It is not rocket science! E se gli stress test sono troppo poco stressanti?

Leggevo poco fa un articoletto sul Wall Street Journal di qualche giorno fa che commentava l'incredibile dimensione assunta dai derivati e da come la maggior parte di questi fossero in possesso di banche commerciali:
Right now, U.S. banks, mostly a few giants, have $276 trillion in over-the-counter derivatives, instruments that don't trade on exchanges. Most of these derivatives are within commercial-bank subsidiaries that enjoy federal deposit insurance. Thus, the banks effectively enjoy a government subsidy that likely distorts prices and allows them to hold too little capital against the derivatives. 
La questione preoccupa (giustamente) molti e numerose sono le proposte per la creazione di mercati regolamentati per la maggior parte di questi prodotti. Ma la sorpresa è venuta leggendo i commenti all'articolo: infatti ne ho trovato uno di Vernon Smith! Eccolo: It is not rocket science. Derivatives are securities, and should have been, and now should be, registered, listed and subject to reserve requirements....Vernon L. Smith, Chapman University

 Ancora dal Wall Street Journal un articolo esamina la decisione europea di rendere pubblici i risultati degli stress test bancari (decisione condivisa dall'87% dei lettori del WSJ), cosa che dovrebbe avvenire entro la fine di luglio, almeno per i 25 maggiori istituti europei (inclusa dunque Unicredito e Banca Intesa). Ma saranno stati abbastanza severi? Scrive il WSJ:  European authorities, though, have had a particularly knotty problem to resolve. It concerns what stresses the banks should be tested for and how much of that should be disclosed. In the U.S. exercise, authorities examined the impact on the banks' balance sheets of a serious downturn in the economy, and the consequent rise in variables such as unemployment and bad mortgage loans. To be credible, however, European bank stress tests will need to contemplate eventualities that governments don't want to admit are possible, such as defaults on Greek, Portuguese and even Spanish debt. Over the past year, those worries came to the fore among European policymakers, officials said. But the bulk of the opposition came from Germany, whose Landesbanken share the main spotlight of market worry with Spain's regional savings banks, or cajas.
Germany's main banking associations have expressed vehement opposition to publishing stress tests, claiming markets might "misinterpret" the results, and arguing that German law requires banks' consent before disclosing stress-test results. The German government said Thursday it plans to seek banks' consent, but a finance-ministry official said a change in the law is also possible if banks don't cooperate.
Spain's intention to publish its own results left Germany with little choice but also to show its cards, one European official said, lest it be seen as having something to hide.
While the stress tests may shore up confidence, they come with their own costs. The heaviest: What to do with banks that fail the exam. Most European countries are now racing to embrace a newfound philosophy of fiscal prudence to ward off concerns about their own deficit and debt levels. Shelling out for pricey bank rescues would imperil those efforts.

Sull'argomento torna oggi il WSJ con un commento dai torni piuttosto scettici:


European leaders may have hoped to draw a line under Europe's sovereign crisis by agreeing to publish individual bank stress-test results. But that may be easier said than done. There are three questions that matter when stress-testing banks: Which are being tested? What is being tested? And what will be done with the results? It isn't clear that what is being contemplated will provide convincing answers to any of them.
What the leaders appear to have agreed on—and there are mixed messages across Europe over this—is to publish bank-by-bank results of a stress test currently being conducted by the Committee of European Bank Supervisors. But if that is all they have got to offer, it isn't going to convince anyone. This particular test covers about 25 of the largest European banks, excluding the majority of Spanish and German savings banks whose potential capital deficits most worry the markets.
Nor is it likely to be particularly stressful. Like the last CEBS stress test in 2009, it is based on average European growth and asset prices scenarios that don't take account of national variations. The criteria are less demanding than those applied by some national regulators, including the U.K.'s Financial Services Authority, being based on a plausible scenario rather than a worst-case one, according to someone familiar with the process.
Finally, it isn't clear that CEBS will be able publish bank-by-bank results even if it wants to since it is against European law for regulators to divulge data gathered from banks that they supervise.

Bailouts senza fondo. La rivalutazione del cambio yuan/dollaro

Quanto costerà ai contribuenti USA il salvataggio di Freddie Mac e Fannie Mae? Le ultime stime si aggirano intorno ai 400 miliardi di dollari ma c'è chi prospetta anche cifre superiori.
Secondo l'analista e blogger di MSN Money Jim Jubak le cose potrbbero anche mettersi molto peggio:
In August, the nonpartisan Congressional Budget Office estimated the two companies would need $389 billion in government money through 2019. Barclays Capital said in December that the price tag could run as high as $500 billion if housing prices dropped an additional 20%. (Housing prices as measured by the S&P/Case-Shiller 20-city index fell 3.2% in the first quarter of 2010 compared with the previous quarter.)

Sean Egan, the president of Egan-Jones Ratings, recently told Bloomberg that a 20% loss on mortgages and guarantees, which is in line with the losses at a mortgage lender such as Countrywide Financial -- now owned by Bank of America (BAC, news, msgs) -- could take a worst-case scenario to $1 trillion.

No one knows the exact number, but there's an awful lot of taxpayer money riding on housing prices.

The obligations are real, but none of it is in the federal budget. How long will the foreign money financing the U.S. deficit buy that one, do you think?

Jubak considera l'esplosione del bailout di Fannie e Freddie uno dei principali rischi di breve-medio termine per la ripresa dell'economia USA e mondiale, insieme all'aggravarsi della crisi del debito spagnolo e al rischio insolvenza del sistema bancario cinese. 

Come ho già anticipato ieri la banca centrale cinese ha annunciato la sua disponibilità a una maggiore flessibilità del cambio dello yuan. Ecco quanto scrive oggi il New York Times:

China announced on Saturday evening that it would allow greater flexibility in the value of its currency, a move that could deflect growing international criticism of its economic policies and defuse one of the greatest sources of tension between Beijing and Washington.

The statement, by China’s central bank, was the clearest sign yet that the country would allow its currency to appreciate gradually against the dollar. World leaders are due to meet next week in Canada for economic talks, and China’s currency policies had appeared a certain source of conflict.
The United States has been leading a chorus of countries urging China to let its currency fluctuate. Many members of Congress believe China’s exchange rate policy gives it an unfair trade advantage, and a movement has been growing to take retaliatory trade action if China did not make an adjustment.
President Obama and the Treasury secretary, Timothy F. Geithner, immediately praised China’s action. “China’s decision to increase the flexibility of its exchange rate is a constructive step that can help safeguard the recovery and contribute to a more balanced global economy,” Mr. Obama said in a statement. The European Commission also said it supported the move.
But it remains to be seen whether the move will significantly rebalance the global trade picture. The People’s Bank of China was cautious in its statement about how far its currency, the renminbi, might fluctuate, warning explicitly that “the basis for large-scale appreciation of the RMB exchange rate does not exist.” Chinese officials said the renminbi would move in relation to an unspecified basket of currencies, not just the dollar. Experts said that depending on how the system was designed, China could avoid rapid fluctuations.
Mr. Geithner alluded to this in a statement, saying, “This is an important step, but the test will be how far and how fast they let the currency appreciate.”
The first sign of how much currency appreciation will be tolerated is likely to come Monday morning, when the Chinese government will set the initial trading band for the value of the renminbi in Shanghai trading.
China has kept its currency value low since mid-2008 by pegging it to that of the dollar and not letting it fluctuate. Any trend in the renminbi’s value would have been higher without the peg, making China’s goods more expensive to foreign consumers and possibly slowing the country’s export-based economy.(...)
For China, a stronger renminbi will increase the buying power of its consumers and could make gasoline and other imported commodities seem less expensive. Faced with spreading labor unrest, particularly in the auto industry, the government has started to make an energetic effort to improve the standard of living of industrial workers.
But many economists inside and outside China have argued that currency appreciation is in China’s interest most of all. The country has been spending nearly one-tenth of its annual economic output to buy Treasury notes and bonds and other foreign securities while printing and selling renminbi, all in an effort to prevent the renminbi from rising against the dollar.
The renminbi has already risen with the dollar by 15 percent against the euro in the last two months. That has made Chinese officials nervous about the future competitiveness of Chinese sales to Europe, the biggest market for Chinese exports.
Cui Tiankai, a vice foreign minister, said on Friday that the value of the renminbi was not a subject for global discussion, the latest in a series of remarks by Chinese officials indicating strong nationalistic sensitivities about currency policy.
But people familiar with Chinese currency policy making have been saying for two months that the Chinese leadership agreed in early April to a change of direction. A devastating earthquake in western China in mid-April followed by worries about economic turmoil in Europe delayed action on the decision.

Cos'è il rischio sistemico? Zingales e la necessità di un FMI per le banche

Un video da Morningstar che cerca (con un po' di superficialità e di semplicismo) di dare un'idea di cosa sia il rischio sistemico. Ha comunque il pregio di riassumere una serie di questioni che si sono affacciate all'orizzonte degli investitori dal 2008 ad oggi.



Tra gli scenari da incubo ai quali si fa riferimento c'è proprio quello del fallimento di un'importante banca internazionale. A questo proposito ha le idee molto chiare Luigi Zingales che così scrive nel suo editoriale ieri sul Sole 24 Ore:
Il peggior incubo finanziario che incombe sull'economia mondiale è l'insolvenza di una grande banca internazionale. Che accada a causa di un default sovrano o di gravi perdite accumulate sfruttando regole contabili compiacenti, l'insolvenza di una grande banca (soprattutto se europea) è una possibilità tutt'altro che remota. Per quanto remota sia una possibilità, tuttavia, dovremmo sapere da quanto ci ha insegnato la crisi finanziaria del 2008 che anche gli eventi più rari si possono verificare.

A rendere questa ipotesi l'incubo finanziario numero uno, più grave ancora del crollo della Lehman Brothers nel 2008, è la preoccupazione che molti stati sovrani abbiano già sparato tutte le cartucce di cui disponevano e pertanto sarebbero impossibilitati a intervenire. I credit default swaps (Cds) delle più importanti banche dell'Europa meridionale si scambiano a cifre leggermente inferiori dei Cds degli stati sovrani, segno che il mercato non considera i secondi in grado di sostenere i primi. Purtroppo, a quasi due anni di distanza dal crollo di Lehman, è stato fatto molto poco per dare adeguata soluzione a questo rischio.
Il Congresso degli Stati Uniti è in procinto di portare a compimento l'approvazione di un disegno di legge che conferirà autorità e poteri decisionali sui principali istituti finanziari statunitensi a un consiglio sistemico di recente costituzione. Le procedure necessarie a innescare questo intervento, tuttavia, sono complesse e i finanziamenti sono a tal punto opachi che la legge in questione non eliminerà i danni collaterali arrecati dal fallimento di una grossa banca perfino per le istituzioni statunitensi, per non parlare di quelle internazionali, per rimediare ai quali sarebbe necessario l'intervento coordinato di numerosi stati, con vari gradi di solvibilità.
Per ridurre al minimo il rischio di un crollo incontrollabile, è necessario che si approvi un meccanismo di risoluzione internazionale che abbia poteri su tutti i più importanti istituti finanziari internazionali. L'obiettivo non sarebbe quello di salvare le banche e i loro creditori, bensì di ridurre al minimo lo scompiglio totale che un default incontrollato di tal fatta potrebbe determinare.

Le persone serie vogliono i tagli. I keynesiani del pleistocene no. Aggiornamento al 18 giugno 2010.

Una settimana con troppi impegni mi ha impedito di aggiornare il blog con continuità.I mercati si sono un po' ripresi e l'euro ha chiuso ieri la sua migliore settimana da oltre un anno, guadagnando oltre il 2% nel cambio con il dollaro. L'euro ha recuperato oltre il 4% dal minimo di 1.1876 di pochi giorni fa.
Oggi poi è arrivata la notizia che la banca centrale cinese si è detta disponibile a una rivalutazione dello yuan sul dollaro...staremo a vedere.
Continua la corsa dell'oro il cui valore  dal minimo del 2001 ad oggi si è quasi quintuplicato.

Piccola rassegna stampa:

• Su lavoce Alesina e Perotti si schierano in difesa della Germania e della sua linea di austerità: il corsivo a introduzione dell'articolo è esauriente...Sono in molti ad accusare la Germania per la sua politica fiscale prudente, che finirebbe per aggravare la crisi. La cui soluzione sarebbe invece in un'espansione della spesa pubblica tedesca. Ma si tratta di una ricetta sbagliata, frutto di un keynesianismo datato. E' un'illusione credere che un 5 per cento sul Pil di deficit di bilancio in Germania basti per risolvere i problemi di crescita dell'Europa. Che dipendono piuttosto dalle rigidità sul lato dell'offerta, soprattutto nei paesi oggi più in difficoltà. Non sono convinto al 100%...così eccovi una sfilza di keynesiani datati con le loro prediche...
• ...Krugman si scaglia contro i sostenitori dell'austerity (oggi sulla prima pagina del Sole 24 Ore: E' nato un professionista: il profeta dell'austerity) e dell'urgenza di ridurre i deficit sovrani (ad esempio un arzillo vecchietto, ex-governatore Fed... un signore che di come (dis?)-innescare crisi finanziarie se ne intende). Per cominciare si toglie un sassolino dalla scarpa ricordando come Kenneth Rogoff chiedeva nell'estate del 2008 un rialzo dei tassi per combattere l'inflazione generata dall'aumento dei costi delle materie prime (non c'è che dire - con il senno di poi - un bel tempismo!). Infine conclude scatenato: Perchè tutto questo? A mio parere la ragione va ricercata nel desiderio di fare la parte dei duri intransigenti. Chiedere austerità fa sentire coraggiosi e virtuosi, consente di assumere la posa della "persona seria", che lancia strali contro gli scialacquatori. Altrimenti perchè questi specialisti del ramo (e non sono i soli) si scaglierebbero contro i tassi bassi? (...) In un momento in cui le economie mondiali hanno un disperato bisogno di menti lucide, questi economisti non fanno altro che complicare le cose.
• ...ancora sul Sole 24 Ore di oggi vi consiglio la lettura dell'articolo di Robert Skidelsky Keynes alla prova della crisi che parte dalla manovra finanziaria annunciato dal nuovo governo inglese per sviluppare un parallelo con il 1931:
  È inevitabile il parallelo con ciò che accadde in Gran Bretagna nel 1931. Nel febbraio di quell'anno, Philip Snowden, ministro del Tesoro di un governo laburista, istituì la commissione May per raccomandare tagli alla spesa pubblica. La commissione stimò un disavanzo di 120 milioni di sterline, più tardi salito a 170 milioni, cioè circa il 5% del Pil, e propose di aumentare le tasse e ridurre la spesa pubblica per «pareggiare il bilancio». La crisi finanziaria internazionale generata dal fallimento della banca austriaca Creditanstalt nel luglio del 1931 spinse il governo ad agire sulla base del rapporto May. L'establishment finanziario e politico si unì per chiedere tagli ai sussidi di disoccupazione al fine di «salvare la sterlina».
  Keynes fu uno dei pochissimi ad andare controcorrente. Riguardo agli autori del rapporto May scrisse: «Suppongo che siano uomini tanto semplici che i vantaggi del non spendere soldi appaiono loro scontati». Non avevano minimamente considerato il fatto che i tagli proposti avrebbero fatto crescere la disoccupazione di 250-400mila unità e diminuito le entrate fiscali. «Al momento - continuava Keynes - tutti i governi hanno forti disavanzi. Questi disavanzi sono il rimedio per impedire che le perdite delle imprese diventino tali da portare tutta la produzione a uno stallo».
  Quando nel settembre 1931 la coalizione fra liberali e conservatori subentrata al governo laburista presentò una manovra di emergenza, Keynes ancora una volta si tenne fuori dal coro. La manovra, scrisse, era «assolutamente folle e ingiusta». Spiegò a un corrispondente americano che «ogni persona in questo paese di asini matricolati, chiunque odi il progresso sociale e ami la deflazione, sente che è arrivato il suo momento e annuncia trionfante in che modo, astenendoci da ogni sorta di attività economica, potremo tornare a essere ricchi».
  I politici di destra spesso sostengono che il risanamento dei conti pubblici consente la ripresa economica. Se è così, l'effetto di quell'accesso di morigeratezza pubblica nel 1931 fu particolarmente tortuoso. L'azione combinata della svalutazione della sterlina e dell'abbassamento dei tassi d'interesse rianimò le esportazioni e diede il via a un boom immobiliare. Ma prima della guerra non ci fu mai ripresa completa. L'efficacia dei tagli, insomma, è tutta da dimostrare.
  Stiamo per imbarcarci in un importantissimo esperimento per scoprire quale delle due storie sia vera. Se il risanamento dei conti pubblici si dimostrerà la via per la ripresa e una crescita rapida, allora potremo seppellire Keynes una volta per tutte. Se al contrario i mercati finanziari e i loro portabandiera politici si riveleranno degli "asini matricolati" come pensava Keynes, bisognerà prendere di petto la sfida che rappresenta, per il buongoverno, il potere finanziario.
• ...di nuovo Krugman che sul New York Times un paio di giorni fa sviluppava pressochè le stesse considerazioni: Suddenly, creating jobs is out, inflicting pain is in. Condemning deficits and refusing to help a still-struggling economy has become the new fashion everywhere, including the United States, where 52 senators voted against extending aid to the unemployed despite the highest rate of long-term joblessness since the 1930s. Many economists, myself included, regard this turn to austerity as a huge mistake. It raises memories of 1937, when F.D.R.’s premature attempt to balance the budget helped plunge a recovering economy back into severe recession. And here in Germany, a few scholars see parallels to the policies of Heinrich Brüning, the chancellor from 1930 to 1932, whose devotion to financial orthodoxy ended up sealing the doom of the Weimar Republic.
  But despite these warnings, the deficit hawks are prevailing in most places — and nowhere more than here, where the government has pledged 80 billion euros, almost $100 billion, in tax increases and spending cuts even though the economy continues to operate far below capacity.
  What’s the economic logic behind the government’s moves? The answer, as far as I can tell, is that there isn’t any.(...) The key point is that while the advocates of austerity pose as hardheaded realists, doing what has to be done, they can’t and won’t justify their stance with actual numbers — because the numbers do not, in fact, support their position. Nor can they claim that markets are demanding austerity. On the contrary, the German government remains able to borrow at rock-bottom interest rates.
  So the real motivations for their obsession with austerity lie somewhere else.
  (...)  it still has nothing to do with fiscal realism. Instead, it’s about moralizing and posturing.(...) There will, of course, be a price for this posturing. Only part of that price will fall on Germany: German austerity will worsen the crisis in the euro area, making it that much harder for Spain and other troubled economies to recover. Europe’s troubles are also leading to a weak euro, which perversely helps German manufacturing, but also exports the consequences of German austerity to the rest of the world, including the United States.
  But German politicians seem determined to prove their strength by imposing suffering — and politicians around the world are following their lead.
  How bad will it be? Will it really be 1937 all over again? I don’t know. What I do know is that economic policy around the world has taken a major wrong turn, and that the odds of a prolonged slump are rising by the day. 

• ...infine se cercate un commento forse più neutrale, centrato tuttavia sui rischi dell'austerità imposta a economie anemiche che si sono salvate (forse) a malapena da un abisso, potete ascoltare l'opinione di Martin Wolf in questo podcast.

Ecco l'aggiornamento al 18 giugno 2010.

Come avvicinare le PMI alla borsa? Chi vincerà i mondiali?

Da www.lavoce.info:

• come riuscire a portare più piccole e medie imprese europee in Borsa? Forse serve un regime normativo agevolato per la presentazione delle situazioni contabili che riduca i costi di quotazione salvaguardando la protezione degli investitori. Si parla anche della creazione di una piattaforma paneuropea che accresca la liquidità.
• chi vincerà i mondiali di calcio? Scrive Panunzi: JP Morgan fa una previsione basata su dati tecnici (ranking Fifa, risultati nelle qualificazioni e nelle edizioni precedenti dei Mondiali) e di mercato (le quote del bookmakers). Un’analisi che replica quella che JP Morgan usa per valutare le azioni delle società, che utilizza sia variabili legate ai “fondamentali” di mercato che all’investor sentiment. JP Morgan prevede che la Coppa andrà a Londra, con la squadra di Fabio Capello che batterà in finale la Spagna. Secondo questo modello, l’Italia tornerebbe a casa nei quarti, sconfitta dagli spagnoli. Chissà se è cambiato l’investor sentiment dopo la papera del portiere Robert Green. Quello di Capello sicuramente sì.
  Invece Ubs usa i criteri ideati dal fisico Arpad Elo per classificare i giocatori di scacchi, criteri che tengono conto dei risultati precedenti, pesati per la forza dell’avversario (vincere contro Brasile e Spagna ha maggior valore che vincere contro Malta). Il Brasile risulta la squadra favorita, con l’Italia che segue la Germania al terzo posto.
  Goldman Sachs usa un modello con criteri simili a quelli di JP Morgan, ma prevede il Brasile probabile vincitore, con la Spagna subito dopo. L’Italia è al settimo posto con una probabilità di vittoria che è la metà di quella del Brasile. Queste le stime prima della sconfitta della Spagna di oggi, naturalmente. 
• un modello econometrico per prevedere i risultati dei mondiali

 Infine trovate qui un elenco di link con le previsioni per i mondiali fondate sui metodi quantitativi. L'approccio quant allo sport mi incuriosisce sempre di più, anche gli studenti sono curiosi, peccato che manchi il tempo per approfondire tutte le passioni!

Gold in the long run?

Quando si dice investire per il lungo periodo....se credete a Raymond Kurzweil il vostro orizzonte temporale per gli investimenti raggiunge i 700 anni ...: “We will transcend all of the limitations of our biology,” says Raymond Kurzweil, the inventor and businessman who is the Singularity’s most ubiquitous spokesman and boasts that he intends to live for hundreds of years and resurrect the dead, including his own father. “That is what it means to be human — to extend who we are.” 

Se come me trovate questa prospettiva terrificante ma siete ugualmente preoccupati da un più modesto long run che si misura in un lustro o due anzichè in secoli e secoli potete unirvi alla qualificata schiera di investitori che proteggono il loro capitale dalla futura probabile monetizzazione del debito sovrano aggrappandosi all'oro: la compagnia comprende superstars come John Paulson e George Soros:
Daniel J. Arbess, who manages more than $2 billion in Perella Weinberg’s Xerion fund, is another new gold lover. A few years ago, he said, he would not have taken a second look at gold as an investment. But now Mr. Arbess, a Harvard Law graduate and a generally conservative investor, is very serious about gold.
Spiraling deficits in the United States, Japan and Britain are unsustainable, he said, and could eventually hurt confidence in what are called “fiat currencies” — paper money not backed by gold, including the United States dollar.
“Indebted countries may soon be forced to choose among three politically difficult alternatives: sharp cuts in expenditures, debt default or printing money to pay off debt,” he said, with the last option the most likely outcome. Gold, he said, is a logical hedge against this risk, because firing up the printing presses ignites inflation.
True believers note that gold has risen in each of the last nine years, and that while the Standard & Poor’s 500-stock index is down 13 percent since 2001, gold is now worth nearly five times what it was then.
For all its newfound respectability, gold still manages to bring out the inner survivalist in its adherents. Gold bugs like Peter Schiff of the investment firm Euro Pacific Capital in Westport, Conn., envision a black market arising in the United States, with merchants refusing paper money and insisting on gold instead, while Mr. Hathaway, the gold fund manager, says the credit system has entered “the end game.”
“People probably still think I’m nuts,” Mr. Hathaway said. “But I’m not talking to myself in an isolation chamber anymore. We’ve got company now.”

In difesa dei fondi hedge. La storia di un blogger di successo.

Appassionata e ben scritta difesa degli hedge funds sul Wall Street Journal  che solleva un punto fondamentale per mantenerli liberi da regolamentazioni troppo pesanti: Light regulation has allowed Mr. Jones's descendants to seize opportunities as they arise—when Farallon was not buying a bank in Indonesia, it was speculating on corporate mergers, distressed debt or a water project in Colorado. Equally, the freedom to go long and short has permitted hedge funds to express investment views with precision. Rather than simply buying a stock or a bond whose performance will reflect currency shifts, interest rates, trends in the broad market, and so on, a hedge fund can hedge out the risks on which it has no view, isolating the particular risk on which it has a real insight.
E ancora, in conclusione dell'articolo: Given the difficulties with financial reform, legislators should embrace a complementary approach: As well as struggling to tame financial behemoths, they should promote boutique risk takers. With only a few exceptions, hedge funds have the powerful virtue of being small enough to fail; indeed, some 5,000 went out of business in the course of the past decade, and none imposed losses on taxpayers. Mythology notwithstanding, the average hedge fund's leverage is more sober than that of banks and investment banks.
The question for policy-makers is what kind of financial institution will absorb risk most efficiently—and do so without a backstop from taxpayers. The answer awaits discovery in the story of A.W. Jones and his descendants. The future of finance lies in the history of hedge funds.

Dal mondo accademico una ricerca sembra portare nuova evidenza alla tesi sopra esposta in difesa dei fondi hedge: secondo un articolo molto originale di Billio, Getmansky, Lo e Pellizzon  il rischio sistemico - il principale target delle riforme finanziarie in discussione negli USA e in Europa - è soprattutto alimentato dagli atteggiamenti troppo speculativi di banche e assicurazioni piuttosto che dai fondi hedge: Our results suggest that while hedge funds can provide early indications of market dislocation, their contributions to systemic risk may not be as significant as those of banks, insurance companies, and brokers who take on risks more appropriate for hedge funds.
Lo studio di Billio e coautori mi sembra davvero molto bello: spero di trovare il tempo per dedicargli un post in un futuro relativamente prossimo. 

Qui potete leggere la storia di un blogger di successo: da anni Edward Hugh annunciava la crisi dell'euro sul suo blog ad un piccolo gruppo di lettori. Ora, grazie alla crisi e all'articolo sul New York Times, è diventato una celebrità del Web 2.0! Guardate qui che effetto può avere un articolo sul NYTimes sul numero di visite giornaliere al blog...

Aggiornamento all'11 giugno 2010

Ecco l'aggiornamento all'11 giugno 2010.

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

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

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

Aggiornamenti sul flash crash del 6 maggio

Ecco alcuni link con aggiornamenti e analisi sul flash crash del 6 maggio scorso:

• Qui potete scaricare il rapporto preliminare della SEC sul flash crash del 6 maggio.
• In questo post si analizza la caduta dei principali indici, individuando nel Nasdaq 100 un possibile motore del crash. Siccome Apple contribuisce per il 19%all'indice l'autore provocatoriamente si chiede Was the flash crash Apple's fault? Non prendetelo pero' troppo sul serio !
• Ecco un blog dedicato all'analisi dell'HFT: flashcrash.org !
• Su The Swapper trovate la testimonianza di un high frequency trader mentre il crash si consumava davanti ai suoi occhi. La tesi  di Manoj Narang e' decisamente originale... l'intervento umano ha peggiorato le cose: human intervention exacerbated the crisis. First of all, I will just reiterate that this crisis was precipitated by panic selling by humans. The reason why this happened was because was the market was in particular vulnerable state on May 6th. We just had had a huge run-up in the equities markets, we were in the midst of a 10% correction, even before the mayhem unfolded, and on top of that you had very vexing news coming out of Europe, lots of images on CNBC, people rioting in the streets in Greece, the prospects of the second phase of the crisis unfolding. In that sort of an environment, people tend to seed the markets with stop orders. That’s what happened in 1987, that’s what happened this time around. So, the market was ripe for a catastrophic event, because it was so saturated with stop orders, all it needed was a catalyst. And the catalyst occurred, according to a couple of Reuters reporters, because a large mutual fund complex, decided to do a $4.5B hedging transaction in e-mini futures contracts, which track the S&P 500 index, when the market was already in that vulnerable state.
• Un altro post interessante su The Swapper: Should certain algorithmic trading strategies be banned?

Ah...questi banchieri!

Un'articolo sul New York Times riporta d'attualità il dibattito sui meccanismi di incentivazione nella banche: secondo uno studio della Fed many of the bonus and incentive programs that economists say contributed to the worst financial crisis since the Great Depression remain in place, according to people briefed on the examinations.
Officials have found, for example, that risk managers at several of the biggest banks still report to executives who have influence over their year-end bonuses and whose own pay might be constricted by curbing risk. In many cases, risk managers do not have full access to the compensation committee of the banks’ boards.
The review also revealed that banks tend to set similar bonus formulas for broad sets of employees and often do not adjust payouts to account for risks taken by traders or mortgage lending officers. Bank executives and directors, meanwhile, are often in the dark on the pay arrangements of employees whose bets could have a potentially devastating impact on the company. 

Sempre il NYTimes ha preso qualche giorno fa una posizione molto netta sulle reticenze di Goldman Sachs: Phil Angelides, chairman della Financial Crisis Inquiry Commission del congresso USA ha inviato un'ingiunzione formale alla banca americana affinchè renda disponibile alla commissione documenti di varia natura giudicati indispensabili per lo svolgimento dell'inchiesta. Secondo Angelides Goldman has either not responded to requests — stretching back to January — for documents and interviews or has submitted data that are so voluminous or disorganized as to be useless.

Ora è il momento di decidere: più debito, più stimolo, più occupazione?

Brad De Long prosegue dalle colonne di Seekingalpha la sua battaglia a favore degli stimoli all'economia e contro la depression economics: nel suo ultimo post dal titolo We need bigger deficits now sostiene senza mezzi termini che il momento è propizio anche grazie ai bassissimi tassi di interesse che il mercato richiede per finanziare il debito USA: De Long usa un moltiplicatore di 1.5 (!!) per il denaro impiegato dal governo, cioè sostiene che ogni dollaro di ulteriore debito governativo produce 1.5 dollari di aumento del GDP. Non sono competente per sollevare un'obiezione qualificata ma mi sento in dovere di avvertire i lettori meno navigati che si tratta di un punto controverso e politicamente molto sensibile. Un economista meno liberal di De Long abbasserebbe notevolmente questo valore (i libertari più estremisti sostengono addirittura che il moltiplicatore è negativo!). Ciò premesso ecco le conclusioni di De Long:

Each dollar of missing production and each unemployed worker right now is much, much more painful to the country and a much greater loss to human welfare than a dollar of missed production and an unemployed worker in normal times.
The argument for more spending is airtight as long as the arithmetic holds out. That is, until:

• further increases in the deficit lead to rising expectations of inflation, leading the Federal Reserve to raise short-term interest rates, which then crowds out private-sector investment spending;

or:

• further increases in the deficit lead to pressure on the federal government’s debt capacity, so that we can no longer finance additional federal government debt at such extraordinarily advantageous interest rates.

Back in December 2008 the incoming Obama National Economic Council feared that an increase in the proposed size of the Obama stimulus program, the ARRA, from $800 billion to $1.2 trillion would bring these factors into play. It is now clear that they were overly pessimistic, in large part because they were overly optimistic about the state of the economy.
Right now, bad politics is undermining good policy, hurting the American economy and legions of unemployed workers. It is long past time for another stimulus package.

Per un'analisi della situazione del mercato del lavoro negli Stati Uniti aggiornata con i dati di venerdì scorso potete leggere questo articolo su Marketwatch: l'incipit dice già tutto...
...
The news on jobs isn't as bad as it seemed on Friday.
It's worse.
President Obama and Treasury Secretary Geithner were trying to putting on a happy face, but the markets weren't buying. They have tumbled worldwide since the latest payroll data.
But instead of overreacting, the markets may only just be waking up to the real bad news

Ma se volete una nota di ottimismo...eccola. Divertente il riferimento all'opacità della BCE.

E se le società di calcio si pagassero il servizio d'ordine con i propri soldi?

Cari lettori, consentitmi per una volta di andare completamente  fuori tema: ho appena letto su La Voce un breve articolo di Fausto Panunzi che mi vede completamente d'accordo. Al Presidente del Palermo che invoca la difesa della libertà contro la patente degli ultrà rilasciata dalle questure Panunzi risponde senza mezze misure:

La libertà è certamente un valore fondamentale, ha ragione il presidente del Palermo. Ma se Zamparini e gli altri presidenti sono seri su questo punto, possono fare una cosa semplice: assumersi l’onere di garantire la sicurezza all’interno degli stadi mediante steward pagati dalle società stesse. Nella Premier League inglese già funziona così. In altre parole, i presidenti delle società dovrebbero non limitarsi a mere enunciazioni di principio e agire concretamente per realizzare i loro desideri. Troppo comodo parlare di libertà, quando poi sono i poliziotti a prendere le botte e il contribuente a pagare le forze dell’ordine che garantiscono (o provano a farlo, a volte anche con errori) la sicurezza negli stadi.

Sono le stesse identiche cose che penso da quando dieci anni fa, appena arrivato a Pisa, una domenica fui testimone del dispiegamento di 5000 poliziotti per tenere a bada le tifoserie di Pisa e Livorno.

Un'altra opinione (troppo ?) ottimista sulle azioni USA mentre il vecchio continente è da buttare?

Dal Wall Street Journal: Bob Doll, strategist per il mercato azionario USA a BlackRock, vede un futuro roseo per le azioni americane. La tesi fondamentale di Doll è che

(...) compared to the rest of the world the U.S. is in reasonably good shape. Our economic fundamentals are sound: Manufacturing levels are up and interest rates and inflation are low. The broader economy's recovery is also finally translating into meaningful employment improvements—recent employment reports show increases in average hourly earnings and hours worked—and I believe this trend will continue. 
The recovery that took root last summer with the help of government stimulus now seems to be evolving into a self-sustaining expansion. In the first quarter of 2010, nominal GDP reached an all-time high. Real GDP will reach a new high either late in the second quarter or early in the third.
Compared with historic trends, these developments are extraordinary. Following the Great Depression, the U.S. took 15 years to return to its previous GDP level. Japan's growth took nearly as long to recover following its "lost decade" of the 1990s. But in just a few quarters, our economy has taken monumental steps toward health.
Now consider Europe, grappling with significant sovereign debt and deflation, and an inflexible currency system straining its governments. In Japan, economic recovery is evident, but the pace is much slower. Deflation and a declining population remain real concerns, a strong yen has slowed exports, and the banking system is pressured.
(...)
What about emerging markets? The largest of the emerging economies (Brazil, Russia, India and China) have advanced their global GDP share to 15% from 7% since 1995. But their relative economic expansion has come at the expense of Europe and Japan—not the U.S. Fifteen years ago, the U.S. accounted for 25% of global GDP. Today? Still 25%.
(...)
Corporate profits could reach a new record high in this year's third quarter. Free cash flow for nonfinancial American companies is also exceptionally high—cash on the balance sheet is close to 11% of assets, a 60-year high. And high cash levels are already generating dividend increases, share buybacks, capital investments and M&A activity—all extremely shareholder friendly.
The importance of improving America's productivity growth can't be overstated. High productivity tends to lower unit labor costs and boost corporate profits.
According to Citigroup, U.S. unit labor costs are dropping at their fastest pace in 40 years. We last saw a similar surge in U.S. productivity in the late 1990s. Then, U.S. corporations were heavily investing in their own businesses, and foreign investors were increasing their U.S. allocations. This sparked a rise in the dollar. Improving productivity, a strengthening currency, and rising equity markets are linked. We saw that synchronization 15 years ago, and we are seeing it today.
(...) The bottom line is that the U.S. has generally performed better on the upside this year and held its ground better on the downside.
The relative strength of U.S. stocks is no accident. Since the credit crisis struck, we have taken quicker action and demonstrated greater innovation than our competitors.
Potential risks—trade complications, escalating credit contagion, overly aggressive financial regulation, and tax increases—clearly remain. But for the moment, our nation seems poised to remain a City Upon a Hill.

La percezione di un'Europa confusa e inconcludente è molto forte negli USA: eccovi altri due assaggi dal Wall Street Journal di oggi:

•  il piano di salvataggio dell'eurozona non ha garanzie: Is the euro zone's €440 billion ($524 billion) new funding facility more than a very large mirror and an industrial quantity of smoke?It is hard to avoid the suspicion that if the special purpose vehicle (SPV) is truly needed, implying markets have refused to fund several euro-zone countries, it won't work as planned. One fear is over demand for the SPV's bonds.
  (...) Ultimately, the only surefire solution to a major funding crisis may be a common euro-zone bond backed by federal taxation. The SPV proposal is a step in that direction. Completing the journey requires a sacrifice of sovereignty few, if any, are willing to make. For now, austerity to avoid being forced to use the SPV seems the more likely outcome.
  

• la nebbia della BCE:  So what do investors want? More information as to how much the central bank will spend on a controversial government-debt-purchase program, the widening chasm between the ECB and Germany's Bundesbank, and the ECB's views on the euro's steep slide.They aren't alone in thirsting for clarity. Financial-market fears have driven overnight deposits at the ECB to records, showing banks figure it is better to accept a paltry 0.25% interest rate than lend to other banks.
  

Stocks for the long run?

Tutti sanno che gli investimenti azionari devono essere presi in considerazione solo da investitori disponibili ad accettare perdite nel breve-medio periodo e che possano investire con orizzonti temporali molto lunghi...bene: che ne pensate di un un mercato orso lungo 64 anni?

Ammettiamo per un momento che la bolla internet non sia confrontabile a quella dei mari del sud del 1720 (non penso che lo sia!), e proviamo ad ascoltare un'opinione più autorevole: il fondatore di Vanguard Funds,  John Bogle, è ottimista sul futuro dei mercati azionari, almeno per chi è provvisto di pazienza e di fegato. Secondo Bogle è lecito aspettarsi rendimenti intorno al 7% annuo per il prossimo decennio. Infatti:
The dividend yield today is around two and a quarter percent.
From these levels of earnings--whatever they are, because there's a lot of cheating going on in corporate America about earnings, a lot of focus on operating earnings, which are of course higher than reported earnings, which have all those write ups in them--but whatever it is, I think earnings might be able to grow from these levels way above the long-term norm, which is around five percent to maybe six or seven percent.
Let's use seven and say the investment return, that's the dividend yield, plus the earnings growth might be as high as eight or nine percent. I look for price earnings multiples which are the source of speculative return, which can add or detract from that investment return. Nobody knows what those P/E's will do in the next decade, but I'd guess they'd come down a little bit, maybe taking that eight or nine percent return down to say seven percent.
So that would be my outlook for reasonable expectations for stocks in the next decade.

Bogle è invece molto preoccupato dal mercato obbligazionario

Ancora un po' di incentivi, please. I rating dei CDOs: sbagliati per caso?

Su Seekingalpha Brad De Long difende con caparbietà la necessità di nuovi incentivi per l'economia USA contro i fautori dell'austerità di bilancio fin da subito.

Vi segnalo da Econotwist un post al vetriolo dedicato al rapporto preliminare della commissione del congresso USA sulla crisi finanziaria: se non vi basta il titolo del post How To Create A 3 Trillion Dollar Bubble And Burst It  eccovi un assaggio dei contenuti che chiamano in cause senza mezzi termini le agenzie di rating:

The U.S. Financial Crisis Inquiry Commission have released a preliminary report on its findings after investigating the rating agencies role in the financial crisis.  Inflated initial ratings, and later rapid  
downgrades, on mortgage-related securities by the agencies have contributed to the financial crises through a number of channels, the commission concludes.
“In total, $2.5 trillion worth of RMBS and $564 billion worth of CDOs have been downgraded since January 2007.” 
In other words; the rating agencies have erased more than 3 trillion dollars from investors accounts by correcting their own initial mistakes, triggering the biggest financial crisis since the 1930′s. The preliminary report explains what happened and how, but leaves the questions on why open to more speculations. (...)

Stupidity Or Manipulation?

There are only two possible explanations for the rating agencies handling of the credit derivatives:
1. They had no clue what so ever about what they were doing.
Or
2. They purposely tried to manipulate the market.
The commission don’t make any conclusive statements at this point, but the last word have definitely not been said in this matter.
But its beyond doubt that the rating mess was one of the main triggers behind today’s the financial crisis.

La fine dell'oligopolio delle agenzie di rating? Le banche e il gioco del cerino con il debito dei PIIGS: chi si scotterà?

Con un OpEd, il New York Times dà voce a  una posizione netta a favore della non obbligatorietà dei ratings per alcuni tipi di investimenti, ponendo fine all'oligopolio delle agenzie di rating:

Reliance on ratings has grown significantly since the 1970s (...)
But as the reliance on ratings has spread, their reliability has plummeted. A continuous thread runs through the collapse of Orange County, Enron, Bear Stearns and the issuers of collateralized debt obligations: All received high ratings and then promptly collapsed.
The crisis hasn’t changed a thing. In fact, more than two years since it began, there are still nearly 2,000 references to credit ratings in the Federal Register. At the height of the crisis, the Federal Reserve instituted the Term Asset-Backed Securities Loan Facility, a huge program to encourage lending, but the borrowers could buy only AAA-rated investments.
Just this year, the S.E.C. endorsed ratings in regulations governing money market funds, even after it removed references to ratings in other rules. Meanwhile the Department of Labor has exempted pension funds from some rules if they trade securities with high ratings.
Government reliance on credit ratings explains why they retain such power in the market. Just as people must obtain a driver’s license before driving a car, borrowers must obtain a regulatory license before borrowing money. This is why Mr. Buffett feels powerless.
Mr. Buffett’s testimony comes at a crucial time, with the House and Senate working to reconcile more than 3,000 pages of financial reform legislation, including a short, simple provision to remove credit ratings requirements and force regulators and institutional investors to find substitutes. (...)  under the proposed reform in Congress, ratings wouldn’t be banned, just not required.
Ratings will continue to play an important role in the financial markets, and investors should continue looking to them in making their credit quality judgments. But using them should be an option, not a mandate to follow a government-enshrined oligopoly. 

Intanto continuano le incertezze sul debito dei PIIGS, alimentate anche dalla difficoltà a identificare i creditori. E' una versione ad alto livello del gioco del cerino...Secondo il New York Times:
The problem is, alas, that no one — not investors, not regulators, not even bankers themselves — knows exactly which banks are sitting on the biggest stockpiles of rotting loans within that pile. And doubt, as it always does during economic crises, has made Europe’s already vulnerable financial system occasionally appear to seize up. Early last month, in an indication of just how dangerous the situation had become, European banks — which appear to hold more than half of that $2.6 trillion in debt — nearly stopped lending money to one another.
Now, with government resources strained and confidence in European economies eroding, some analysts say the Continent’s banks have to come clean with a transparent and rigorous accounting of their woes. Until then, they say, nobody will be able to wrestle effectively with Europe’s mounting problems.(...)
Limited disclosure and possibly spotty accounting have been long-voiced concerns of analysts who follow European banks. (...) 
“Everybody knew there was a lot of debt out there,” said Nick Matthews, senior European economist at Royal Bank of Scotland and one of the authors of the report that tallied up Greek, Spanish and Portuguese debt. “But I think the extent of the exposure was a lot higher than most people had originally thought.”
Concern has quickly spread beyond just the sovereign bonds issued by the three countries as well as by Italy and Ireland, which are also seriously indebted.(...)
The European Central Bank estimates that the Continent’s largest banks will book 123 billion euros ($150 billion) for bad loans this year, and an additional 105 billion euros next year, though the sums will be partly offset by gains in other holdings.
Analysts at the Royal Bank of Scotland estimate that of the 2.2 trillion euros that European banks and other institutions outside Greece, Spain and Portugal may have lent to those countries, about 567 billion euros is government debt, about 534 billion euros are loans to nonbanking companies in the private sector, and about 1 trillion euros are loans to other banks. While the crisis originated in Greece, much more was borrowed by Spain and its private sector — 1.5 trillion euros, compared with Greece’s 338 billion.
Beyond such sweeping estimates, however, little other detailed information is publicly known about those loans, which are equivalent to 22 percent of European G.D.P. And the inscrutability of the problem, as serious as it is, is spawning spoofs, at least outside the euro zone. A pair of popular Australian comedians, John Clarke and Bryan Dawe, who have created a series of sketches about various aspects of the financial crisis, recently turned their attention to the bad-debt problem in Europe. After grilling Mr. Clarke about the debt crisis in a mock quiz show, Mr. Dawe tells Mr. Clarke that his prize is that he has lost a million dollars. “Well done,” says Mr. Dawe. “That’s an extraordinary performance.”
On a more serious front, Timothy F. Geithner, the United States Treasury secretary, visited Europe at the end of May and called on European leaders to review their banks’ portfolios, as American regulators did last year, to separate healthy banks from those that need intensive care.
Others say that if such reviews do not occur, the banking sector in Europe could be crippled and the broader economy — dependent on loans for business expansions and job growth — could stall. And if that happens, says Edward Yardeni, president of Yardeni Research, the Continent’s banks could find themselves sinking even further because “European governments won’t be in a position to help them again.” (...)
On May 7, the cost of insuring against credit losses on European banks reached levels higher than in the aftermath of the Lehman Brothers collapse in the United States. Officials at the European Central Bank warned that risk premiums were soaring to levels that threatened their ability to carry out their fundamental role of controlling interest rates. Three days later, European Union governments joined with the International Monetary Fund to offer nearly $1 trillion in loan guarantees to Europe’s banks. At the same time, the European Central Bank began buying government bonds for the first time ever to prevent a sell-off of Greek, Spanish and other sovereign debt.
The measures, widely regarded as a de facto bank rescue, restored some calm to the markets, but critics said that the aid merely bought time without reducing overall debt load. Europe’s major stock indexes and the euro have continued to fall as investors remain dubious about the ability of Greece and perhaps other countries to repay their debts.
Even so, figuring out which banks may be most exposed to those countries largely remains a guessing game.
Regulators in each country know what assets their domestic banks hold, but have been reluctant to share that information across borders. (...)
According to the Royal Bank of Scotland study, banks in France have the largest exposure to debt from Greece, Spain and Portugal, with 229 billion euros; German banks are second, with 226 billion euros. British and Dutch banks are next, at about 100 billion euros each, with American banks at 54 billion euros and Italian banks at 31 billion euros.
“Banks continue to not trust each other,” says Jörg Rocholl, a professor at the European School of Management and Technology in Berlin. “They know other banks are sick, but they don’t know which ones.”

Oltre al GDP l'economia del sapere.

Prosegue la polemica sulla mossa europea - francese in primis - di proporre nuove
misure di output economico che sostituiscano il GDP: il Wall Street Journal affronta la questione senza mezze misure e con toni decisamente meno neutri di quelli del NYTimes
di qualche giorno fa, che abbiamo discusso in questo post, ignorando completamente la questione della distribuzione della ricchezza (tanto per fare un esempio). Ma l'osservazione che la differenza tra l'output economico USA e quello Europeo potrebbe
essere amplificata dall'introduzione di nuove misure che tengano conto dell'economia del sapere
mi sembra corretta:

Reworking the concept of the GDP is an idea that's been kicking around in economics for decades.
Politicians—mainly European ones—are the reason for the push today. (...)

European leaders have every reason to be chagrined by their GDP record. From 1982 to 2007,
France grew at a rate of 2.1% per year, as did Germany, with Italy at 1.8%, whereas the U.S.
grew at 3.3%. Thus Americans got a third richer over that quarter century. One way to paper
over this staggering differential in economic performance is to call GDP a flawed statistic.

(...) European politicians should be careful what they wish for. For if GDP is reworked in a way consistent
with the cutting edge of macroeconomic theory, the difference between American and European performance
stands not to shrink but widen. The premise of the "new growth theory" of Stanford economist Paul Romer
is the fact that the richest economies (such as the U.S.) sustain higher rates of growth than the next
richest economies. Countries with "room to grow" often don't grow very much, whereas countries at maximal
output keep powering ahead.

The key to Mr. Romer's analysis is that ultra-developed economies tend to have a high and rising degree
of non-depreciable capital. Driving production in these economies are increasingly fewer machines—which
wear out, must be serviced, and replaced—in comparison to "book knowledge"—the formula for a drug,
computer code, a distribution system—that does not depreciate at all. Therefore, ultra-developed economies
come to devote fewer resources to maintaining the capital stock and more to actual production.

Oddly enough, spending on maintaining the capital stock is a component of GDP. But while both Europe and
the U.S. spend a great deal on capital repair and replacement, the headquarters of the knowledge economy
is the U.S.—with its universities, start-ups and pharmaceutical industry, much of which has decamped from
Europe.

In light of the new growth theory, a good portion of what counts as output—fixing all those old
machines—should be minimized in the aggregate output statistic, just as development of non-depreciable
capital, in which the U.S. specializes, should be given extra weight. In recent years, America has been
doing far more than Europe to create permanent (not to mention sharable) capital goods, and this fact at
present is not captured in GDP. The French report makes a brief pass at this major anomaly but does not
grapple with it.

Addio al lavoro, alle borse, all'euro. Aggiornamento al 4 giugno 2010

Ahi ahi...ahi...che male....ci mancavano l'Ungheria e l'occupazione nell'USA che non cresce (se si escludono i lavoratori a tempo determinato assunti per fare il censimento). Così venerdì se ne sono andati tutti i guadagni che le borse avevano faticosamente messo insieme durante la settimana. Se poi il finesettimana leggete la newsletter  di John Mauldin allora vi viene voglia di investire tutti i vostri risparmi in oro, fucili e cibo in scatola...Infatti metà della lettera di questa settimana è dedicata alla possibilità che l'economia USA si contragga nel terzo trimestre del 2010...Scrive Mauldin:
If we go back into recession, the market on average drops 40%. This is NOT a buy-and-hold market. It is a buy-and-trade or, for those with the skills, sell-and-short. (If you are not experienced at short selling, this is not the time to jump in "whole hog." Short selling is a craft. An art form. A dangerous thing for rookies. Trade gently, gentle reader.)
There is a slow train coming. Between December of 2007 and through April of this year disposable personal income would have been DOWN just over $900 billion without the stimulus money (Gary Shilling). It would have been a far more serious recession. And now we are getting ready to find out whether we can make it without the intravenous infusion of government (borrowed taxpayer) money. I fear the train is going to slow down.
Restando su queste note di ottimismo sfrenato vi segnalo anche:

• un'analisi lucida e impietosa delle prospettive di medio termine per la Grecia e gli altri PIIGS; 
• chi si ricorda della pizza di fango del Camerun? Che sia il momento di rispolverarla...per l'euro?
• Gli economisti si dividono e dibattono: inflazione o deflazione nel nostro futuro? Ecco al riguardo l'opinione di Brad De Long:
  I AM going to turn my microphone over to one of my teachers who I think has the very best answer to this question. I never met, him, however: he died three years before I first set foot into an economics classroom, because he has what I think is the best answer to this question.
  Here is British economist R.G. Hawtrey*, writing about the coming of the Great Depression to Europe:
  

  The [United Kingdom's] National Government which came into office at the end of Auguest, 1931, made strenuous efforst to balance the budget, but it was too late to stem the flight from the pount. On the 21st September the convertibility of the currency into gold was suspended. On that day Bank Rate [i.e., the Bank of England's discount rate *and* the overnight interbank rate] was raised to 6 per cent [per year]. Once the gold standard was suspended, there could be no doubt of the purpose of that step. In the face of the exchange risk [created by abandoning the peg to gold] the high rate could not possibly attract foreign money. It could only be intended as a safeguard against inflation. Fantastic fears of inflation were expressed. That was to cry "Fire! Fire!" in Noah's Flood. It is *after* depression and unemployment have subsided that inflation becomes dangerous...

  It looks alarmingly as if those many of us who do not remember history are, as Jorge Agustin Nicolas Ruiz de Santayana y Borras warned, condemned to repeat it. And it looks, even more alarmingly, like those of us who do remember history are as well condemned to repeat it with them.
  * R. G. Hawtrey (1938), "A Century of Bank Rat
• Purtroppo le divisioni e la confusione che regnano la politica europea si fanno sempre più sentire: secondo il Wall Street Journal: Europe's national governments have become their own biggest systemic risk. The ECB's Financial Stability Review is a twice-yearly look at the condition of Europe's banking sector. According to the report, European banks need to roll over some €800 billion in long-term debt in the next two and a half years, and to do so they'll have to compete with European governments that last year borrowed some €811 billion among them. This competition for capital between the private and public domains could drive up interest rates, or even lead to a liquidity squeeze for the banks or the public fisc, or both.
  The situation is made more dangerous by the rules on how bank capital is calculated. Under regulatory capital requirements, highly rated government debt owned by banks is generally considered nearly risk free, giving financial institutions a strong incentive to hold sovereign debt. According to the Bank of International Settlements, its member banks have some $2.1 trillion in total exposure to European sovereign debt. So a pan-European sovereign debt crisis would not only affect the ability of European capitals to pay their bills. It would pose a threat to the solvency of the private banking system itself.
  In the fall of 2008, the worry around the world was that a crisis in bank solvency would drag down the global economy. Today, the risk has shifted. A looming crisis in national solvency could threaten the same banks that Europe and the U.S. so recently saved. Only this time, the lender of last resort could itself be bankrupt. The ECB calls this "adverse feedback between the financial sector and public finance." We call it a recipe for disaster unless governments get their finances under control.
   
• Cosa deciderà il G20 sugli stress test per le banche? 

Ecco l'aggiornamento al 4 giugno 2010

Abolire le agenzie di rating, l'arbitraggio della latenza, Basilea n+1 e i CDS sulle banche europee

L'articolo di Andrew Ross Sorkin sul New York Times di qualche giorno fa sulle agenzie di rating mi era sfuggito: si tratta di uno j'accuse senza mezze parole che potete leggere qui. 

Ci sono tanti modi di implementare strategie di trading ad alta frequenza, molti dei quali comportano un giusto premio alla creatività e intelligenza dei loro ideatori: non c'è dubbio però che questo tipo di vantaggi (bellino l'eufemismo....latency arbitrage) dovrebbero essere eliminati!

Dal G20 ci si aspetta un sostanziale passo avanti verso Basilea 3. Però aspettare il 2022 per la sua piena implementazione mi sembra un po' tanto. Leggendo l'articolo si trova una frase agghiacciante come:
As part of the rule-making process, the banks conducted studies this spring to gauge the likely impact of the proposals on their capital and liquidity levels.
The data show that banks world-wide would face huge capital and liquidity shortfalls under the proposals, according to government and industry officials briefed on the results.
In Europe, bank executives say there is likely to be a gap of more than €1 trillion ($1.2 trillion) between banks' current capital and liquidity buffers and what would be required under the Basel proposals.
In comparison, stress tests ordered by the U.S. government last year resulted in 10 of the nation's biggest banks being told to raise a combined $74.6 billion in capital to cushion themselves.
E poi vi stupite che l'euro sia in caduta libera e che la crisi (pardon..."correzione") delle borse abbia avuto inizio proprio in Europa?

Intanto la liquidità si sta nuovamente prosciugando anche se siamo ancora lontani dai livelli parossistici del dopo Lehman. La paura degli investitori in un nuovo aggravarsi della crisi finanziaria, magari con qualche banca europea che finisce gambe all'aria, è in continuo aumento, almeno a giudicare dal costo dei CDS sulle principali banche europee, come mostra il grafico qui accanto tratto da un articolo dell'Economist sull'argomento.

Buffett, le agenzie di rating, la dis-Unione Europea

Breve elenco di letture suggerite:

• oggi Warren Buffett testimonia davanti alla commissione del Congresso USA che studia le cause della crisi finanziaria. Berkshire Hathaway è il maggiore azionista di Moody's e sarà interessante vedere in che misura la testimonianza di Buffett riuscirà a sfuggire alle accuse relative all'ovvio conflitto di interessi. Il tema sul tavolo è se liberalizzare opppure no il mercato delle agenzie di rating. Ne parla in questo articolo il Wall Street Journal che attribuisce a Bill Gross questa non propriamente diplomatica citazione: Bond-fund king William Gross of PIMCO recently wrote to investors that the raters' credit models call to mind "an idiot savant with a full command of the mathematics, but no idea of how to apply them." He added that the agencies "no longer serve a valid purpose for investment companies free of regulatory mandates" and urged investors to dismiss their judgments.
•  Un'idea per il carry trade fai-da-te (attenzione però alla doppia tassazione dei dividendi)
• Aiuto! Ci siamo...dopo la Grecia la speculazione ha l'Italia nel mirino!
• La dis-Unione Europea attira l'attenzione alla riunione dei ministri delle finanze del G20
• Le obbligazioni decennali del Tesoro USA rendono poco più del 3%. Alla fine del 2008 avevno toccato il 2% ma due mesi fa il rendimento era salito al 4%. Ecco il panorama delle previsioni degli analisti secondo il Wall Street Journal:
  Jefferies now has the highest 10-year yield forecast among primary dealers, supplanting Morgan Stanley, which on May 10 slashed its outlook from 5.5% to 4.5%, citing the European crisis and the likelihood of the Fed keeping short-term rates lower for longer.
  RBS Securities Inc., is likely to cut its rate outlook from 4.4% when its forecast committee meets later this month, said RBS Treasury strategist William O'Donnell.
  "It's going to change, and it's likely to be lower," said Mr. O'Donnell, who suggested he would lobby for a significantly lower forecast. "We're about to face fiscal austerity, a threat to growth and for further disinflation, which should support Treasury prices."
  
  
  
  HSBC Securities, which has long had the lowest forecast among primary dealers for Treasury yields, has kept its year-end 10-year note forecast at 3%. Goldman Sachs has held firm to its second-lowest year-end forecast of 3.25%. Cantor Fitzgerald, which in late March expected the 10-year note to end the year at 4.15%, was the only primary dealer unavailable for comment.
  Economists and analysts, meanwhile, generally think yields will eventually end the year higher, even as they have lowered their forecasts.
  "I think we have a sustainable expansion in the U.S., and inflation, though it will remain quite low, is not going to slip into Japan-style deflation," said Mr. Pandl of Nomura. "The inflation outlook is really the biggest point of uncertainty—if you're going to get lower yields, it means you're going to have some deflation scenario for the economy as a whole."
  The risks for Treasury bond bulls include economic growth that is stronger than expected and a cooling of the European debt problems that have driven investors into Treasurys. These would help remind investors that the Treasury Department is still borrowing heavily, a situation that could bring higher yields, as it did in Europe
• A proposito di inflazione negli USA e della capacità di debito del Tesoro USA: i TIPS decennali hanno un rendimento appena sopra l'1% (!)

Come fare convivere formiche e cicale

Dalle colonne del Financial Times, Martin Wolf continua la rivisitazione dell'economia internazionale aggiungendo le locuste alle formiche e alle cicale. Ma la questione fondamentale secondo Wolf è

(...) is there a way to ensure ants and grasshoppers coexist harmoniously?
A part of the answer must be to reduce the instability of financial markets.
This is the focus of the debate on regulation – a topic I have discussed previously.
I would add two points here: first, seek to reduce the extremes of the property cycle by taxing the
rental value of land; second, remove incentives for leverage from the tax code.
Yet the biggest single problem of the global system, in my view, is the attempt by ants to provide
so much “vendor finance” to grasshoppers. In the end, both ants and grasshoppers have ended up disappointed.
A more productive use of the surplus savings and productive capacity of ageing ant nests
would be to lend to younger ones. So finance should flow to emerging countries, in general, and
fixed investment in emerging countries, in particular. It is in the latter that the best opportunities
for new investment should exist. It is the latter that are also most likely to generate the ability to
service and repay the loans they have received.
This seemingly sensible proposition runs up against two huge difficulties:
the first is that almost every attempt to generate large net flows of capital to emerging countries
over the past three decades has ended up in a crisis; the second is that, as a result, the emerging
world has decided to run current account surpluses and recycle those surpluses into ever larger
foreign exchange reserves: in 2010, for example, according to the International Monetary Fund,
the current account surplus of emerging countries will be $420bn, with an accumulation of reserves of $630bn.
Thus, in aggregate, emerging countries are recycling current account surpluses,
plus the net private capital inflow, into reserves. Nearly all of these surpluses are generated
by emerging Asia, in general, and China, in particular, though these countries have the best
investment opportunities.
So long as this remains true, the grasshopper colonies of the developed world are likely to remain net
recipients of capital, which they will surely continue to waste. Yet, under the pressure of the crisis
itself, many erstwhile grasshopper colonies are being forced to become more “ant-like”. If today’s rich
ant nests do not change their behaviour, potential surpluses will be huge. Either the emerging world as
a whole starts to absorb these surpluses into potentially productive younger nests,
or the world will be stuck in a demand trap, with everybody seeking export surpluses.
Flows of finance from export-driven ant nests to advanced grasshopper colonies end in tears.
Flows of finance from old ant nests to young ones have not worked out either.
If a way is not found to fix these failures, the open global economy itself may disappear.