenti medi annuali che si allontanano in positivo (risp. in negativo) più di due deviazioni standard dal mendimento medio annuale. In effetti l'impressione che si ha è che i periodi di inflazione medio-alta (corrispondenti ai 3 decili più alti) producano rendimenti considerevolmente inferiori a quelli medi, mentre i periodi di deflazione no. La chiave interpretativa sembra essere quella suggerita dal WSJ: osservando l'inflazione media nei 12 mesi successivi per ogni decile, si nota come nei periodi di deflazione (i primi 3 decili) l'inflazione fosse tuttavia in aumento, indicando un recupero delle condizioni di salute da parte dell'economia, mentre nei periodi di inflazione spinta l'inflazione futura sia considerevolmente più bassa, spesso a causa di misure restrittive del credito da parte della Fed e/o di un deterioramento delle condizioni economiche. Vediamo se le conclusioni dell'analisi trovano conferma ordinando i dati per decili di inflazione osservata crescente nei 12 mesi futuri anzichè precedenti

					deviazione	deviazione
					standard	standard
	media dell'	media dell'	rendimento	rendimento	rendimento	del rendimento
decili	inflazione	inflazione	futuro	futuro	futuro	medio
	nei 12 mesi	nei 12 mesi	S&P500	S&P500	S&P500	S&P500
	precedenti	futuri	6 mesi	12 mesi	12 mesi	12 mesi
1	-1,29	-9,72	-7,45	-9,64	22,09	1,72
2	0,56	-3,4	-1,74	2,54	20,43	1,59
3	0,77	-0,28	5,55	12,32	22,45	1,75
4	1,42	1,14	4,47	7,27	18,62	1,45
5	2,06	1,97	6,24	13,61	16,6	1,29
6	2,36	2,76	4,65	8,59	16,51	1,29
7	2,68	3,54	4,29	7,39	13,82	1,08
8	2,58	4,87	5,82	8,66	16,01	1,25
9	4,37	7,46	2,67	4,2	15,71	1,22
10	7,23	13,88	2,02	1,62	17,61	1,37

Beh adesso mi sembra tutto chiaro! Nelle fasi di deterioramento dell'economia in cui si compie una transizione da condizioni di inflazione bassa a condizioni di deflazione moderata o forte (decili 1 e 2) i rendimenti azionari futuri sono davvero disastrosi. Quando invece l'inflazione media futura si mantiene vicina a 0 o leggermente negativa le azioni garantiscono rendimenti davvero molto buoni. In generale i rendimenti azionari sono consistentemente e significativamente superiori alla media storica (circa il 5.6%) nei decili da 3 a 8, mentre sono consistentemente e significativamente inferiori alla media storica nei decili 1, 2 e 10.

L'aspettativa che le azioni siano un buon hedge nei periodi di inflazione alta è fortemente ridimensionata da questa analisi, che però non tiene conto dei dividendi pagati.

Come scommettere sulla deflazione prossima ventura?

Se non si ha accesso a scommesse sofisticate (come quella che ha fatto questo fondo canadese che ha comprato quasi 200 milioni di dollari di derivati scommettendo sul ribasso dell'indice dei prezzi a consumo USA) e si vuole avere un po' di protezione da un possibile scenario deflazionistico un'alternativa potrebbe venire dalle azioni ad alto dividendo. Secondo il Wall Street Journal 

In a deflationary world, investors are looking for capital preservation. Fixed income from government bonds seems to offer that. When it comes to stocks, dividends can be cut, and, of course, share prices can go down, if profits are hammered by a weak economy.
But one interesting wrinkle is the number of companies whose own dividend yield significantly outpaces the yield on their own five-year bonds.
Adrian Cattley at Citigroup has identified 37 European companies in which dividends are greater than their five-year-bond yields, screening out those with a dividend cover, a measure of a firm's ability to pay its dividend, of less than 1.4 times. There are another 29 stocks in the U.S. that show the same pattern and have a dividend cover of at least 1.2 times. The higher the dividend cover, the greater the possibility of earning the dividend.

In molti casi si tratta di società con un flusso stabile di dividendi da molti anni, in settori che sembrano godere di una certa protezione dalle bizzarrie dei cicli economici (aziende farmaceutiche, utilities, ecc.). In alcuni casi il differenziale tra il dividend yield e i rendimenti delle obbligazioni a 5 anni è considerevole, superando il 2% o addirittura il 3%. Secondo il WSJ

These stocks could offer an opportunity. If investors really believe the companies are as safe, from a credit perspective, as the low bond yields suggest, then they are hardly pricing in a collapse in profits that would mean big cuts to the dividend.

Buying the stocks also comes with the benefit that if the consensus is wrong and some form of economic recovery does again spur inflation, companies have flexibility to raise dividends. Fixed-income instruments are locked at the low rate.

Un po' di ottimismo da Credit Suisse e come giocarsi la deflazione prossima ventura

Secondo gli analisti di Credit Suisse, dopotutto, gli Stati Uniti non sono il Giappone e con un po' di fortuna ci salveremo. Non solo: nell'ultima parte di questo rapporto di un paio di giorni fa si danno alcune indicazioni su come posizionarsi se invece si pensa che i deflazionisti avranno ragione.
Ecce report:

No Japanese Repeat for the Us

Deflazione e dividendi. Skype si quota in borsa.

Il Wall Street Journal è attratto dai dividendi pagati da molte società europee, in particolare nei settori delle telecomunicazioni, delle utilities e dell'energia. Il dividend yield delle azioni in Europa è circa il doppio di quello delle azioni che compongono l'indice S&P500. Se siete in cerca di protezione dalla deflazione prossima ventura potreste trovare le azioni ad alto dividendo attraenti, e cercare altre idee qui: Deflation--if it happens--could cripple global economies and world stock markets. But, there are some stocks that could offer a safe-haven move for investors, companies with plenty of cash, low debt, steady dividends and products that people will buy even in tough economic times. Sempre secondo un sondaggio del WSJ il rischio di deflazione negli U.S.A. è concreto: A Wall Street Journal survey found that by a two-to-one margin Wall Street economists see deflation as a bigger threat to the U.S. economy over the next three years than inflation.
“Deflation is dangerously close,” said David Resler of Nomura Securities, one of 53 economists surveyed by the Wall Street Journal. Among economists who answered the question, nearly two-thirds said that deflation poses the bigger risk to the economy over the next three years; the remainder said inflation is the bigger threat. That compares to an April survey, when the economists were split 50/50 over whether inflation or disinflation posed the bigger risk over the next year.
The survey, conducted earlier this week ahead of today’s meeting of Federal Reserve officials, found that half of the economists expect the Fed to keep its target for short-term interest rates unchanged at least until the middle of 2011. A month earlier, the survey found 70% of the respondents expected the Fed to begin raising rates before June 2011. The Fed has been holding its target for short-term interest rates close to zero since December 2008.
Nel video qui sotto un analista di Morningstar argomenta a favore di portafogli di azioni con alto dividend yield per difendersi dal rischio di un altro decennio perduto. Il punto di vista condivisibile è che  the advantage of having a 30-year Treasury bond or say a 10-year Treasury bond that's going to yield 3%, is that you know exactly what you are going to get, 10 years you are going to get the money back. But you don’t know is what that money will be worth. We don’t know how high inflation or for that matter how low inflation may be. There is still a lot of uncertainty.
If you are buying stocks and at least hypothetically, you are getting the claim on a real operating business that if the economy does move in a higher inflation, you should be able to benefit from that. So to me I would still prefer to own stocks, because of their longer term inflation threat, even if its 3, 4, 5 years out. I don’t want to line up with a 10- or a 30-year commitment to a fixed income instrument.






La decisione di ieri della banca centrale USA di reinvestire i proventi dal mercato dei mutui in obbligazioni del Tesoro a lunga scadenza viene commentata in questo articolo sul WSJ di oggi. La posizione ufficiale relativa al dibattito inflazione/deflazione è così riassunta nell'articolo:
The Fed statement noted that "measures of underlying inflation," already low, "have trended lower" lately and are "likely to be subdued for some time." Some Fed officials, as well as private economists, have been warning that the risk of deflation—broadly falling prices and wages across the economy—is rising. A Wall Street Journal survey of economists, mostly from Wall Street, found this week that, by a two-to-one margin, they see deflation as a greater risk over the next three years than inflation.
With interest rates as low as they can go, the Fed has few attractive options to resist deflation. The main one is to print money—electronically—to resume large-scale purchases of securities.
Qui potete leggere una sintesi delle reazioni di numerosi analisti ed economisti alla decisione di ieri della Fed.

Seguo da alcuni anni con simpatia l'evoluzione di Skype che iniziai ad usare per le telefonate VOIP quando partii per un viaggio di lavoro in Corea del Sud e Giappone nell'autunno del 2005. Non posso allora fare a meno di segnalarvi come Skype abbia annunciato l'intenzione di quotarsi in borsa: se volete un piccolo riassunto dei numeri di Skype potete dare un'occhiata qui. Attenzione al debito che al momento è circa uguale ai ricavi (non i profitti) di un anno.

Goldman vs. Morgan ovvero deflazione vs. (un po' di) inflazione.

Chi avrà ragione nel duello tra questi due pesi massimi dell'analisi economica? Scrive il NYTimes: 

Mr. Hatzius (di Goldman Sachs) is arguably Wall Street’s most prominent pessimist. He warns that the American economy is poised for a sharp slowdown in the second half of the year. That would send unemployment higher again and raise the risk of deflation. A rare occurrence, deflation can have a devastating effect on a struggling economy as prices and wages fall. He says he may be compelled to downgrade his already anemic growth predictions for the economy. 

For months, Mr. Berner (di Morgan Stanley) has been sticking to a more optimistic forecast, despite growing evidence in favor of Mr. Hatzius’s view. Last week, Mr. Berner was caught by surprise when the federal government reported that the economy grew at a 2..4 percent pace in the second quarter, well below the 3.8 percent he had forecast a month before. Mr. Hatzius came closer to hitting the mark, having projected a 2 percent growth rate. (...) On Wall Street, both men were among a very small group that accurately predicted the recent recession. Mr. Berner’s long résumé includes stints at the Federal Reserve in Washington and Mellon Bank in Pittsburgh. “I’ve seen plenty of ups and downs,” said Mr. Berner, 64, sitting in a corner office overlooking the Manhattan skyline at Morgan Stanley’s Midtown headquarters.

Showing not even a hint of doubt, Mr. Hatzius said, “The prospect of substantial inflation seems very remote, but the prospect for deflation is far from remote. A double dip is certainly possible but not likely.”

Mr. Berner does not expect substantial inflation, but he is predicting inflation will run 1 to 2 percent annually rather than the near-zero level Mr. Hatzius sees by the end of next year.

“There is still a one in 10 chance of deflation,” Mr. Berner calculates. “But we already have been much more aggressive and proactive in dealing with the problem than Japan was,” he said, referring to the Federal Reserve’s decision to quickly cut rates and aggressively buy government securities.

Secondo l'ex-governatore della Fed Alan Greenspan l'economia USA ha subito una battuta d'arresto nel corso di una modesta ripresa, creando un clima percepito come una "quasi-recessione". Il timore di una double-dip recession potrebbe diventare realtà se i prezzi delle abitazioni riprendessero la discesa. 

In questo articolo del Wall Street Journal potete leggere come molti tra i più importanti investitori americani stiano riposizionando i loro portafogli preparandosi alla deflazione prossima ventura. Certamente l'economia U.S.A. fatica a riprendersi dopo la grande recessione del 2007-2008: i grafici qui accanto (tratti dal Wall Street Journal) aiutano a comprendere l'entità della recessione e la debolezza della ripresa confrontando l'andamento dell'occupazione e del prodotto interno lordo con le tre recessioni precedenti. Per quanto riguarda il balletto inflazione/deflazione un po'di aiuto inatteso potrebbe venire dai prodotti agricoli: il breakfast index dell'Economist (caffè, succo d'arancia e farina) ha subito un'aumento del 25% dall'inizio di giugno. Sempre secondo l'Economist The purchasing-managers index in the euro area, used to measure manufacturing activity, rose to 56.7 in July, up from 55.6 the previous month. The improvement was almost exclusively led by Germany and Italy. French activity growth was at its slowest in ten months, highlighting the asymmetry of the recovery within the 16-nation common-currency area.

Consumer spending and incomes in America were unexpectedly stagnant in June. Spending was flat, after a 0.1% rise in May, while personal income remained unchanged, having risen continuously since September.

Yields on American Treasury bonds reached record lows, amid concern that the country’s economic recovery was losing momentum. The dollar reached a three-month low against the euro and a 15-year low against the yen, though it stopped falling after news of private-sector jobs growth.

I rischi dell'austerità e degli investimenti obbligazionari.

James Montier ha fatto un ottimo lavoro nel riassumere le (buone) ragioni addotte dai critici della politica dell'austerità di bilancio in questo fase della ripresa (se di ripresa si può parlare...) economica. Vi consiglio di leggere le sue argomentazioni che vi ho riportato qui sotto: le troverete molto interessanti.
Peraltro condivido largamente l'opinione di Montier sulle prospettive di medio-lungo periodo delle obbligazioni:  In accordance with our 7-year forecasts, we generally think that bonds are a lousy investment – although possibly not as a speculation. Ben Graham said, “An investment operation is one which, upon thorough analysis promises safety of principal and a satisfactory return. Operations
not meeting these requirements are speculative.” Judged from a long-term perspective in which inflation must be a concern, bonds look exceptionally unattractive.
However, if deflationary pressure builds as a result of theAusterians, then bonds could well be a good speculation.
How does a long-term value manager like GMO deal with this conundrum?
Generally, we simply can’t bring ourselves to own bonds at the yields on offer in most markets today.
However, that doesn’t mean we are ignoring the short-term risks. So whilst we are generally
inclined to be short nominal duration across portfolios (as suggested by the 7-year forecasts),
we have been adding nominal duration. How can one add nominal duration when bonds are overpriced?
Doesn’t this imply that we are betraying our value investing credentials?
 Thankfully, no. There are a couple of bond markets that are still essentially at fair value
(based on our measures): Australia and New Zealand both offer government bonds that look to be fairly priced. Are we happy about buying fair-priced bonds? Of course not. We are happy only when we buy cheap assets.  However, these fair-priced bonds provide us with some useful insurance, without
which our portfolios would be exposed to intensifying short-term deflation pressure. If deflation does arise, most likely we will be on the look-out for longer-term insurance against inflation. Ultimately, I suspect that is where we will end up. (And remember, the time to purchase insurance is when no else wants it as  it’s likely to be cheap.) 

GMO - James Montier - Is Austerity the Road to Ruin

Più tasse o più inflazione? Meglio più inflazione!

L'ultima lettera settimanale di John Mauldin si conclude con un accorato appello per rinviare il ripristino delle tasse tagliate da G.W. Bush previsto nel 2011, con lo scopo di evitare che l'aumento della pressione fiscale accentui inesorabilmente il clima deflazionario negli U.S.A. rendendo possibile una nuova recessione il prossimo anno. Il grafico qui accanto è abbastanza impressionante. Scrive Mauldin:
When the money supply is falling in tandem with a slowing velocity of money, that brings up serious deflationary issues. I have dealt with that in recent months, so I won't bring it up again, but it is a significant element of deflation. And it is not just the US. Global real broad money growth is close to zero. Deflationary pressures are the norm in the developed world (except for Britain, where inflation is the issue).
Falling home prices and a weak housing market are one more element of deflation. This is happening not just in the US, but also much of Europe is suffering a real estate crisis. Japan has seen its real estate market fall almost 90% in some cities, and that is part of the reason they have had 20 years with no job growth, and that the nominal GDP is where it was 17 years ago.
In the short run, reducing government spending (in the US at local, state, and federal levels) is deflationary in the short run. Martin Wolfe, in the Financial Times, wrote the following last week (arguing that that the move to "fiscal austerity" is ill-advised):
"We can see two huge threats in front of us. The first is the failure to recognize the strength of the deflationary pressures ... The danger that premature fiscal and monetary tightening will end up tipping the world economy back into recession is not small, even if the largest emerging countries should be well able to protect themselves. The second threat is failure to secure the medium-term structural shifts in fiscal positions, in management of the financial sector and in export-dependency, that are needed if a sustained and healthy global recovery is to occur."
Finally, high and chronic unemployment is deflationary. It reduces final demand as people simply don't have the money to buy things.
Deflation that comes from increased productivity is desirable. In the late 1800's the US went through an almost 30-year period of deflation that saw massive improvements in agriculture (the McCormick reaper, etc.) and the ability of producers to get their products to markets through railroads. In fact, too many railroads were built and a number of the companies that built them collapsed. Just as we experienced with the fiber-optic cable build-out, there was soon too much railroad capacity, and freight prices fell. That was bad for the shareholders but good for consumers. It was a time of great economic growth.
But deflation that comes from a lack of pricing power and lower final demand is not good. It hurts the incomes of both employer and employee, and discourages entrepreneurs from increasing their production capacity, and thus employment. (...)
I think we can take it as a given that there is another recession in front of the US. That is the natural order of things. But it would be better to have that inevitable recession as far into the future as possible, and preferably with a little inflationary cushion and some room for active policy responses. A recession next year would be problematic, if not catastrophic. Rates are as low as they can go. Higher deficits are not in the cards. Yet unemployment would shoot up and tax collections go down at all levels of government.
That is why I worry so much about taking the Bush tax cuts away when the economy is weak. Now, maybe those who argue that tax increases don't matter are right. They have their academic studies. But the preponderance of work suggests their studies are flawed and at worst are guilty of data mining (looking for data that supports your already-developed conclusions.)
Professor Michael Boskin wrote today in the Wall Street Journal:
"The president does not say that economists agree that the high future taxes to finance the stimulus will hurt the economy. (The University of Chicago's Harald Uhlig estimates $3.40 of lost output for every dollar of government spending.) Either the president is not being told of serious alternative viewpoints, or serious viewpoints are defined as only those that support his position. In either case, he is being ill-served by his staff."
As noted at the beginning of this letter, I find it very encouraging that there is a movement among Democrats to think about at least postponing the demise of the Bush tax cuts until the economy is in better shape. Those who advocate letting them lapse are in effect operating on our economic body without benefit of anesthesia. If they are wrong, the consequences will be most severe.
We need to think any tax increase through very thoroughly.

Per una sintesi delle posizioni in campo potete leggere il New York Times, dal quale ho tratto la tabella riepilogative che riproduco qui accanto.

Al rischio di deflazione è dedicato anche questo articolo sul Wall Street Journal, che esordisce ammettendo candidamente come la lezione impartita negli ultimi 20 anni dal Giappone non abbia portato i frutti sperati, e la teoria economica non sia ancora in grado di dare una spiegazione soddisfacente di quanto è accaduto:


But Japan's experience has looked nothing like this. Rather than being deep, destructive and concentrated in a few years, deflation has been a surprisingly mild, drawn-out affair. Consumer prices have been falling in Japan for 15 years, but never by more than 2% in any single year. Japan's deflation has been a morass, but not the destructive downward spiral many economists predicted. Why? And what does it portend for the rest of the world today?
Economists don't have good answers. "We don't know how deflation works," says Adam Posen, a member of the Bank of England's monetary policy committee who has been studying Japan since 1997. "We don't have a way of rationalizing steady, several-year flat deflation," he says.
This is a pressing issue for the U.S. Federal Reserve and other central banks. Ireland is already experiencing deflation. Spain has flirted with it. The Fed's preferred inflation gauge was up 1.3% in June from a year earlier, below its informal target of 1.5% to 2%. Some officials worry prices could go negative if the recovery falters.
On paper, Japan looked like a candidate for a deflationary spiral. The economy consistently grew slower than estimates of its capacity to grow. Unemployment rose from 2.1% in the early 1990s to more than 5% a decade later. That growing economic slack should have driven prices down and down. Large burdens of delinquent loans at banks should have exacerbated the debt burden on society.
But that didn't happen. Old textbook tradeoffs between unemployment and inflation might not be working the way they used to. The standard Phillips Curve theory, named after Alban William Phillips who helped explain it, is that when unemployment rises, inflation falls.
Fed officials saw evidence in the U.S. before the crisis that this dynamic might have gotten less powerful over time, meaning a big rise in unemployment might not create the kind of deflationary shock it would have in the past.
Japan's experience reinforces that view.(...)
Another explanation turns on the psychology of households and businesses, which modern economists believe plays a big role in driving inflation. If people believe inflation is going to rise a lot, they will demand higher wages and push up prices. If people believe prices won't move or they expect them to fall, they will act accordingly and create the environment they expect.(...)
Government plays a role, too. Japanese officials responded to their crisis, but many U.S. economists complained officials failed to cut interest rates quickly enough early in the crisis, pulled back fiscal stimulus too soon and were too slow to clean up banks and restructure inefficient industries.(...)
There are other explanations. Japan's aging consumers, for instance, might have been more inclined to save for retirement and more reluctant to spend, undermining consumer demand and weighing on prices.
For the U.S., there are good and bad implications in this. "This is the most significant economic issue there is out there," Mr. Gertler says.
The good news is that the Fed might not need to fear a Depression-style deflationary spiral. The bad news is that if the U.S. does fall into deflation, it could be stuck there for many years like Japan, and suffer the subpar growth that has gone with it. And because deflation is so poorly understood, policy makers could discover they have no good solutions.

La deflazione è in arrivo? Buona e cattiva economia comportamentale. Rilassatevi: arrivano gli stress-tests

Dalle note della riunone di giugno dei membri della banca centrale U.S.A. emerge una buona dose di  preoccupazione per la deflazione prossima ventura :

The Federal Reserve disclosed on Wednesday that its chief policy makers were divided on whether the weak economy faced a new, potentially dangerous threat in the form of deflation. (...)

On Wednesday, the Fed lowered its estimate of economic growth for this year, to a range of 3 to 3.5 percent, from the 3.2 percent to 3.7 percent forecast in April. Inflation has been running well below the Fed’s unofficial target of nearly 2 percent, so much so that a few officials fear that the United States is at risk of the kind of deflationary spiral that has hobbled the Japanese economy for the better part of two decades.

The Fed’s chairman, Ben S. Bernanke, has not embraced that view, but even those who disagree with it say the Fed, whose modern institutional culture was built around fighting inflation, now confronts a distinctly different problem of high joblessness.

“If federal fiscal policy is approaching its political or economic limits, some believe that the Federal Reserve should do more, including expansion of its balance sheet,” Kevin M. Warsh, a Fed governor who is close to Mr. Bernanke, said in a recent speech to the Atlanta Rotary Club. “In my view, any judgment to expand the balance sheet further,” by acquiring mortgage bonds and debt, “should be subject to strict scrutiny.”

The central bank has already held interest rates lower for longer than at any time since the Great Depression, keeping the benchmark short-term interest rate near zero since December 2008. Since the start of the financial crisis, the Fed has more than doubled its balance sheet, to $2.3 trillion, by buying mortgage bonds and Treasury debt to keep long-term interest rates low.

But, as Mr. Bernanke pointed out in a speech in 2002, when he was a Fed governor, a central bank that has run out of ordinary tools to prop up the economy, like lowering short-term interest rates, still has other options to prevent deflation.

By resuming its purchases of assets or by being more explicit about its intentions to keep interest rates low, the Fed could lower inflation expectations and long-term interest rates. That could further stimulate borrowing and spending by companies and individuals.

The minutes released Wednesday from the June 22-23 meeting of the Federal Open Market Committee, the Fed’s crucial policy body, cited the threat of deflation in the United States for the first time in a year.

“A few participants cited some risk of deflation,” the minutes noted. “Other participants, however, thought that inflation was unlikely to fall appreciably further, given the stability of inflation expectations in recent years and very accommodative monetary policy.”

The minutes, which are carefully worded to avoid the appearance of discord, nonetheless made clear a growing divergence in views.

“Several participants noted that a continuation of lower-than-expected inflation and high unemployment could eventually lead to a downward movement in inflation expectations that would reinforce disinflationary pressure,” the minutes stated. “By contrast, a few participants noted the possibility that a potentially unsustainable fiscal position and the size of the Federal Reserve’s balance sheet could boost inflation expectations and actual inflation over time.”

Secondo il Wall Street Journal i dubbi della Fed sulle prospettive future dell'economia U.S.A. e sul possibile affacciarsi della deflazione sono alla base dell'indebolimento del dollaro degli ultmi giorni: 

"The market got the picture that the Fed was less optimistic than it had been," Mr. Turner said. "That's really kind of undermined the dollar." (...)

Some analysts are skeptical of the euro's rally, noting as the euro gains, investors with anti-euro bets have been forced to unwind their positions, squeezing the common currency higher, especially in thin summer markets.

"The euro appears to be benefiting from a retrenchment in expectations for the U.S.," said Steven Englander, head of G10 strategy at Citigroup in New York. "Nevertheless, the policy response to mitigate the fallout from the sovereign-debt crisis still presents a short-term hurdle for the euro," he said.

Vi raccomando inoltre di leggere: 

• un breve op-ed sui limiti dell'economia comportamentale (non sono sicuro di condividere la tesi degli autori ma è indubbio che è un argomento molto di moda e che a volte si parla a sproposito di finanza comportamentale per coprire cattive scelte di investimento da parte di gestori).
• l'analisi dell'Economist degli stress-tests delle banche europee i cui risultati saranno resi pubblici la prossima settimana. Secondo l'Economist: whereas America’s tests were run in military style, Europe’s efforts have been chaotic—more akin to a rowdy negotiation about cod quotas than the recapitalisation of the world’s biggest banking system. With just days to go regulators must redouble their efforts to make the tests work.
  
  
  Stress tests are certainly needed. Banks and transparency are not always a good combination. When a carmaker admits it has a hole in its balance-sheet, its factories are still there a week later; when a bank does so it usually suffers a devastating run. This is why regulators sometimes like to deal with dud banks in secret. But when there is already a widespread loss of confidence, sunlight is the only treatment left. That happened in Japan in 2002-03, when zombie banks were at last prodded to own up to their bad debts, and in America last year.
  Europe has reached a similar point. Some banks have been locked out of international borrowing markets, reflecting worries that they could be brought down by the woes of southern Europe and the suspicion that they are sitting on sour loans from the boom years. The fear of contagion has raised debt costs for other banks. Unless faith is restored, the continent’s banking system, heavily reliant on wholesale borrowing, faces a funding crunch. That would force banks to lean even more heavily on central banks and governments to roll over their debts. It could also bring on a double-dip recession.
  
  

Disoccupazione, deflazione e la fuga dalle azioni. Perfetto per un investitore contrarian...o forse no?

Dopo una giornata torrida (sia per le temperature sia per il troppo lavoro) calarsi nelle vesti del blogger per qualche minuto è rilassante...iniziamo dal Prof. Krugman, che ho un po' trascurato in questi ultimi tempi. Le sue invocazioni in difesa dei (troppi) disoccupati U.S.A. non mancano nè di polemica nè di sostanza:

One main reason there aren’t enough jobs right now is weak consumer demand. Helping the unemployed, by putting money in the pockets of people who badly need it, helps support consumer spending. That’s why the Congressional Budget Office rates aid to the unemployed as a highly cost-effective form of economic stimulus. And unlike, say, large infrastructure projects, aid to the unemployed creates jobs quickly — while allowing that aid to lapse, which is what is happening right now, is a recipe for even weaker job growth, not in the distant future but over the next few months.
But won’t extending unemployment benefits worsen the budget deficit? Yes, slightly — but as I and others have been arguing at length, penny-pinching in the midst of a severely depressed economy is no way to deal with our long-run budget problems. And penny-pinching at the expense of the unemployed is cruel as well as misguided. 

Una settimana dopo si dedica all'altro grande incubo che sembra affliggere l'economia U.S.A: lo spettro della deflazione prossima ventura, ricordando a un suo ex-collega, ora governatore della Fed, un suo celebre discorso che gli valse il soprannome di Helicopter Ben: 

But here we are, visibly sliding toward deflation — and the Fed is standing pat.
What should it be doing? Conventional monetary policy, in which the Fed drives down short-term interest rates by buying short-term U.S. government debt, has reached its limit: those short-term rates are already near zero, and can’t go significantly lower. (Investors won’t buy bonds that yield negative interest, since they can always hoard cash instead.) But the message of Mr. Bernanke’s 2002 speech was that there are other things the Fed can do. It can buy longer-term government debt. It can buy private-sector debt. It can try to move expectations by announcing that it will keep short-term rates low for a long time. It can raise its long-run inflation target, to help convince the private sector that borrowing is a good idea and hoarding cash a mistake.
Nobody knows how well any one of these actions would work. The point, however, is that there are things the Fed could and should be doing, but isn’t. Why not?
After all, Fed officials, like most observers, have a fairly grim view of the economy’s prospects. Not grim enough, in my view: Fed presidents, who make forecasts every time the committee that sets interest rates meets, aren’t taking the trend toward deflation sufficiently seriously. Nonetheless, even their projections show high unemployment and below-target inflation persisting at least through late 2012.
So why not try to do something about it? The closest thing I’ve seen to an explanation is a recent speech by Kevin Warsh of the Fed’s Board of Governors, in which he declared that doing what Mr. Bernanke recommended back in 2002 risked undermining the Fed’s “institutional credibility.” But how, exactly, does it serve the Fed’s credibility when it fails to confront high unemployment, while consistently missing its own inflation targets? How credible is the Bank of Japan after presiding over 15 years of deflation?
Whatever is going on, the Fed needs to rethink its priorities, fast. Mr. Bernanke’s “it” isn’t a hypothetical possibility, it’s on the verge of happening. And the Fed should be doing all it can to stop it. 

Che succede se gli danno ascolto (e sottolineo il SE)? Che le previsioni dei T-bonds decennali al 2% non sono più fantascienza...e comprarli oggi non è più necessariamente un'idea sciocca, almeno se si pensa che tutto ciò possa avvenire senza che il dollaro riprenda la sua discesa.

Intanto gli analisti si interrogano se con la correzione dell'ultimo trimestre le azioni siano tornate a buon mercato oppure no: quando si scende dal terreno degli indici a quello dei singoli titoli la domanda non ha molto senso se non si inquadra in una valutazione del rischio. A proposito mi sto divertendo nel leggere un classico del value investing. Se volete sentire dalla viva voce del suo autore Bruce Greenwald cos'è il value investing potete ascoltarlo qui sotto:

La giornata finisce qui e la cosa mi rende ottimista... così vi saluto con un articolo che vi invito a leggere in chiave... contrarian! Dal Wall Street Journal:  il pianto dei piccoli investitori che fuggono dai mercati azionari con ritmi record...non era mai accaduto che il bilancio degli investimenti in azioni U.S.A. dei risparmiatori americani fosse negativo per tre anni consecutivi (forse 4 se il 2010 non riesce a invertire la rotta). Ancora qualche altro articolo così e magari una bella prima pagina del NYTimes o di BusinessWeek che annuncia la fine delle azioni e potremmo sperare nell'inizio di un altro mercato toro secolare....forse....

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...