Parole, parole parole....

Da leggere in una giornata in cui ci si è alzati di buonumore: il NYTimes colleziona le scuse dei banchieri protagonisti della crisi finanziaria. Tra i migliori vi raccomando l'ex CEO di Countrywide Financial, secondo il quale la colpa è dell'housing market. La sua inarrivabile perspicacia gli è valsa 530 milioni di dollari di renumerazione.



Il governatore della Fed di Kansas City Hoenig critica la proposta di riforma finanziaria e in particolare la riduzione del ruolo di controllo della Fed nella supervisione bancaria, che nella proposta in esame viene limitata alle entità più grandi. Scrive Hoenig:


(...) proposed financial reform legislation would significantly narrow the supervisory role of the Federal Reserve, so that it would oversee only the very largest institutions, most of which are headquartered in New York City. Congress established the Federal Reserve System in 1913 with 12 banks in a federated structure, like our political system, so that it would include regional perspectives to counterbalance the influence of Wall Street and Washington. To now narrow the Fed’s supervision to just the largest banks would be to devalue those broader perspectives. The Federal Reserve would no longer be the central bank of the United States, but only the central bank of Wall Street.
The flawed logic of this proposed change is that only the biggest firms are systemically important; that only they require the contingency lending that the Fed provides at its discount window; that only they will be involved in future crises; and that overseeing these firms is sufficient to provide the “macro-prudential supervision” the central bank’s charter requires. By this reasoning, the 6,700 other banks and the communities they serve are of no immediate consequence to the mission of the Federal Reserve.
Who outside of Wall Street can legitimately support such thinking? As a commissioned examiner and head of supervision in the Fed’s Kansas City district in the 1980s, I am a veteran of financial crises involving energy, real estate and agriculture in the Midwest and West. I can say with confidence that a regional financial crisis and its accompanying loss of jobs is just as harmful as the current Wall Street crisis has been for communities like Santa Fe.
Because the Federal Reserve supervises banks and bank holding companies of all sizes, it is able to address regional as well as national banking problems when they erupt. In addition, I and other Fed presidents can take information about regional financial and economic conditions into monetary policy discussions.
Without the Fed seeing the view from every corner of America, without every bank knowing it will be treated the same, the Federal Reserve cannot do its job and direct the same attention to the smallest firms as the largest. It cannot serve Main Street.


Krugman non le manda a dire sul ruolo che l'imbroglio ha avuto nella crisi finanziaria: leggendolo non è difficile immaginare che presto ci saranno nuove denuncie di frode legate all'azione del fondo Magnetar


(...) Most discussion of the role of fraud in the crisis has focused on two forms of deception: predatory lending and misrepresentation of risks. (...)
We’ve known for some time that Goldman Sachs and other firms marketed mortgage-backed securities even as they sought to make profits by betting that such securities would plunge in value. This practice, however, while arguably reprehensible, wasn’t illegal. But now the S.E.C. is charging that Goldman created and marketed securities that were deliberately designed to fail, so that an important client could make money off that failure. That’s what I would call looting.
And Goldman isn’t the only financial firm accused of doing this. According to the Pulitzer-winning investigative journalism Web site ProPublica, several banks helped market designed-to-fail investments on behalf of the hedge fund Magnetar, which was betting on that failure.
So what role did fraud play in the financial crisis? Neither predatory lending nor the selling of mortgages on false pretenses caused the crisis. But they surely made it worse, both by helping to inflate the housing bubble and by creating a pool of assets guaranteed to turn into toxic waste once the bubble burst. (...)
The main moral you should draw from the charges against Goldman, though, doesn’t involve the fine print of reform; it involves the urgent need to change Wall Street. Listening to financial-industry lobbyists and the Republican politicians who have been huddling with them, you’d think that everything will be fine as long as the federal government promises not to do any more bailouts. But that’s totally wrong — and not just because no such promise would be credible.
For the fact is that much of the financial industry has become a racket — a game in which a handful of people are lavishly paid to mislead and exploit consumers and investors. And if we don’t lower the boom on these practices, the racket will just go on.


Qui trovate una breve analisi di Brad De Long sul caso Goldman-Abacus.


Il rischio di un cospicuo danno reputazionale per Goldman Sachs è davvero molto alto, tale da cancellare i profitti ottenuti dall'affare Abacus. Certamente assisteremo a una feroce battaglia legale:  scrive il New York Times:


(...) Marcel Kahan, a law professor at New York University, said the risk to Goldman’s reputation was greater than its legal exposure. For instance, he said that Goldman’s stock dropped nearly 13 percent on Friday, causing a greater loss in market capitalization than the worst imaginable S.E.C. fine. “I think the negative P.R. for Goldman is a multiple of the legal one,” he said. “It’s very bad for business. You don’t want to get the impression with your client that you are doing shady things.”

As a consequence, Professor Kahan said, Goldman had no incentive to settle the case and would hire the nation’s best lawyers to try to clear its name. Similarly, he said the S.E.C. had as much or more to lose, given its record in the last decade.

But just taking on Goldman Sachs is a sign the agency is more certain of its role as a tough watchdog for the markets, said Donald C. Langevoort, a law professor atGeorgetown University who formerly worked in the office of the agency’s general counsel.

“The S.E.C. has long lacked the kind of resources that would give them the confidence that they could take on a Goldman Sachs,” he said, “because if Goldman Sachs decides to litigate, you know it’s going to be a war.”

In questo articolo trovate un ulteriore approfondimento sulla discussione relativa ai mutui subprime e ai rischi del mercato immobiliare interna a Goldman Sachs nei mesi che hanno preceduto la crisi finanziaria,

Un correzione in vista? Anche se cadono gli dei non c'è bisogno di uccidere gli angeli. Aggiornamento al 16 aprile 2010.

Ancora su U,V o W: secondo John Mauldin c'è il 50% di probabilità di una recessione nel 2011, e dunque di una "correzione" del 40% (!) negli indici azionari:



Chartoftheday mette il rally dai minimi del marzo 2009 a confronto con gli altri rally dopo i minimi associati ai principali merkati orso e ne deduce invece che siamo nella norma e che la prospettiva più verosimile per i prossimi 12-18 mesi è una fase laterale.

Se invece volete preoccuparvi ancora di più allora potete dare un'occhiata a questo video...

...ma credo che Mark William abbia ragione nel sostenere la necessità di mettere mano a una seria riforma.

Nella sua newsletter settimanale John Mauldin dedica alcune considerazioni ad una conseguenza indesiderata (e probabilmente indesiderabile) della riforma finanziaria in discussione negli USA. Secondo Mauldin il testo in corso di approvazione prevede importanti restrizioni alla libertà di operazione dei business angles: ecco un estratto della sua lettera, non a caso intitolata First, Let's Kill the Angels, il testo completo potete trovarlo qui


First, let’s look at a very important part of the US economic machine, the angel
investing network. An angel investor, or angel (also known as a business angel or
informal investor) is an affluent individual who provides capital for a business startup,
usually in exchange for convertible debt or ownership equity. A small but increasing
number of angel investors organize themselves into angel groups or angel networks to
share research and pool their investment capital.
Angels typically invest their own funds, unlike venture capitalists, who manage
the pooled money of others in a professionally managed fund. (...)
 angel investment is a common second round of financing for high-growth
startups, and accounts in total for almost as much money invested annually as all venture
capital funds combined, but invested into more than ten times as many companies (US
$26 billion vs. $30.69 billion in the US in 2007, into 57,000 companies vs. 3,918
companies). (Wikipedia)
(...)
“Angel investors committed fewer dollars but increased the number of
investments during the first half of 2009,” according to “The Angel Investor Market in
Q1Q2 2009: A Halt in the Market Contraction” by the Center for Venture Research at the
University of New Hampshire. Total investments in the first half of 2009 were $9.1
billion, a decrease of 27% over the first half of 2008, the study reports. However, 24,500
entrepreneurial ventures received angel funding during the period, a 6% increase from the
first half of 2008. The number of active investors in the first half of 2009 was 140,200
individuals, virtually unchanged from the same period in 2008. (Tech Transfer Blog)
And according to a conversation I had with the very enthusiastic David Rose of
Angelsoft this week in New York, the numbers are growing as the economy improves. If
you assume that as many new ventures were funded in the latter half of 2009, then we are
looking at 50,000 new businesses last year. At an average of (my guess) 10 employees a
firm, plus all the business they contract for, that is at least 500,000 jobs, with the promise
of many more for the firms that become viable. (...)
This is the very heart of the job-creation machine in
the US. It is what keeps this country competitive. And the Dodd bill places this at severe
risk. Let’s look at how it would handcuff potential investors.
Here are a few quotes from Venture Beat, a publication of the venture industry.
(http://venturebeat.com/2010/03/26/angel-investing-chris-dodd/)
“There are three changes that should have a particular effect on angel investors, a
catch-all category which includes everyone from friends and family members who invest
in a startup, to unaffiliated wealthy individuals, to side investments made by venture
capitalists acting on their own.
“First, Dodd’s bill would require startups raising funding to register with the
Securities and Exchange Commission, and then wait 120 days for the SEC to review their
filing. A second provision raises the wealth requirements for an “accredited investor”
who can invest in startups — if the bill passes, investors would need assets of more than
$2.3 million (up from $1 million) or income of more than $450,000 (up from $250,000).
The third restriction removes the federal pre-emption allowing angel and venture
financing in the United States to follow federal regulations, rather than face different
rules between states.”
This is not a partisan issue. Let’s look at what former Google employee, angel
investor, and Obama supporter Chris Sacca has to say:
“Obviously, I’m deeply concerned about Senator Dodd’s proposal to place these
restrictions on angel investing. (...) There’s no doubt about it that the restrictions that he’s proposing would absolutely chill investing. (...)  So this 120-day waiting period is frankly ridiculous. I have companies with tens
of thousands and hundreds of thousands of users that are built in a matter of weeks.
They’re generating actual dollars of revenue, creating jobs, investing in real estate office
space, capital equipment, etc. If they had to wait 120 days to actually apply for the ability
to obtain financing it would absolutely just crush that market.
“I think this is a very short-sighted proposal. It seems far afield from the problems
that the banking committee is actually trying to address.”
Additionally, allowing states to set the rules rather than having one set of rules
that governs business startups, is guaranteed chaos and adds another layer of costs. 


Non sono un esperto della materia ma le considerazioni svolte da Mauldin mi sembrano condivisibili.
La seconda parte della newsletter di questa settimana analizza brevemente il caso Goldman e i CDOs squared incriminati. Alla questione è anche dedicato un editoriale del New York Times che scrive:


(...) We urge everyone to keep a close eye on this case. If it is handled correctly, it should finally answer the question of whether malfeasance — and not merely unbridled greed, incompetence and weak regulation — was also responsible for the financial meltdown.
Goldman insists that what it was doing was prudent risk management. (...)
Up to now, the bankers have argued that the financial crisis was like what insurers call an “act of God,” an unforeseeable cataclysm over which they had no control. This has allowed them to shrug off responsibility, even as taxpayers bailed them out. It has allowed them to sleep soundly after collecting their huge bonuses. Goldman is not the only bank to have sold mortgage-backed securities and then bet against them. We suspect that after Friday, others on Wall Street may have a harder time sleeping.



Sempre sul NYTimes trovate un breve racconto sul ruolo svolto dal fondo hedge di John Paulson nella vicenda:
(...) Mr. Paulson, 54, was not named as a defendant in the S.E.C. suit, but his role in devising the instrument that caused $1 billion in losses for Goldman’s customers is detailed in the complaint. Robert Khuzami, the director of enforcement at the S.E.C., explained that, unlike Goldman, the manager of the hedge fund, Paulson & Company, had not made misrepresentations to investors buying the security, known as a collateralized debt obligation.

“While it’s unfortunate that people lost money investing in mortgage-backed securities, Paulson has never been involved in the origination, distribution or structuring of such securities,” said Stefan Prelog, a spokesman for Mr. Paulson, in a statement. “We have always been forthright in expressing our opinion as to the quality of the underlying mortgages. Paulson has never misrepresented our positions to any counterparties.

“There’s no question we made money in these transactions. However, all our dealings were through arm’s-length transactions with experienced counterparties who had opposing views based on all available information at the time. We were straightforward in our dislike of these securities, but the vast majority of people in the market thought we were dead wrong and openly and aggressively purchased the securities we were selling.”

Still, the details unearthed by the S.E.C. in its investigation show a deep involvement by Mr. Paulson in the creation of the investment, known as Abacus 2007-AC1. For example, he approached Goldman about constructing and marketing the debt security.

After analyzing risky mortgages made on homes in Arizona, California, Florida and Nevada, where the housing markets had overheated, Mr. Paulson went to Goldman to talk about how he could bet against those loans. He focused his analysis on adjustable-rate loans taken out by borrowers with relatively low credit scores and turned up more than 100 loan pools that he considered vulnerable, the S.E.C. said.

Mr. Paulson then asked Goldman to put together a portfolio of these pools, or others like them that he could wager against. He paid $15 million to Goldman for creating and marketing the Abacus deal, the complaint says.

One of a small cohort of money managers who saw the mortgage market in late 2006 as a bubble waiting to burst, Mr. Paulson capitalized on the opacity of mortgage-related securities that Wall Street cobbled together and sold to its clients. These instruments contained thousands of mortgage loans that few investors bothered to analyze.

Instead, the buyers relied on the opinions of credit ratings agencies like Moody’s, Standard & Poor’s and Fitch Ratings. These turned out to be overly rosy, and investors suffered hundreds of billions in losses when the loans underlying these securities went bad.

Mr. Paulson personally made an estimated $3.7 billion in 2007 as a result of his hedge fund’s performance, and another $2 billion in 2008.

Ecco l'aggiornamento al 16 aprile 2010.

Un vulcano finanziario esplode: la SEC accusa Goldman Sachs di frode!

Non bastavano terremoti ed eruzioni vulcaniche per rendere questa settimana indimenticabile... circa un'ora fa si è abbattuta sui mercati una notizia davvero inimmaginabile solo pochi mesi fa: la S.E.C. (Securities and Exchange Commission) ha denunciato Goldman Sachs per frode sui CDO sintetici. Scrive il comunicato stampa della S.E.C. :

The Securities and Exchange Commission today charged Goldman, Sachs & Co. and one of its vice presidents for defrauding investors by misstating and omitting key facts about a financial product tied to subprime mortgages as the U.S. housing market was beginning to falter.

The SEC alleges that Goldman Sachs structured and marketed a synthetic collateralized debt obligation (CDO) that hinged on the performance of subprime residential mortgage-backed securities (RMBS). Goldman Sachs failed to disclose to investors vital information about the CDO, in particular the role that a major hedge fund played in the portfolio selection process and the fact that the hedge fund had taken a short position against the CDO.

"The product was new and complex but the deception and conflicts are old and simple," said Robert Khuzami, Director of the Division of Enforcement. "Goldman wrongly permitted a client that was betting against the mortgage market to heavily influence which mortgage securities to include in an investment portfolio, while telling other investors that the securities were selected by an independent, objective third party."

Kenneth Lench, Chief of the SEC's Structured and New Products Unit, added, "The SEC continues to investigate the practices of investment banks and others involved in the securitization of complex financial products tied to the U.S. housing market as it was beginning to show signs of distress."

The SEC alleges that one of the world's largest hedge funds, Paulson & Co., paid Goldman Sachs to structure a transaction in which Paulson & Co. could take short positions against mortgage securities chosen by Paulson & Co. based on a belief that the securities would experience credit events.

According to the SEC's complaint, filed in U.S. District Court for the Southern District of New York, the marketing materials for the CDO known as ABACUS 2007-AC1 (ABACUS) all represented that the RMBS portfolio underlying the CDO was selected by ACA Management LLC (ACA), a third party with expertise in analyzing credit risk in RMBS. The SEC alleges that undisclosed in the marketing materials and unbeknownst to investors, the Paulson & Co. hedge fund, which was poised to benefit if the RMBS defaulted, played a significant role in selecting which RMBS should make up the portfolio.

Quanto basta a far perdere quasi il 2% sia al Dow (che riscende sotto 11000) che all'S&P500 (nuovamente sotto 1200), mentre Goldman perde il 12%  e sul fronte europeo Deutsche Bank, che è stata coinvolta nella denuncia che fece mesi fa il New York Times sulla faccenda, ha perso il 7%

Qui trovate la notizia su Yahoo Finance (con la foto di Henry Paulson, già CEO di Goldman e segretario del Tesoro USA durante l'amministrazione Bush, ma che non è il Paulson al quale si fa riferimento nell'articolo!! )
Se volete seguire i  riflessi della denuncia sull'hedge fund di John Paulson potete usare questo link.

Il New York Times, che aveva denunciato la cosa con un articolo alla fine di dicembre del 2009, ha già un lungo articolo sulla denuncia della S.E.C.. Il testo completo della denuncia della S.E.C lo trovate qui. Se siete interessati ad approfondire l'argomento potete seguire  il blog di Yves Smith  che certamente dedicherà numerosi post alla vicenda anche in futuro.

Alfaobeta aveva ripreso l'articolo del NYTimes il 27 dicembre scorso con un ulteriore approfondimento il 31 dicembre: i miei lettori possono essere soddisfatti del tempo trascorso su questo blog
 (...ma ancora più contenti saranno i lettori che presero sul serio l'analisi del mercato del 7 marzo 2009).

Un po' di respiro ma poi?

Una limpida analisi dell'Economist appena uscito mostra come il bailout della Grecia serva soprattutto a guadagnare tempo, e tira in ballo direttamente l'Italia:

(...) The bail-out, which was certainly bigger than the markets had expected, has all but eliminated the risk of default this year. But Greece still faces a deep medium-term solvency crisis. Anyone who looks hard at Greece’s debts and the interest rate it is paying on them can only conclude that, unless growth rebounds unexpectedly strongly, an eventual restructuring of Greek debt remains highly likely (see article). The rescue package has merely bought time—three years, in effect, to contain the adverse consequences of a possible Greek default.

Grim figures

Begin with the numbers. Greece’s medium-term debt outlook is darker than either its government or the EU admits. This newspaper’s calculations suggest that even with a fiscal adjustment worth 10% of GDP over the next five years, Greece will either need more official loans for longer than the current rescue package promises or will have to “restructure” its debts (ie, defer payment on some loans or pay back less than it owes). Even on optimistic assumptions, we reckon Greece will need €67 billion or more of long-term official loans in the next few years. Its debt burden will peak at 150% of GDP in 2014, a level exceeded now only by Japan. If growth turns out to be weaker than expected, or Greece fails to cut spending or raise taxes enough, the figures will be a lot worse.

Such a sombre conclusion invites the question of whether this week’s bail-out makes any sense. After all, the history of emerging-market debt crises, especially Argentina’s in 2001, suggests that, if default is overwhelmingly likely, it is better to get it over with rather than put it off with quixotic rescue packages. But this is not true in the Greek case, for two reasons that have less to do with Greece than with the rest of the euro area.

First, a Greek default now would carry a serious risk of triggering debt crises in Portugal, Spain and even Italy, the other euro-area countries suffering from some combination of big budget deficits, poor growth prospects and high debt burdens. The EU does not have the firepower to cope with these.

Second, a default now could also have calamitous effects on the fragile European banking system. Euro-area banks hold €120 billion of exposure to Greece, of which we reckon perhaps €70 billion is Greek sovereign debt. French and German banks account for 40% of the total. Many European banks might well require more government help if they lost a lot on Greek debt. Indeed, the sums involved might easily be greater than the German and French contributions to the Greek rescue loans. And if contagion then pushed Spain and Portugal to a crisis, the entire European banking system could implode.

Sono in molti a chiedersi se il contenimento della crisi funzionerà: secondo il Wall Street Journal 

 Analysts at data firm Markit and French bank BNP Paribas are warning today about jitters in the European debt markets spreading from Greece to other fiscally-stretched euro nations like Portugal and Spain. The folks at Italian bank UniCredit, however, aren’t so sure.

Intanto l'economia cinese cresce al ritmo di quasi il 12% e rende la rivalutazione dello yuan praticamente inevitabile


L'intervista che qualche giorno fa Consuelo Mack ha fatto a Christopher Davis, un investitore value di terza generazione, copre molti dei punti fondamentali di questo approccio alla costruzione di un portafoglio.



Per chi poi fosse alla caccia di idee per il trading vi segnalo questo post su Seekingalpha:
Lunghi sull'argento e corti sulle obbligazioni del Tesoro USA?

Se il mondo fosse un'agenzia ... le banche fallirebbero lo stesso...I rischi delle banche che giocano a fare gli hedge funds

Secondo Krugman un ingrediente indispensabile per evitare il ripetersi di una crisi finanziaria è la creazione di un'agenzia per la protezione dei consumatori:

...consumer protection is an essential element of reform. By all means, let’s limit the power of the big banks. But if we don’t also protect consumers from predatory lending, there are plenty of smaller players — both small banks and the nonbank “mortgage originators” responsible for many of the worst subprime abuses — that will step in and fill the gap. 

Quanto è difficile stabilire la fine di una recessione? 


L'incredibile storia del fallimento di Washington Mutual e di come i regolatori non si siano accorti della gravità della situazione serve di monito a chi pensa che sia possibile risolvere tutto creando nuove agenzie:


(...) The report found that Washington Mutual had failed primarily “because of management’s pursuit of a high-risk lending strategy that included liberal underwriting standards and inadequate risk controls.” The strategy accelerated in 2005 and came to a crashing end in 2007 with the drop in the housing market.
But the report also leveled unexpectedly sharp criticism at the F.D.I.C., which by July 2008 concluded that the bank needed $5 billion in capital to withstand future potential losses. The report said the F.D.I.C., which had questioned the Office of Thrift Supervision’s assessments of the bank’s soundness, could have stepped in earlier and acted as the primary regulator, but decided “it was easier to use moral suasion to attempt to convince the O.T.S. to change its rating.”(...)
Although regulators found problems with the quality of the mortgages it had originated and with the wholesale loans it bought through outside brokers and banks, the office consistently deemed WaMu “fundamentally sound,” giving it a rating of 2, the second-highest on a five-point scale used to assess a bank’s condition, from 2001-7. Moreover, the office relied on WaMu’s own tracking system to follow up on regulators’ findings. The office did not lower the rating to 3 (“exhibits some degree of supervisory concern”) until February 2008, and to 4 (“unsafe and unsound”) until September 2008, days before WaMu collapsed. “It is difficult to understand how O.T.S. continued to assign WaMu a composite 2 rating year after year,” the report found.
O.T.S. officials said the agency had accepted the findings; the F.D.I.C. said it could not comment until the report was completed.
The report said it would be “speculative to conclude that earlier and more forceful enforcement action would have prevented WaMu’s failure,” but also said such actions, if taken in 2006 or 2007, might have pushed managers to move aggressively to correct weaknesses and stem losses.
The report said the F.D.I.C. “met resistance” from the thrift supervisor when it assigned additional examiners to look at WaMu from 2005-8 and when it challenged the 2 rating in 2008.
In the summer of 2008, as WaMu teetered on the brink of failure, the two regulators still could not agree. “The O.T.S. as primary regulator wanted to rehabilitate WaMu and keep it in business,” the report states. “The F.D.I.C., on the other hand, as an insurer wanted to resolve the institution’s problems as soon as possible to maintain the value of WaMu in order to reduce the cost of any failure.”
The inspectors general, Eric M. Thorson of the Treasury and Jon T. Rymer of the F.D.I.C., concluded that the F.D.I.C. should make its own risk assessments of institutions large enough to pose significant risk to its insurance fund.
The chairman of the House panel holding this week’s hearings, Senator Carl Levin, Democrat of Michigan, said in a statement that he hoped the hearings would inform the debate over changes in financial rules, which the Senate could take up as early as this week, after its return from a spring recess. Two former WaMu executives, Kerry K. Killinger and Stephen J. Rotella, are expected to testify Tuesday.
“The recent financial crisis was not a natural disaster; it was a manmade economic assault,” Mr. Levin said. “It will happen again unless we change the rules.”
The WaMu report could also influence the work of the Financial Crisis Inquiry Commission, created by Congress to investigate the financial disaster. 

La crisi è così dura che persino gli stipendi dei professori universitari non crescono più (sigh...)


Nella caccia ai colpevoli della crisi finanziaria uno dei target preferiti degli uomini politici
sono gli hedge funds: peccato che pare che le cose non stiano proprio così....I pericoli sistemici maggiori vengono dalle banche e dalle assicurazioni, specialmente quelle banche e quelle assicurazioni che si divertono a giocare agli hedge funds.

Come riformare il sistema? Le lezioni della crisi della Grecia e la fine dell'era dei bassi tassi di interesse. Aggiornamento al 9 aprile 2010.

Il direttore del FMI Dominique Strauss-Kahn incita i paesi ad una riforma finanziaria coordinata e condivisa:
secondo il Wall Street Journal:

In a speech in Cambridge on Saturday, Mr. Strauss-Kahn said that, as the world economy becomes more interconnected, international policy coordination will be important to secure "stable, strong and balanced" economic growth.

He also cautioned that global economic imbalances are likely to widen again unless policies are implemented that encourage new sources of growth to emerge.

(...) Mr. Strauss-Kahn acknowledged the importance of plans to handle large and complex financial—so-called too-big-to-fail—institutions, but noted that proposed mechanisms may be limited by national borders.

Strauss-Kahn non ha fatto commenti sulla situazione in Grecia ma si è ugualmente sbilanciato sul problema del debito sovrano e sulla necessità di prevedere meccanismi che ne impediscano la crescita incontrollata: 

(...) he underscored the need to do more to prevent public debt from building up to high levels in the future, by more aggressively using cyclical upswings to refinance debt, via medium-term fiscal frameworks, credible commitments to reducing debt-to-GDP ratios, fiscal rules with escape clauses for recessions, and transparent fiscal data.

Automatic stabilizers could also be refined.

"One idea would be to let certain taxes or transfers be triggered when a threshold value for a particular macroeconomic variable, such as GDP growth, is crossed," Mr. Strauss-Kahn said.

As an example, he suggested that governments could activate temporary measures such as a flat, refundable tax rebate, or a percentage reduction in a taxpayer's liability to help spending by low-income households.

"To support investment by firms, cyclical investment tax credits might help. Similarly, on the expenditure side, one can think of temporary transfers targeted at low-income or liquidity-constrained households," he said.

Nel frattempo i ministri delle finanze della zona euro discutono come salvare la Grecia dal default, precisando le modalità di intervento concordate nel piano del 25 marzo scorso.

Sulle colonne del New York Times Paul Krugman cerca di trarre qualche lezione dalla crisi della Grecia; oltre alla disciplina fiscale punta il dito sulla deflazione come principale motore della crisi:

(...) Greece is paying the price for past fiscal irresponsibility. Yet that’s by no means the whole story. The Greek tragedy also illustrates the extreme danger posed by a deflationary monetary policy. And that’s a lesson one hopes American policy makers will take to heart. (...)

Greece could alleviate some of its problems by leaving the euro, and devaluing. But it’s hard to see how Greece could do that without triggering a catastrophic run on its banking system. Indeed, worried depositors have already begun pulling cash out of Greek banks. There are no good answers here — actually, no nonterrible answers.
But what are the lessons for America? Of course, we should be fiscally responsible. What that means, however, is taking on the big long-term issues, above all health costs — not grandstanding and penny-pinching over short-term spending to help a distressed economy.
Equally important, however, we need to steer clear of deflation, or even excessively low inflation. Unlike Greece, we’re not stuck with someone else’s currency. But as Japan has demonstrated, even countries with their own currencies can get stuck in a deflationary trap.
What worries me most about the U.S. situation right now is the rising clamor from inflation hawks, who want the Fed to raise rates (and the federal government to pull back from stimulus) even though employment has barely started to recover. If they get their way, they’ll perpetuate mass unemployment. But that’s not all. America’s public debt will be manageable if we eventually return to vigorous growth and moderate inflation. But if the tight-money people prevail, that won’t happen — and all bets will be off.


Come hanno fatto i consumatori USA a reggere (fino al 2007) un indebitamento sempre crescente? La spiegazione è nei tassi di interesse decrescenti: ecco un grafico dal New York Times di oggi che bene illustra la dinamica del debito personale USA negli ultimi 50 anni

L'era del credito facile è finita, e anche i tassi si preparano a risalire: secondo il NYTimes:

Even as prospects for the American economy brighten, consumers are about to face a new financial burden: a sustained period of rising interest rates. (...)
“Americans have assumed the roller coaster goes one way,” said Bill Gross, whose investment firm, Pimco, has taken part in a broad sell-off of government debt, which has pushed up interest rates. “It’s been a great thrill as rates descended, but now we face an extended climb.”

The impact of higher rates is likely to be felt first in the housing market (...) Each increase of 1 percentage point in rates adds as much as 19 percent to the total cost of a home, (...) Another area in which higher rates are likely to affect consumers is credit card use. (...) 

The run-up in rates is quickening as investors steer more of their money away from bonds and as Washington unplugs the economic life support programs that kept rates low through the financial crisis. Mortgage rates and car loans are linked to the yield on long-term bonds.

Besides the inflation fears set off by the strengthening economy, Mr. Gross said he was also wary of Treasury bonds because he feared the burgeoning supply of new debt issued to finance the government’s huge budget deficits would overwhelm demand, driving interest rates higher.

Nine months ago, United States government debt accounted for half of the assets in Mr. Gross’s flagship fund, Pimco Total Return. That has shrunk to 30 percent now — the lowest ever in the fund’s 23-year history — as Mr. Gross has sold American bonds in favor of debt from Europe, particularly Germany, as well as from developing countries like Brazil.

Last week, the yield on the benchmark 10-year Treasury note briefly crossed the psychologically important threshold of 4 percent, as the Treasury auctioned off $82 billion in new debt. (...)

Though still very low by historical standards, the rise of bond yields since then is reversing a decline that began in 1981, when 10-year note yields reached nearly 16 percent.

From that peak, steadily dropping interest rates have fed a three-decade lending boom, during which American consumers borrowed more and more but managed to hold down the portion of their income devoted to paying off loans. (...)

The long decline in rates also helped prop up the stock market; lower rates for investments like bonds make stocks more attractive.

That tailwind, which prevented even worse economic pain during the recession, has ceased, according to interviews with economists, analysts and money managers.

“We’ve had almost a 30-year rally,” said David Wyss, chief economist for Standard & Poor’s. “That’s come to an end.”

Ecco l'aggiornamento al 9 aprile 2010

Limitare la leva finanziaria delle banche a 15? Le banche centrali e le bolle secondo Dudley e Smithers.

In un'intervista di 45 minuti il presidente della Federal Reserve Bank di Kansas City M. Hoenig, il membro più anziano del Federal Open Market Committee incaricato di fissare i tassi della Fed, fa delle dichiarazioni piuttosto nette sulla necessità di una profonda riforma finanziaria:

(...Hoenig has) emerged as one of the few influential voices calling for a fundamental redesign of a broken U.S. financial system:

• Lambasted the tilted playing field that benefits Wall Street banks over Main Street banks;
• Called the idea that the U.S. needs megabanks to compete globally a "fantasy";
• Said Congress should mandate simple, easily understood and enforceable rules -- rather than guidelines -- so regulators can restrain financial firms and rein in the financial system;
• Prodded the Senate to get tougher on permanently ending Too Big To Fail by enacting laws that would take away much of the discretion currently held by policymakers (who bailed out financial firms when confronted with these decisions in late 2008);
• And criticized the Federal Reserve's ongoing policy to keep the main interest rate near zero because it "guarantee[s] a spread to Wall Street", enabling unearned profits and "encourag[ing] speculation."

Tra le altre cose Hoenig è a favore di una reintroduzione di almeno una parte del  Glass-Steagall Act e di limitare la leva finanziaria delle banche, per esempio fissando un leverage ratio massimo intorno a 15:

The U.S. should revive parts of Glass-Steagall, the Depression-era law that long prohibited banks from underwriting securities and engaging in other Wall Street-like activities, to break up megabanks, Hoenig told HuffPost. The law was repealed during the Clinton administration. The Obama administration has shown no desire to bring it back.
"At the moment I would be inclined to break them up along those lines of activities, and then let the market define what the right size is, and it will be, I suspect, smaller, much smaller, given our recent experience," he said.
"When Glass-Steagall was set aside and Gramm-Leach-Bliley [the law that repealed it] was introduced, I gave a speech which raised the concern that we would encounter mega-institutions," Hoenig said. "People would say... 'They're not too big to fail', but when the crisis came they would be too big to fail, and that's what we've gotten.
'So I am partially in favor of re-establishing elements of Glass-Steagall that separates the very important commercial banking that is so critical to our economy and our payment system from what I call high-risk activities in investment banks and hedge funds.
"I have nothing, nothing at all against high-risk activities in hedge funds and so forth, but they should not be part of our commercial banking payment system."

 (...) "What is your total assets and what is your equity capital, and what's that ratio, and what's the maximum we should allow it to be? Should it be 12 or 14 or in some instances 15? We can have that debate either through the legislative process or though the regulatory process with comments and then come to a rule that is binding and cannot be exempted under any circumstance.

"I think that would do a lot to become counter-cyclical. In other words, when the boom time comes, people and banks tend to say: 'Let's lend more against our capital base, and things are good, we always get paid back.' And it becomes pro-cyclical. [But] when you have a clear rule that says if you want to lend more once you're at this maximum, you have to raise proportionally more capital, then it comes counter-cyclical and much healthier for the economy.
"The max should be -- and this is based on my experience, I haven't done the studies, so I have to put that caveat in there -- if a bank has a 12-to-1 leverage ratio, total assets to equity, that's a fairly good operating level if you look across the country. So I would be inclined to put 15-to-1 as the max, so that in a growth environment you could get to 15, but not beyond that. That becomes a constraint, and I think it would work over time. You would get some blame during the boom that you're inhibiting growth, but that means you'd have to bring capital to the table and that would be strong.
"So I would start with 15. Let the debate go on -- if that's not the right number -- but that's where I would start."

Curiosamente 15 è esattamente il valore approvato dalla Camera dei rappresentanti come ha ricordato  Krugman due giorni fa nel suo editoriale sul Times. Potete ascoltare l'intera intervista a Hoenig qui sotto


Intanto Ben Bernanke incita il governo ad una riforma finanziaria che tenga conto dell'invecchiamento della popolazione USA: 

“The arithmetic is, unfortunately, quite clear,” Mr. Bernanke said. “To avoid large and unsustainable budget deficits, the nation will ultimately have to choose among higher taxes, modifications to entitlement programs such as Social Security and Medicare, less spending on everything else from education to defense, or some combination of the above. These choices are difficult, and it always seems easier to put them off — until the day they cannot be put off any more.”
He said a “sharp near-term reduction in our fiscal deficit is probably neither practical nor advisable,” but that a long-term plan for fiscal sustainability could help to lower interest rates and borrowing costs, and even stimulate economic growth. 

Un altro membro del F.O.M.C., William C. Dudley, presidente della Federal Reserve Bank of New York,
ha inoltre dichiarato che tra i compiti delle banche centrali vi è la prevenzione delle bolle nei mercati finanziari. 


(...Dudley) called on policy makers to more aggressively speak out against prevailing wisdom when asset prices fluctuated wildly. “The costs of waiting to respond to an asset bubble until after it has burst can be very high,” Mr. Dudley said in prepared remarks to the Economic Club of New York. “A proactive approach is appropriate.”
In recent months, the Fed has faced intense criticism for failing to prevent the recent bubble in home prices that brought the economy to its knees. 

Questa è pure la tesi dell'eccellente saggio di Andrew Smithers:
Wall Street Revalued: Imperfect Markets and Inept Central Bankers che sto leggendo in questi giorni. Sul ruolo troppo passivo avuto dalla Fed negli anni che hanno preceduto la crisi finanziaria e in cui si gonfiò la bolla immobiliare vi segnalo un interessante post di Brad De Long di qualche giorno fa.

La gerontocrazia europea. Ancora la Grecia in primo piano insieme ai "porcii senza ali" (The PIIGS that won't fly)

Vi segnalo due articoli sull'Economist appena uscito in edicola:

un'analisi dell'invecchiamento dell'Europa e delle sue conseguenze politico-sociali

un articolo sull'aggravarsi della crisi del debito della Grecia


Dal primo articolo vi riproduco la sua conclusione, che trovo piena di quello che è talvolta chiamato
l'ottimismo della volontà con il quale continuo a simpatizzare (sentendomi un po' più giovane anche grazie
a questo)

Spain’s government appears scared even to debate a higher pension age. Others are braver. In Nordic countries legal retirement ages are increasingly pegged to life expectancy. Earlier this month a Dutch trade union boss, Peter Gortzak, suggested that workers should be promised a fixed length of retirement, say 20 years, with their retirement dates calculated backwards from average life expectancy in their sector (ie, those in tougher trades could retire younger).
Gerontocratic rule certainly poses long-term dangers. But Europe must above all avoid being pulled apart, as some countries tackle ageing better than others. Old age is not the enemy of reform: ignorance, selfishness and timidity are. The old have no monopoly on these vices and may have picked up some wisdom. In the coming decades, Europe will need much of that.

Vi lascio con un confronto delle economie dei "porcii senza ali" pure tratta dall'Economist (che titola la grafica "The PIIGS that won't fly"

Viva la follia di stato...

La notizia del giorno è che le obbligazioni governative a 10 anni della Grecia rendono ormai quasi l'8%... Scrive il Wall Street Journal:

The yield premium on Greek 10-year bonds over comparable German bonds, or bunds, rose to a new high of 4.48 percentage points midday Thursday, adding to Greece's borrowing costs. (...)
In a clear sign of bond-market nerves, the cost of insuring Greek sovereign bonds against default rose to $466,000 a year to insure a notional $10 million of Greek debt for five years, an increase of $53,000 from Wednesday, according to CMA DataVision, breaking the previous record of $425,000 in early February.(...) Market watchers say the danger is that Greek banks can no longer find other banks to lend them short-term funds in the interbank money market, in which banks lend to each other to fund normal operations. When supply seizes up, as it did for many banks during the 2008 credit crisis, banks can soon run low on cash.
"The access to money-market funds—both secured and unsecured—is virtually nonexistent for Greek banks, with the exceptions of overnight electronic trade," said Lena Komileva, who heads the economics team covering the Group of Seven leading industrialized nations at Tullett Prebon, a top interdealer money broker. "But you cannot finance an entire economy by rolling over one-day funds."
Greek bankers like Leonidas Fragkiadakis, group treasurer of National Bank of Greece, denied any liquidity issues, but acknowledged that the money market's repurchase volumes have dropped.
"I don't see any major problem with Greek bank liquidity," he said. "But, to be sure, in the repo market we are doing less transactions today and for shorter dates as well as in smaller sizes."(...)
"This is clearly a sign that the Greek authorities have reached the end of the line and need to make a phone call to the IMF," said analysts at BNP Paribas in a morning note to clients.


Carmen Reinhart, autrice di This Time is Different: Eight Centuries of Financial Folly insieme a Kenneth Rogoff, discute nel video qui sotto le (anemiche) prospettive di crescita nelle economie avanzate nei prossimi anni come conseguenza della crisi finanziaria e del debito sovrano accumulato con i bailouts




Kenneth Rogoff commenta invece il debito degli stati U.S.A. in questo articolo sul New York Times di qualche giorno fa: la domanda è....fallirà prima la California o la Grecia? Ai posteri (se ci arrivano...) l'ardua sentenza.

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.

La Fed, le Bolle e un coraggioso investitore contrarian. Come scegliere e quanto pagare i CEO?

Sulle colonne del New York Times troviamo un vibrante J'accuse di Michael Burry (del quale Alfaobeta si è occupato qualche settimana fa alla fine di questo post) sulla cecità della Fed nei confronti della bolla subprime:

ALAN GREENSPAN, the former chairman of the Federal Reserve, proclaimed last month that no one could have predicted the housing bubble.“Everybody missed it,” he said, “academia, the Federal Reserve, all regulators.”

But that is not how I remember it. Back in 2005 and 2006, I argued as forcefully as I could, in letters to clients of my investment firm, Scion Capital, that the mortgage market would melt down in the second half of 2007, causing substantial damage to the economy.  (...) 

By mid-2005, I had so much confidence in my analysis that I staked my reputation on it. That is, I purchased credit default swaps — a type of insurance — on billions of dollars worth of both subprime mortgage-backed securities and the bonds of many of the financial companies that would be devastated when the real estate bubble burst. As the value of the bonds fell, the value of the credit default swaps would rise. Our swaps covered many of the firms that failed or nearly failed, including the insurer American International Group and the mortgage lenders Fannie Mae and Freddie Mac.

I entered these trades carefully. Suspecting that my Wall Street counterparties might not be able or willing to pay up when the time came, I used six counterparties to minimize my exposure to any one of them. I also specifically avoided using Lehman Brothers and Bear Stearns as counterparties, as I viewed both to be mortally exposed to the crisis I foresaw.

What’s more, I demanded daily collateral settlement — if positions moved in our favor, I wanted cash posted to our account the next day. This was something I knew that Goldman Sachs and other derivatives dealers did not demand of AAA-rated A.I.G.

I believed that the collapse of the subprime mortgage market would ultimately lead to huge failures among the largest financial institutions. But at the time almost no one else thought these trades would work out in my favor. (...)

I have often wondered why nobody in Washington showed any interest in hearing exactly how I arrived at my conclusions that the housing bubble would burst when it did and that it could cripple the big financial institutions. A week ago I learned the answer when Al Hunt of Bloomberg Television, who had read Michael Lewis’s book, “The Big Short,” which includes the story of my predictions, asked Mr. Greenspan directly. The former Fed chairman responded that my insights had been a “statistical illusion.” Perhaps, he suggested, I was just a supremely lucky flipper of coins.

Mr. Greenspan said that he sat through innumerable meetings at the Fed with crack economists, and not one of them warned of the problems that were to come. By Mr. Greenspan’s logic, anyone who might have foreseen the housing bubble would have been invited into the ivory tower, so if all those who were there did not hear it, then no one could have said it.

As a nation, we cannot afford to live with Mr. Greenspan’s way of thinking. The truth is, he should have seen what was coming and offered a sober, apolitical warning. Everyone would have listened; when he talked about the economy, the world hung on every single word.

Unfortunately, he did not give good advice. 

Observing these trends in April 2005, Mr. Greenspan trumpeted the expansion of the subprime mortgage market. “Where once more-marginal applicants would simply have been denied credit,” he said, “lenders are now able to quite efficiently judge the risk posed by individual applicants and to price that risk appropriately.”

Yet the tide was about to turn. By December 2005, subprime mortgages that had been issued just six months earlier were already showing atypically high delinquency rates. (It’s worth noting that even though most of these mortgages had a low two-year teaser rate, the borrowers still had early difficulty making payments.)

The market for subprime mortgages and the derivatives thereof would not begin its spectacular collapse until roughly two years after Mr. Greenspan’s speech. But the signs were all there in 2005, when a bursting of the bubble would have had far less dire consequences, and when the government could have acted to minimize the fallout.

Instead, our leaders in Washington either willfully or ignorantly aided and abetted the bubble. And even when the full extent of the financial crisis became painfully clear early in 2007, the Federal Reserve chairman, the Treasury secretary, the president and senior members of Congress repeatedly underestimated the severity of the problem, ultimately leaving themselves with only one policy tool — the epic and unfair taxpayer-financed bailouts. Now, in exchange for that extra year or two of consumer bliss we all enjoyed, our children and our children’s children will suffer terrible financial consequences.

It did not have to be this way. And at this point there is no reason to reflexively dismiss the analysis of those who foresaw the crisis. Mr. Greenspan should use his substantial intellect and unsurpassed knowledge of government to ascertain and explain exactly how he and other officials missed the boat. If the mistakes were properly outlined, that might both inform Congress’s efforts to improve financial regulation and help keep future Fed chairmen from making the same errors again.

Sempre sul New York Times vi segnalo un articolo sulla retribuzione dei CEO delle principali società quotate negli USA. Mi piace la citazione finale di Louis Brandeis, che peraltro si applica molto bene anche alle società pubbliche: ecco la frase completa, che ho trovato su Wikipedia

Publicity is justly commended as a remedy for social and industrial diseases. Sunlight is said to be the best of disinfectants; electric light the most efficient policeman

Ancora sul Times trovate un editoriale di Richard Thaler sul mercato dei giocatori di football americano, che pone interessanti interrogativi sull'efficienza delle scelte dei manager da parte delle società: 

(...) SO if teams’ ability to select players is only slightly better than flipping coins, should we expect that corporations can do any better in picking their chief executives?

After all, it’s probably easier to predict the performance of football players than of C.E.O.’s. Athletes perform the same job in a very public forum for years, and all aspects of their job are subject to wide critical evaluation. They are also given extensive physical and mental tests. (Yes, it is important for a football player to be smart — and several years of college don’t assure that.)

On the other hand, chief executives hired from outside a particular company have been performing mostly in private. And I’ve never heard of a prospective C.E.O. being given an I.Q. test — or having to run the business version of the 40-yard dash (perhaps a press conference?).

So maybe companies shouldn’t pay big bucks in the desperate hope of getting the equivalent of a Peyton Manning, who was the first overall pick in 1998 and, of course, has proved his superstar value. Instead, maybe they should dig around for a replica of Tom Brady, who was the 199th pick in the 2000 draft and has gone on to play in four Super Bowls, winning three.

A proposito del mercato dei cartellini dei giocatori di sport di squadra, vi segnalo anche la discussione sul calciomercato nell'eccellente libro di Kuper e Szymanski : Why England Lose and Other Curious Phenomena Explained. 

E la nave va? Aggiornamento al 2 aprile 2010.

Come costruire un hedge fund combinando un team di analisti con un team di quant? Arvin Raghunathan sembra esserci riuscito benissimo con Roc Capital Management, un fondo nato da un'esperienza cresciuta in seno a Deutsche Bank fino all'estate del 2009. L'idea di separare gli analisti dai quant che costruiscono il portafoglio e di lasciarli all'oscuro delle trades non mi pare malvagia.

E' possibile che il peggio sia alle spalle per la disoccupazione negli USA? Ne discute il New York Times dopo i dati di ieri.

Vale la pena pagare i cospicui fees che caricano i fondi di private equity agli investitori? L'esperienza
di alcuni fondi pensione non è entusiasmante,,,:

Public funds pay a lot of money to managers of so-called alternative investments like private equity, venture capital, real estate and hedge funds.  (...)

These funds generally charge fees totaling 2 percent of the money they manage and then take 20 percent of the profits they generate.(...)

Private equity owes its explosive growth largely to America’s pension funds. Buyout funds raised $200 million in 1980 and $200 billion in 2007. According to Prequin, a financial data provider, public pension funds were the biggest contributors over that period and now have $115.9 billion invested in private equity.

But these investments have not worked out as well as many had hoped. According to data from the Wilshire Trust Universe Comparison Service, the median returns for public pension funds with assets greater than $5 billion were negative 18.8 percent over one year, negative 2.8 percent over three years, and 2.4 percent over five years.

Indeed, research conducted by several university professors challenge the private equity firms’ premise that returns beat the stock market over long periods of time.

Two professors, Steven Kaplan of the University of Chicago and Per Strömberg of the Stockholm School of Economics, contend that, after fees, many private equity investments just about match or even trail the returns of the broad stock market between 1980 and 2001.

Additional research by Ludovic Phalippou of the University of Amsterdam and Mr. Gottschalg of the HEC School of Management shows that private equity funds underperformed the Standard & Poor’s 500-stock index by 3 percent annually from 1980 to 2003, after accounting for fees.

Sul numero dell'Economist in edicola, Buttonwood analizza i mercati obbligazionari governativi, chiedendosi come mai i tassi a lungo termine siano aumentati nelle ultime settimane. Una curva dei tassi ripida come l'attuale può segnalare un recupero dell'economia più robusto di quello preventivato ma anche l'aspettativa di un ritorno dell'inflazione. In queste settimane si sono addirittura viste delle stranezze come i tassi su obbligazioni bancarie USA e inglesi scendere al di sotto di obbligazioni del Tesoro con la medesima scadenza. La spiegazione è probabilmente legata ai volumi ingenti di obbligazioni emesse e dal desiderio di scambiare obbligazioni a tasso fisso con obbligazioni a tasso variabile. Conclude Buttonwood :

Technicalities aside, the most plausible explanation for the steep yield curve is the interaction of monetary and fiscal policy. On the monetary side the Fed is holding short rates at historically low levels in response of the severity of the crisis. On the fiscal side America's budget deficit has soared to over 10% of GDP, leading to heavy debt issuance. Recent Treasury bond auctions have seen fairly weak demand, forcing yields higher. 

This still represents a challenge for markets. One reason why equities have rallied is that their potential returns have seemed attractive relative to government bonds. Now there will be more competition. 

Ecco l'aggiornamento al 2 aprile 2010.

L'austerità nei paesi baltici. Krugman e lo shadow banking system. I matematici e la borsa (si parva licet componere magnis)

L'Economist dedica un approfondimento di 16 pagine all'economia USA: trovate qui una sintesi della loro analisi. Continua intanto il dibattito inflazione/deflazione negli USA: Brad De Long confronta i tassi a lungo termine del Treasury Bonds con quelli della Lettonia... L'unica via per ridurre l'indebitamento dei paesi baltici sembra essere l'austerità...ecco un reportage del New York Times su quanto sta accadendo in Lituania, un paese molto lontano da Mediterraneo, non solamente per il clima...

VILNIUS, Lithuania — If leaders of the world’s many indebted countries want to see what austerity looks like, they might want to visit this Baltic nation of 3.3 million.

Faced with rising deficits that threatened to bankrupt the country, Lithuania cut public spending by 30 percent — including slashing public sector wages 20 to 30 percent and reducing pensions by as much as 11 percent. Even the prime minister, Andrius Kubilius, took a pay cut of 45 percent.

And the government didn’t stop there. It raised taxes on a wide variety of goods, like pharmaceutical products and alcohol. Corporate taxes rose to 20 percent, from 15 percent. The value-added tax rose to 21 percent, from 18 percent.

The net effect on this country’s finances was a savings equal to 9 percent of gross domestic product, the second-largest fiscal adjustment in a developed economy, after Latvia’s, since thecredit crisis began.

But austerity has exacted its own price, in social and personal pain.

Pensioners, their benefits cut, swamped soup kitchens. Unemployment jumped to a high of 14 percent, from single digits — and an already wobbly economy shrank 15 percent last year.

Remarkably, for the most part, the austerity was imposed with the grudging support of Lithuania’s trade unions and opposition parties, and has yet to elicit the kind of protest expressed by the regular, widespread street demonstrations and strikes seen in Greece, Spain and Britain.

Paul Krugman dedica il suo ultimo editoriale alla riforma finanziaria: limitare le funzioni e le dimensioni delle banche oppure regolare le attività delle banche, lasciandole libere di crescere quanto vogliono? Krugman propende per la seconda soluzione, puntando il dito contro lo shadow banking system come principale responsabile della crisi:

Breaking up big banks wouldn’t really solve our problems, because it’s perfectly possible to have a financial crisis that mainly takes the form of a run on smaller institutions. In fact, that’s precisely what happened in the 1930s, when most of the banks that collapsed were relatively small — small enough that the Federal Reserve believed that it was O.K. to let them fail. As it turned out, the Fed was dead wrong: the wave of small-bank failures was a catastrophe for the wider economy.

The same would be true today. Breaking up big financial institutions wouldn’t prevent future crises, nor would it eliminate the need for bailouts when those crises happen. The next bailout wouldn’t be concentrated on a few big companies — but it would be a bailout all the same. I don’t have any love for financial giants, but I just don’t believe that breaking them up solves the key problem.

So what’s the alternative to breaking up big financial institutions? The answer, I’d argue, is to update and extend old-fashioned bank regulation.

After all, the U.S. banking system had a long period of stability after World War II, based on a combination of deposit insurance, which eliminated the threat of bank runs, and strict regulation of bank balance sheets, including both limits on risky lending and limits on leverage, the extent to which banks were allowed to finance investments with borrowed funds. And Canada — whose financial system is dominated by a handful of big banks, but which maintained effective regulation — has weathered the current crisis notably well.

What ended the era of U.S. stability was the rise of “shadow banking”: institutions that carried out banking functions but operated without a safety net and with minimal regulation. In particular, many businesses began parking their cash, not in bank deposits, but in “repo” — overnight loans to the likes of Lehman Brothers. Unfortunately, repo wasn’t protected and regulated like old-fashioned banking, so it was vulnerable to a pre-1930s-type crisis of confidence. And that, in a nutshell, is what went wrong in 2007-2008.

So why not update traditional regulation to encompass the shadow banks? We already have an implicit form of deposit insurance: It’s clear that creditors of shadow banks will be bailed out in time of crisis. What we need now are two things: (a) regulators need the authority to seize failing shadow banks, the way the Federal Deposit Insurance Corporation already has the authority to seize failing conventional banks, and (b) there have to be prudential limits on shadow banks, above all limits on their leverage.

Does the reform legislation currently on the table do what’s needed? Well, it’s a step in the right direction — but it’s not a big enough step. I’ll explain why in a future column.

Alfaobeta festeggia la vittoria della lista Noera per le elezioni del direttivo dell'AIAF (Associazione Italiana  Analisti Finanziari) che comporta una nuova responsabilità per yours truly. Vi terrò aggiornato: dopo un matematico gioca in borsa di John Allen Paulos chissà che non mi riesca di scrivere (magari con uguale successo!) un matematico analizza la borsa...

...attendendo il mio bestseller, se volete esempi di persone che sanno analizzare benissimo borsa e mercati potete cercare tra gli hedge fund managers di maggiore successo. Nella foto che illustra questo articolo del New York Times dedicato ai compensi del 2009 si nasconde un importante matematico: sapete chi è?