2011年6月28日 星期二
In Europe, high hopes for high-energy Italian Mario Draghi at head of ECB
By Neil Irwin, Tuesday, June 28, 8:50 AM
FRANKFURT, Germany — The future of Europe will soon be in the hands of a dapper, 63-year-old Italian economist with a name reminiscent of a James Bond villain and with long experience in the delicate art of economic diplomacy.
Mario Draghi is set to take office as president of the European Central Bank in November, making him, along with the Federal Reserve’s Ben S. Bernanke, one of the world’s two most powerful central bankers. He is inheriting an extraordinarily difficult situation, taking control in the midst of a debt crisis, with little time to learn on the job.
The European media refers to Draghi as “Super Mario” for his energetic style. The question is whether he can live up to the nickname.
The core of his challenge is this basic impasse: Greece, one of the 17 countries that use the euro currency, is essentially insolvent, paying its debts only with the help of bailouts, and Portugal and Ireland are in dire straits as well. The ECB has declared it unfathomable for one of its member nations to default on its debts, a position Draghi has echoed. Yet the willingness of the governments of stronger European nations to continue with bailouts may be reaching a breaking point.
Draghi is no stranger to the issues in play. He has been leading the Italian Central Bank through the crisis, and thus has had a seat at the table on major ECB decisions. He also is chairman of the Financial Stability Board, a group of the world’s top central bankers and other financial officials that aims to coordinate global efforts to rein in risks to stability. Perhaps an even more relevant qualification: He was head of the Italian Treasury in the 1990s, when the country faced the risk of defaulting in a crisis of its own, and knows the pressures that the leaders of troubled European nations are coming under.
Those crisis-management skills will be tested at a moment of a shake-up among those addressing the European debt crisis. The eight-year term of the current ECB president, Jean-Claude Trichet, will come to an end Oct. 31. The politically connected Dominique Strauss-Kahn has resigned as head of the International Monetary Fund to fight sexual assault charges in New York. His likely replacement, Christine Lagarde, is currently the French finance minister.
Draghi has won respect among central bankers on both sides of the Atlantic, who view him as a thoughtful participant in international discussions with a knack for guiding groups toward agreement. He helped bring officials from emerging nations such as China and India into discussions on financial policy, while navigating differences between the more traditional powers of the United States, Japan and Europe.
“He has done a very good job focusing on getting consensus around good policy from a disparate group of people and not letting disagreements cause everything to lock up and slow down,” said Donald Kohn, a senior fellow at the Brookings Institution who was the No. 2 official at the Fed until last year. “They have very serious problems in Europe right now, and I can’t think of a better person to deal with them.”
2011年6月26日 星期日
Economic growth must slow, warns BIS
By Norma Cohen and Chris Giles in London
Global economic growth must slow to curb inflationary pressure around the world, the influential central bankers’ bank has warned, saying that there was little or no slack left for rapid non-inflationary expansion.
In its annual report, the Bank for International Settlements said that with the scope for rapid growth closing, monetary policy should be quickly brought back to normal and countries should act urgently to close budget deficits.
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The tough recommendations were urged on advanced and emerging economies alike from the BIS – the international organisation which came closest to predicting the 2008-09 financial and economic crisis – despite signs of weakening economic momentum this year.
The spike in energy prices has cooled the global economy since January and led to fears for the recovery, culminating in the International Energy Agency’s release of 60m barrels of oil in the coming month.
The BIS report, however, warned policymakers not to expect a normal recovery because much of the pre-crisis growth had been unsustainable and capacity will have been destroyed for ever, particularly in finance and construction.
Jaime Caruana, general manager of the BIS, said on Sunday that the imbalances caused by unsustainable growth before the crisis “now need to be rectified, and as they are, growth is bound to be slow. Policymakers should not hinder this inevitable adjustment.”
Rising food, energy and other commodity prices underscored the need for central banks around the world to begin raising interest rates, perhaps even more rapidly than they brought them down, said the BIS in its report. “Highly accommodative monetary policies are fast becoming a threat to price stability,” it concluded.
The fact that interest rates have been so low for so long also introduces new risks into the world’s financial system even though these policies were put in train initially by a desire to reduce risk, the report added.
“The persistence of very low interest rates in major advanced economies delays the necessary balance sheet adjustments of households and financial institutions,” the BIS said.
The BIS view runs counter to that of the Federal Reserve, its largest member central bank, which made it clear last week that its interest rates would remain extremely low for an “extended period”.
Its recommendations are closest to the policy of European Central Bank, which is expected to raise interest rates for a second time in early July. In a barb at the Bank of England, the BIS said inflation had persistently exceeded its 2 per cent target since the end of 2009, but that rates have not yet been raised in response. “One wonders how long its current policy can be sustained,” the BIS said.
2011年6月21日 星期二
Commodity Prices and the Mistake of 1937: Would Modern Economists Make the Same Mistake?
Gauti Eggertsson
In 1937, on the eve of a major policy mistake, U.S. economic conditions were surprisingly similar to those in the nation today. Consider, for example, the following summary of economic conditions: (1) Signs indicate that the recession is finally over. (2) Short-term interest rates have been close to zero for years but are now expected to rise. (3) Some are concerned about excessive inflation. (4) Inflation concerns are partly driven by a large expansion in the monetary base in recent years and by banks’ massive holding of excess reserves. (5) Furthermore, some are worried that the recent rally in commodity prices threatens to ignite an inflation spiral.
In 1937, on the eve of a major policy mistake, U.S. economic conditions were surprisingly similar to those in the nation today. Consider, for example, the following summary of economic conditions: (1) Signs indicate that the recession is finally over. (2) Short-term interest rates have been close to zero for years but are now expected to rise. (3) Some are concerned about excessive inflation. (4) Inflation concerns are partly driven by a large expansion in the monetary base in recent years and by banks’ massive holding of excess reserves. (5) Furthermore, some are worried that the recent rally in commodity prices threatens to ignite an inflation spiral.
While this summary arguably describes current trends, it is taken from an account of conditions in 1937 that appears in “The Mistake of 1937: A General Equilibrium Analysis,” an article I coauthored with Benjamin Pugsley. What we call “the Mistake of 1937” was, in broad terms, a decision by the Fed and the administration to implement a series of contractionary policies that choked off the recovery of 1933-37 and brought on the recession of 1937-38, one of the worst on record. What is particularly noteworthy is that the inflation fears that triggered the Mistake of 1937 were largely driven by a rally in commodity prices. These circumstances invite direct comparison with our own time, when a substantial recent rise in commodity prices (which now seems to be abating somewhat) stoked inflation fears and led some commentators to call for an increase in the federal funds rate.
The question for the contemporary reader is this: If we could transport a modern-day economist back to 1937, would he or she have made the same mistake? My suggested answer—admittedly somewhat hopeful—is no. I base this view on the fact that most economists today distinguish between the temporary movements in the consumer price index that stem from volatility in commodity prices and the movements that reflect fundamental inflation pressures. Hence a modern economist most likely would have identified the price rise in 1936 and 1937 as a temporary upswing in commodity prices that did not signal a significant increase in overall inflation.
The Mistake and Its Consequences
The Mistake of 1937 was a preemptive policy tightening in a fragile economic environment. Specifically, it was a decision to abandon the policy of “reflation” introduced in 1933. After prices tumbled during the 1929-33 depression, the administration of Franklin Delano Roosevelt (FDR) and the Federal Reserve made a commitment to increase the price level to pre-depression levels. (For more on this key initiative of the 1933-37 recovery period, see my article in the American Economic Review, “Great Expectations and the End of the Depression.”) The reflation policy was backed by an aggressive increase in government spending, the maintenance of large deficits, the abandonment of the gold standard, and monetary easing. If we accept the account of modern macroeconomic models, this reflationary policy mix can be very expansionary once the short-term interest rate is constrained at zero (as it was at the time). Why? Because at zero interest rates, if people start expecting that prices will rise instead of continuing to fall, the real rate of interest—a critical determinant of aggregate spending—turns from positive to negative. Thus, it becomes economical to spend money rather than save it. A further benefit of reflation is that it can repair balance sheets of overleveraged households and firms, a point explained in more detail in my recent paper with Paul Krugman, “Debt, Deleveraging, and the Liquidity Trap.”
The Mistake of 1937 was to relinquish the benefits of reflation and to set all policy levers in reverse. The Fed and key administration officials hinted at interest rate hikes and endorsed austerity in fiscal policy; the key concern now was containing inflation rather than sustaining recovery.
The effects of this policy reversal on prices and production are evident in the charts below. The top chart tracks the consumer price index (CPI) and the wholesale price index (WPI) over the period 1927-41, while the bottom chart plots the movements in industrial production over the same period. In both charts, the first vertical line marks the point at which FDR became president and announced a policy of reflation, while the second vertical line marks the Mistake of 1937. What we see in the top chart is that at the time in 1937 when the administration started warning that inflation was too high, the price level had not yet reached the pre-depression levels that had previously been the administration’s goal. Following this policy reversal, both prices and industrial production tumbled. The line indicating the “reversal of 1938” marks the point when the administration recommitted to inflating the price level to pre-depression levels. Significantly, this renewed commitment was followed by robust growth, as the bottom chart makes clear.
The Role of Commodity Prices
What prompted the inflation fears that led to the tightening of policy in 1937? A rally in commodity prices was largely responsible for triggering the concerns about inflation. As the chart below shows, prices of several commodities more than doubled in the span of only one year. These price increases led many policymakers to express concern about excessive inflation, as my paper with Pugsley documents.
It is unlikely, however, that a modern economist put in the same position would respond to the commodity price rise in the same way. Economists today generally do not focus on commodity prices without regard to the behavior of the aggregate price index. The rally in the commodity markets in 1936 and 1937 seems to have been driven largely by temporary supply factors, rather than by upward pressures in the overall price level. This finding is borne out by the fact that while the price of some commodities (such as corn) more than doubled between 1936 and the Mistake of 1937, the CPI rose at a slower pace (see the first chart in this post), peaking at a 4.8 percent year-on-year rate in May 1937. What this reflects, I believe, is that while some components of the CPI were very volatile, the aggregate index was not moving much at all.
Fed economists today typically monitor various components of the CPI that are not influenced strongly by temporary supply disruptions. For example, one common measure tracked is “core CPI,” which excludes volatile food and energy prices from the overall CPI basket (see chart below). In early 2008, the economy started a downward spiral that culminated in a crisis. As the economy’s direction became increasingly clear, economists became more concerned about downward price pressures than about inflationary pressures. This shift paved the way for aggressive interest rate cuts that year, with rates ultimately declining to zero.
At the same time, however, there was a temporary rally in commodity prices, driven by a rise in oil prices in early 2008, as can be seen in the figure above. This development prompted some commentators to warn against “excessive inflation.” But Fed economists and many others judged that the rise in prices was specific to commodities and did not signal an increase in overall price pressures. Largely ignoring the temporary rally in commodity prices, the Fed focused instead on core inflation and some alternative price measures that did not move much even as the CPI peaked in July 2008 at a year-on-year rate of 5.5 percent. This judgment proved to be correct: the larger trend in the aggregate price level during the crisis turned out to be downward, despite relatively volatile commodity markets during this period.
The bottom line, then, is that it is unlikely that a modern economist transported back in time to 1937 would have preemptively tightened policy on the scale that policymakers did at the time. Today’s economists, guided by economic research on general equilibrium models over the past several decades (see, for example, Eusepi, Hobjin, and Tambalotti), are a bit better at distinguishing movements in relative prices driven by temporary disruptions—such as the rally in commodity markets in 1937—from movements in core inflation, which may reflect broader inflation pressures.
The question for the contemporary reader is this: If we could transport a modern-day economist back to 1937, would he or she have made the same mistake? My suggested answer—admittedly somewhat hopeful—is no. I base this view on the fact that most economists today distinguish between the temporary movements in the consumer price index that stem from volatility in commodity prices and the movements that reflect fundamental inflation pressures. Hence a modern economist most likely would have identified the price rise in 1936 and 1937 as a temporary upswing in commodity prices that did not signal a significant increase in overall inflation.
The Mistake and Its Consequences
The Mistake of 1937 was a preemptive policy tightening in a fragile economic environment. Specifically, it was a decision to abandon the policy of “reflation” introduced in 1933. After prices tumbled during the 1929-33 depression, the administration of Franklin Delano Roosevelt (FDR) and the Federal Reserve made a commitment to increase the price level to pre-depression levels. (For more on this key initiative of the 1933-37 recovery period, see my article in the American Economic Review, “Great Expectations and the End of the Depression.”) The reflation policy was backed by an aggressive increase in government spending, the maintenance of large deficits, the abandonment of the gold standard, and monetary easing. If we accept the account of modern macroeconomic models, this reflationary policy mix can be very expansionary once the short-term interest rate is constrained at zero (as it was at the time). Why? Because at zero interest rates, if people start expecting that prices will rise instead of continuing to fall, the real rate of interest—a critical determinant of aggregate spending—turns from positive to negative. Thus, it becomes economical to spend money rather than save it. A further benefit of reflation is that it can repair balance sheets of overleveraged households and firms, a point explained in more detail in my recent paper with Paul Krugman, “Debt, Deleveraging, and the Liquidity Trap.”
The Mistake of 1937 was to relinquish the benefits of reflation and to set all policy levers in reverse. The Fed and key administration officials hinted at interest rate hikes and endorsed austerity in fiscal policy; the key concern now was containing inflation rather than sustaining recovery.
The effects of this policy reversal on prices and production are evident in the charts below. The top chart tracks the consumer price index (CPI) and the wholesale price index (WPI) over the period 1927-41, while the bottom chart plots the movements in industrial production over the same period. In both charts, the first vertical line marks the point at which FDR became president and announced a policy of reflation, while the second vertical line marks the Mistake of 1937. What we see in the top chart is that at the time in 1937 when the administration started warning that inflation was too high, the price level had not yet reached the pre-depression levels that had previously been the administration’s goal. Following this policy reversal, both prices and industrial production tumbled. The line indicating the “reversal of 1938” marks the point when the administration recommitted to inflating the price level to pre-depression levels. Significantly, this renewed commitment was followed by robust growth, as the bottom chart makes clear.
The Role of Commodity Prices
What prompted the inflation fears that led to the tightening of policy in 1937? A rally in commodity prices was largely responsible for triggering the concerns about inflation. As the chart below shows, prices of several commodities more than doubled in the span of only one year. These price increases led many policymakers to express concern about excessive inflation, as my paper with Pugsley documents.
It is unlikely, however, that a modern economist put in the same position would respond to the commodity price rise in the same way. Economists today generally do not focus on commodity prices without regard to the behavior of the aggregate price index. The rally in the commodity markets in 1936 and 1937 seems to have been driven largely by temporary supply factors, rather than by upward pressures in the overall price level. This finding is borne out by the fact that while the price of some commodities (such as corn) more than doubled between 1936 and the Mistake of 1937, the CPI rose at a slower pace (see the first chart in this post), peaking at a 4.8 percent year-on-year rate in May 1937. What this reflects, I believe, is that while some components of the CPI were very volatile, the aggregate index was not moving much at all.
Fed economists today typically monitor various components of the CPI that are not influenced strongly by temporary supply disruptions. For example, one common measure tracked is “core CPI,” which excludes volatile food and energy prices from the overall CPI basket (see chart below). In early 2008, the economy started a downward spiral that culminated in a crisis. As the economy’s direction became increasingly clear, economists became more concerned about downward price pressures than about inflationary pressures. This shift paved the way for aggressive interest rate cuts that year, with rates ultimately declining to zero.
At the same time, however, there was a temporary rally in commodity prices, driven by a rise in oil prices in early 2008, as can be seen in the figure above. This development prompted some commentators to warn against “excessive inflation.” But Fed economists and many others judged that the rise in prices was specific to commodities and did not signal an increase in overall price pressures. Largely ignoring the temporary rally in commodity prices, the Fed focused instead on core inflation and some alternative price measures that did not move much even as the CPI peaked in July 2008 at a year-on-year rate of 5.5 percent. This judgment proved to be correct: the larger trend in the aggregate price level during the crisis turned out to be downward, despite relatively volatile commodity markets during this period.
The bottom line, then, is that it is unlikely that a modern economist transported back in time to 1937 would have preemptively tightened policy on the scale that policymakers did at the time. Today’s economists, guided by economic research on general equilibrium models over the past several decades (see, for example, Eusepi, Hobjin, and Tambalotti), are a bit better at distinguishing movements in relative prices driven by temporary disruptions—such as the rally in commodity markets in 1937—from movements in core inflation, which may reflect broader inflation pressures.
美國會否重蹈1937年經濟錯判覆轍？
聯儲局6000億美元的QE2還有不到10日便「功德圓滿」。貝南奇在最近一次傳媒簡報會雖然並沒有提及QE3或QE的字眼，幸而他亦清楚表明經濟未見全面復蘇，聯儲局將維持寬鬆貨幣政策，否則，根據紐約聯儲銀行經濟師及學者的研究，聯儲局政策若含糊不清，可能導致美國陷入類似大蕭條之後的1937年雙底衰退。
羅斯福（Franklin Delano Roosevelt，任期1933年3月4日至1945年4月12日）與奧巴馬就任總統時美國經濟環境頗為相似，羅斯福面對的是華爾街崩潰後的大蕭條（Great Depression），而奧巴馬2009年1月接手的是金融海嘯後的爛攤子，羅斯福更於1937年遭遇另一次經濟衰退打擊。
紐約聯儲銀行經濟師Gauti B. Eggerstsson聯同芝加哥大學的Benjamin Pugsley分析，1937年衰退是財經決策者對經濟形勢錯判造成，並於2006年底發表The Mistake of 1937: A General Equilibrium Analysis研究報告（E&P報告）；Eggerstsson又於今年6月1日在紐約聯儲銀行網頁以Commodity Prices and the Mistake of 1937: Would Modern Economists Make the Same Mistake為題，就聯邦政府當年的決策失誤加以補充分析。
入主白宮剛100日的羅斯福即推行有名的「新政」（New Deal）刺激經濟計劃，先後成立包括證券交易委員會（Securities and Exchange Commission，SEC）、聯邦存款保險公司（Federal Deposit Insurance Corporation，FDIC）及全國勞資關係委員會（National Labor Relations Board，NLRB）等目前仍然運作的多家機構，透過法例保障民眾的投資和促進就業。E&P報告指出，羅斯福宣布「新政」同時表示已簽署的《全國工業復興法》（National Industrial Recovery Act，NIRA，又名Act of June 16, 1933），更令1929至1933年大蕭條期間萎縮了30%的工業生產，其後4年回升達39%【圖1】；而反映通脹的消費價格指數則由1929至1933年下跌了25%（通縮），到1937年逐步爬升11%【圖2】。
公眾合理預期
E&P報告認為，1933至1937年經濟得以從極其不景氣中復蘇，與總統多次發放明確訊息強調政府會致力實行「通貨再膨脹政策」（reflationary policy，E&P報告又稱之為Reflationary regime，專為對抗通縮的行政手段），令物價回復到大蕭條之前的水平（變相刺激經濟增長），公眾相信政府會實現政策目標因而產生通脹預期有莫大關係；例如1933年5月1日，《華爾街日報》引述羅斯福表示「我們要從經濟及貨幣領域雙管齊下，推動商品價格普遍上升」，5月7日羅斯福又通過他始創的無線電台廣播節目「爐邊談話」（Fireside Chats），向國民重申刺激通脹的目標，公眾至此對政府的決心再無疑念，未來出現通脹成為合理預期。
然而，E&P報告指出，同樣由於公眾根據官方訊息而改變經濟前景的預期引致1937至1938年的急劇衰退。有見於經濟逐漸恢復增長，政府內部開始討論控制通脹，1935年11月21日，由各區聯儲銀行每區委任一名代表組成的聯邦諮詢委員會（Federal Advisory Council，FAC）向聯儲局建議，沽出聯儲局持有的政府債券或提高聯儲銀行的存款儲備金額（reserve requirement，類似現在人民銀行的存款準備金制度，美國銀行須從客戶存款扣起某個百分比存入聯儲局）以收緊銀根（cut excess reserves），但聯儲局直至翌年仲夏才接納FAC提高存款儲備金額建議，1936年8月15日開始生效。
1937年錯誤
1937年1月6日，羅斯福在國會發表的國情咨文提到：「蕭條雖已結束，但我們的任務還未完」（Your task and mine is not ending with the end of the depression），意思是政府依然面對棘手的失業問題，失業率仍高於大蕭條之前的水平。不過，行政機關當時普遍認為隨着工業生產潛力充分發揮，高失業問題很快便會解決。另一方面，聯儲局在1月31日宣布第二及第三輪抽緊銀根時間表，將在3月1日及5月1日分兩次增加存款儲備金額。
E&P報告認為，國情咨文及聯儲局的「加息」聲明都沒有片言隻字提到通脹問題，政府不清楚闡釋政策是1937年錯誤（Mistake of 1937）主要肇因。2月19日，《華爾街日報》引述聯儲局主席Marriner Eccles在國會聽證會表示「短期利率嚴重偏低【圖3】，而且看走勢愈來愈有可能會跌至零」，Eccles並表示增加儲備存款要求將帶動長期利率上升；《華日》評論指出，這是首次有聯儲局成員公開說明利用調控存款儲備防止利率下跌。3月16日Chicago Daily Tribune報道，Eccles認為「工資及物價旋轉式上升帶來的災難性後果，與物價旋轉式下降造成的通縮並無二致。」3月18日，商務部長及農業部長在不同的記者會齊聲警告小心高通脹；3月25日，Eccles向傳媒透露採取5項措施控制通脹。
最關鍵是4月2日，羅斯福在記者會明確表示「我關注——我們都關注部分物品價格上升」，再回顧Eccles的「加息」時間表和部門首長的言論，公眾到現在才驟然覺醒政府早已由「通貨再膨脹政策」轉為防止通脹升温的「通縮政策」（deflation policy或Deflationary regime），未來息口只有上升一途，公眾亦由通脹預期轉為通縮預期，影響所及，股市在總統記者會當日應聲急挫6%，其後6個月損失了接近50%市值【圖4】。E&P報告統計，由於政策失誤造成的1937年5月至1938年5月底的前後13個月經濟衰退，國民生產總值（GNP）收縮了9%，工業生產跌幅達32%，主要商品價格亦無一不跌【圖5】；直至1938年2月15日，羅斯福於記者會重申他就職之初的政策，認為物價應回復到1926年大蕭條之前的水平，其後又頒布多項刺激經濟措施，包括指示Eccles將存款儲備金額減至1936年水平（E&P將2月至5月這段日子稱為政策轉向，Reversal of 1938），物價由6月開始才恢復穩定【圖6】，經濟逐漸復蘇。
過早加息行動
E&P報告又提出一個值得思考的觀點：在零利率的環境中，公眾對未來通脹預期輕微改變也可以引致通脹和產量大幅度波動。E&P報告舉例說明：假設全體公眾相信政府的通脹目標是4%，而政府每次改變政策都必定有傳媒報道【圖7】，只要公眾透過新聞解讀認為政府在兩年內有5%機會將通脹目標降至零，根據E&P設計的數學方程式模型計算，僅僅這5%的公眾預期轉變便足以令產量雙位數下跌和出現通縮。當然，公眾預期——即使在零息環境——的「威力」是否如此巨大則見仁見智。
紐約聯儲銀行網頁6月1日上載Eggerstsson的短文認為，「1937年錯誤」基本原因是當時對通脹判斷錯誤所致，在經濟尚未穩定看見少數商品漲價便急急收緊貨幣政策，但現今絕大部分經濟學者都清楚知道，商品價格短期波動會影響消費物價指數，不會與基本通脹混淆，例如聯儲局只會注視核心消費物價指數（core CPI，一籃子成分中不包括價格經常大上大落的食品和能源等消費品），2008年早期石油價格急升，不少評論員警告「高通脹」將至，但聯儲局一眾經濟師不為所動，最後亦證明他們的判斷正確。
投資者可以由core CPI升跌便測知貝南奇會不會QE3，從而作出相應投資部署?
策劃：信報研究部
撰文：徐天任
2011年6月17日 星期五
兩派「晒冷」，歐洲高危！
6月16日，周四。「恐慌」有傳染性，買時如此，沽時更加不必說。在波動性低風平浪靜的日子，歐洲邊緣國信貸評級一降再降，投資者視而不見，你有你降，我有我buy。然而，氣氛情緒話變就變，資產勢頭逆轉之速，可以好得人驚。
昨天講過，投資研究機構High Frequency Economics（HFE）擺了個大烏龍，在分析葡萄牙償付能力時，計漏了一條「大數」，結果得出葡國「違約在即」的錯誤結論。對此，老畢的觀感是，當市場焦點不在（或暫離）歐債時，莫說HFE這類影響力無法跟「大行」相提並論的研究機構，即使高盛大摩，要在投資者普遍視風險如無物、對沖被認為多此一舉的日子中，借一兩份報告引發連鎖反應，亦非話咁易。
心底恐懼被引出
HFE之所以被迫為其錯誤作出澄清並第一時間致歉，老畢看全因報告「郁」到個市；報告之所以「郁」到個市，並非HFE的「結論」（葡萄牙違約）真的石破天驚，而是咁啱咁橋，在環球焦點全面重返歐洲的此刻，這個與事實不符的「結論」，正好觸碰到投資者心底裏最大的恐懼──違約危機由希臘擴散至葡萄牙、西班牙、意大利、比利時……。
歐盟財長在領導人下周舉行峰會前，先於本周二召開了一次緊急會議，非但未能為二度打救希臘縮窄分歧，反而節外生枝，令月底就計劃拍板的機會大大降低。決策者的主要爭拗，在於持有大量希臘國債的歐洲銀行（包括希臘本身的金融機構），在歐盟與IMF挽救雅典的過程中，是否要接受某種形式的債務重組，與歐盟納稅人共同背負援希的包袱。值得一提的是，歐洲央行由始至終堅決反對任何形式的「私營部門參與」，法國亦強烈傾向讓銀行等私人投資者置身事外；站在對立面的一方（主要為德國、芬蘭、奧地利）則極力爭取把銀行「拖落水」，德國更為此提出具體建議，敦促私人投資者接受以新的希臘債券取代大部分現有債券（新債七年內毋須強制性償還）的計劃。
顯而易見，德國、芬蘭、奧地利有此主張，全因銀行等私營部門債權人若肯「自願」退讓，希臘還本付息壓力必然大減，歐盟和IMF向希臘提供的財政援助（貸款）便能相應減少，未始不能扭轉債務危機的惡性循環。如此一來，打救希臘的計劃非但在本國選民面前較易「促銷」，希臘推行緊縮政策以換取救援，亦難推三阻四。
自願vs強迫
能說服銀行「自願」參與新債換舊債或其他形式的債務重組，當然是最理想的結局。然而，「自願」意味銀行（其他私人投資者亦然）有選擇，是否參與有得揀。大家只須留意穆廸在歐盟財長緊急會議當天的行動，便知銀行若能對債務重組say no，是不會「自願」入局的。穆廸周二晚一口氣調低多家法國大銀行的信貸評級展望，如果有得揀，你認為新債換舊債計劃的「參與率」會多高？法國大力反對德國之議，底因還不呼之欲出嗎？換句話說，任何形式的債務重組要取得成功（私人投資者要有高參與率），都必然涉及程度不同的「強迫」（coercion）性質，亦即接受希臘實際上違約。
希臘前車可鑑，葡萄牙、西班牙、意大利以至比利時的國債投資者為免重蹈希臘債券持有人的覆轍，難保不會興起「先發制人」盡快減持之念，大大增加希臘危機向整個歐羅區擴散的風險。
然而，希臘危機的事態發展，亦可以有另一個可能性；德國、芬蘭、奧地利刻意延遲二次救希（原定6月底拍板，現在最快也要押後至7月），藉此一試雅典在國內巨大反抗壓力下，有沒有決心奉行緊縮政策。倘若希臘國會拒絕通過緊縮措施，在出售國家資產上亦無寸進，德國、芬蘭、奧地利在7月便有大條道理拒絕二度救希。到其時，壓力便會落在銀行等私人債權人身上。要麼接受名為自願實為強迫的債務重組，要麼在希臘崩潰違約動亂的恐慌環境中血本無歸。未來一月，歐洲高危【希臘五年期國債CDS和美滙指數分見圖1、圖2】！
自中東北非爆發動亂以來，布蘭特與紐約期油價格一直存在差距，前者溢價明顯。在油價節節上揚時，傳媒為突顯油市牛氣沖天，在報道中每多選擇性地採用布蘭特，以彰油市之「強」。近日避險情緒高漲，油價受壓，傳媒多見「轉軚」，選擇性地重投紐約期油懷抱，以彰油市之「弱」。
從【圖3】可見，布蘭特與紐約期油差價今年一直上升，目前每桶相距已多於20美元，布蘭特相對紐約期油溢價創出新高，相信很快就會引來套戥。理由？梗有幾個喺左近。
2011年3月13日 星期日
從「零持有」想起
PIMCO在聯儲局次輪量寬（QE2）6月30日結束前坐言起行，從消息廣為人知後美債孳息未見抽升來看，此舉對市場的影響不如一些人想像般嚴重。然而，格羅斯的言行仍大有討論價值，今日且擇幾個重點，與讀者研究。
一、PIMCO是替客戶管錢的，且向有跑贏規模相近對手的往績。從資產管理者的角度出發，PIMCO把美國國債持倉減至點滴不存，格羅斯和機構內其他決策人若非對這個決定有十足把握，絕不會輕冒表現給參考基準（benchmarks）配置資產的對手比下去這個風險。PIMCO總回報基金亦有本身的參考基準，其回報跟巴克萊債券總回報指數（BarCap Aggregate Total Return Index）相對照，後者給予美國政府債券的權重高達40％。PIMCO將美國國債持有量降至零，等於這個全球最大債券基金的相關資產，比基準指數（美國國債佔總資產四成）低了40個百分點！PIMCO在聯儲局「功成身退」（是否如此得看有沒有QE3）前全面撤離，等於在美債孳息大升（債價大跌）身上下了重注。金錢回報尚在其次，PIMCO「瘋狂」underweight美國國債，萬一基金表現因此而落後於基準指數、回報遭對手拋離，英雄一世的「債王」顏面何存？
二、格羅斯的決定正確與否，此刻言之尚早。不過，債王提出聯儲局火棒由誰來接這個「思想實驗」，令老畢想到連串問題。在周一〈環保「側」觀國事 「磚頭」淺論港情〉一文中，老畢提到樓市因缺乏沽空機制，「癲」起上來比股市還要瘋狂。當時未有想及的是，利用類似「沽空」房地產的手法賺進天文數字利潤，名動全球的少數對沖基金經理，如剛取得本港證券買賣牌照的「沽神」保爾森（John Paulson），其真正「成就」並非賺了多少億，而是此輩敢於向難度挑戰，千方百計絞盡腦汁亦要找到押注按揭證券「爆煲」的門徑，終於成功利用信貸違約掉期（CDS）「曲線」沽空樓市相關資產，大獲全勝。「沽神」一夜成名，惟從他管理的基金逾半資產與黃金相關，可見保爾森得享大名雖拜信貸／樓市／按揭證券化泡沫所賜，但他真正「相信」的卻是黃金。
三、研究部一連兩周提及的價值投資者克拉曼（Seth Klarman），建議投資者透過買入債券認沽期權和持有黃金，對沖不可預見的金融風險。克拉曼擔心的是，有朝一日，美國財政部拍賣債券無人問津，出現類似「流標」（failed auctions）的局面。這種憂慮，跟債王擔心「聯儲局火棒無人接」，債息必須升至遠高於目前水平始足吸引買家，如出一轍。保爾森、格羅斯、克拉曼皆非「善男信女」，他們揸金沽債買災難保險，目的不同攻守不一，惟在不信任政府、認定現行政策早晚帶來災難這一點上，卻殊途同歸並無二致。
四、和諧穩定是所有社會的共同願望，但不論民主國家還是專制地區，眼前皆出現政府愈想「維穩」，社會不公與矛盾愈深的困局。在求變的一方與求穩的一方勝負大分之前，拉鋸緊張仍會持續。「沽神」、「債王」以至「別人恐慌時貪婪」的價值投資者，大都違反人類喜和諧惡不穩的通性，惟在投資市場上，正正就是這些人才能得享大成。
2010年10月5日 星期二
Bank of Japan sets course for QE
By Jonathan Soble and Mure Dickie in Tokyo
Published: October 5 2010 06:20 Last updated: October 5 2010 09:31
The Bank of Japan has set a course for “quantitative easing” in a bid to shore up the nation’s faltering economic recovery.
The central bank on Tuesday said it was considering creating a Y5,000bn ($59.7bn) programme to buy assets to increase liquidity in the financial system, as part of a “comprehensive monetary easing policy”.
In recent months, the central bank has come under criticism from the government and many economists that it was responding too timidly to weak demand and falling prices.
In a statement, the bank said it would “maintain the virtually zero interest rate policy until it judges…that price stability is in sight”.
The asset-buying programme would be similar to “quantitative easing” policies adopted by central banks in the US and Europe.
The Bank of Japan said it would look at buying government and corporate bonds, commercial paper, exchange-traded funds and real estate investment trusts.
Japan’s previous experiment with quantitative easing, from 2001 to 2006, involved injecting commercial banks with excess cash.
Chiwoong Lee, an economist at Goldman Sachs, said the aggressiveness of the monetary easing was “a big surprise”.
“They will have tried every monetary policy that is presently conceivable 可想到的, 可想像的; 可理解的; 可相信的,” he said.
The likelihood of new action on monetary policy appeared to increase last month when the central bank signalled that it would not rush to withdraw extra liquidity in the financial system created by Tokyo’s recent yen-weakening intervention in the currency market.
Some analysts were anticipating a more limited expansion of the bank’s cheap three- and six-month credit facilities or greater purchases of government bonds, the one financial asset the bank currently purchases outright.
In its statement the Bank of Japan said: “Although Japan’s economy still shows signs of a moderate recovery, the pace of recovery is slowing down partly due to the slowdown in overseas economies and the effects of the yen’s appreciation on business sentiment.”
Japanese industrial production declined 0.3 per cent in August from the previous month, confounding economists who had predicted a 1.1 per cent rise. Meanwhile, the central bank’s quarterly Tankan business sentiment survey found that big manufacturers were pessimistic about the outlook for this quarter.
After the announcement, the dollar climbed from Y83.55 to Y83.90, while 10-year Japanese government bond futures rose slightly. The Nikkei stock average reversed an intra-day decline, ending up 1.5 per cent
Published: October 5 2010 06:20 Last updated: October 5 2010 09:31
The Bank of Japan has set a course for “quantitative easing” in a bid to shore up the nation’s faltering economic recovery.
The central bank on Tuesday said it was considering creating a Y5,000bn ($59.7bn) programme to buy assets to increase liquidity in the financial system, as part of a “comprehensive monetary easing policy”.
In recent months, the central bank has come under criticism from the government and many economists that it was responding too timidly to weak demand and falling prices.
In a statement, the bank said it would “maintain the virtually zero interest rate policy until it judges…that price stability is in sight”.
The asset-buying programme would be similar to “quantitative easing” policies adopted by central banks in the US and Europe.
The Bank of Japan said it would look at buying government and corporate bonds, commercial paper, exchange-traded funds and real estate investment trusts.
Japan’s previous experiment with quantitative easing, from 2001 to 2006, involved injecting commercial banks with excess cash.
Chiwoong Lee, an economist at Goldman Sachs, said the aggressiveness of the monetary easing was “a big surprise”.
“They will have tried every monetary policy that is presently conceivable 可想到的, 可想像的; 可理解的; 可相信的,” he said.
The likelihood of new action on monetary policy appeared to increase last month when the central bank signalled that it would not rush to withdraw extra liquidity in the financial system created by Tokyo’s recent yen-weakening intervention in the currency market.
Some analysts were anticipating a more limited expansion of the bank’s cheap three- and six-month credit facilities or greater purchases of government bonds, the one financial asset the bank currently purchases outright.
In its statement the Bank of Japan said: “Although Japan’s economy still shows signs of a moderate recovery, the pace of recovery is slowing down partly due to the slowdown in overseas economies and the effects of the yen’s appreciation on business sentiment.”
Japanese industrial production declined 0.3 per cent in August from the previous month, confounding economists who had predicted a 1.1 per cent rise. Meanwhile, the central bank’s quarterly Tankan business sentiment survey found that big manufacturers were pessimistic about the outlook for this quarter.
After the announcement, the dollar climbed from Y83.55 to Y83.90, while 10-year Japanese government bond futures rose slightly. The Nikkei stock average reversed an intra-day decline, ending up 1.5 per cent
2010年10月4日 星期一
A psy-QE-logical problem
Posted by Tracy Alloway on Oct 01 15:14. 2 comments | Share
David Rosenberg thoughts on QE v2.0 are complex indeed.
Though he’s detailed at length why quantitative easing will flatten the yield curve —this time — he’s rather dubious of its actual effects on the US economy, at least in terms of mortgages.
In his Friday ‘Breakfast’ missive, the Gluskin Sheff analyst says:
New home sales are at their second lowest level on record despite record low 4% long-term mortgage rates. So if QE2 brings rates down to 3%, who cares? And with 11 million U.S. households upside down on their mortgages, refinancings have failed to boom and add cash flow to pocketbooks as was the case in 2003-04.
At the 2006 bubble peaks, households were engaging in mortgage equity cashouts to the tune of over $80 billion per quarter. That provided the thrust for the spending binge even as the jobs cycle lagged behind, similar to what we had seen in the past as the economy continued to adjust the vagaries of the post-dotcom bubble bust. Today, cash-out refinancing activity is running at one-tenth that good ol’ pace of five years ago. Indeed, attitudes towards “being in debt” have shifted so radically that nearly 1 in 4 households are now “cashing in” and paying down their mortgage debt. Nearly 1 in 3 upon refinancing are doing the most un-American thing of all; choosing to accelerate their paydown by reducing their amortization terms! This means maintaining or increasing the same monthly payments in a lower rate environment, which in turn helps explain why spending intentions on other things are going down. What can Dr. Bernanke do when the shift in attitudes is so profoundly psychological?
Right now debt is, quite simply, distasteful?
It’s certainly one way — together with tighter bank lending — to explain the breakdown in some of the historical associations between rates, refinancing and home sales in the below charts.
They — along with the extra commentary — come from RBC Capital Markets’ US economics team, led by Tom Porcelli.
Exhibit 1: We have been saying QE2 will have little impact on the economy aside from perhaps more refi activity. But an increase in refis and the commensurate savings would be a drop in the bucket. If the level of refi originations matched the all-time highs seen back in 2003 and mortgage rates fell another 50bps we would see an injection of $5bn to consumer pocketbooks in one year – or 0.05% of nominal PCE. Miniscule.
Exhibit 2: Furthermore, getting back to the record level of refi’s seems highly unlikely. Keep in mind that we’ve already seen rates fall 200bp from nearby highs (which is 2/3 the decline seen during the boom). The response to this decline in rates this time around has been muted thanks to, among other things, incredibly tight lending standards.
Exhibit 3: Low rates have done nothing to stimulate home sales and the relationship between mortgage rates and sales, since the bubble peaked in mid-2006 has decidedly broken down…
Exhibit 4: …those that say lower mortgage rates will motivate buyers clearly have not done their homework.
Over to you, Bernanke.
Related links:
Historic lows in mortgage rates fail to motivate buyers, owners – USA Today
Get ready, get set, deleverage! With one notable (US) exception - FT Alphaville
Quixotic QEasing - FT Alphaville
2010年10月3日 星期日
Australia to Weigh Rate Rise Timing as Housing Cools
Australia’s central bank will decide tomorrow whether higher interest rates are needed to avert faster inflation amid signs that past increases are cooling the nation’s property market.
The Reserve Bank of Australia will raise the overnight cash rate target to 4.75 percent from 4.5 percent, according to 19 of 25 economists surveyed by Bloomberg News. Futures traders estimate a 64 percent chance of an increase. The decision is scheduled for 2:30 p.m. in Sydney.
Governor Glenn Stevens signaled last month the biggest mining boom in more than a century may prompt him to extend the most aggressive round of rate increases by a Group of 20 member to prevent a build-up of inflation pressures. Policy makers have left the rate unchanged since May, citing European debt concerns that eased last month, fueling the biggest gain in the MSCI World Index since the financial crisis subsided in April 2009.
“It’s a knife-edge decision,” said Joshua Williamson, a senior economist at Citigroup Inc. in Sydney. “There’s not a huge amount of recent domestic data to argue for an immediate rate hike, but the RBA has been aggressive in its signaling. They’re clearly itching to go.”
Speculation intensified in recent weeks that Stevens will boost borrowing costs before the end of the year, helping fuel an 8.6 percent surge in Australia’s currency last month and pushing it toward parity with its U.S. counterpart. The local dollar is the best performer among the 16 most actively traded currencies over the past 12 months.
‘Robust Upswing’
“If downside possibilities do not materialize, the task ahead is likely to be one of managing a fairly robust upswing,” Stevens told a forum in the regional city of Shepparton in Victoria state on Sept. 20. “Part of that task will, clearly, fall to monetary policy.”
Economic growth is forecast to accelerate by the RBA as demand from China for iron ore and energy spurs investment spending by companies such as Chevron Corp., which is building the A$43 billion ($41.8 billion) Gorgon liquefied natural gas project in Western Australia.
The boom is also fueling a hiring surge that threatens to stoke wage inflation, which the central bank aims to keep between 2 percent and 3 percent. An annual gauge of what the RBA calls core inflation, the weighted median, was 2.7 percent in the second quarter.
Full Employment
Australia’s jobless rate was 5.1 percent in August, matching the lowest level since January 2009. RBA Assistant Governor Philip Lowe said last month the jobless level is “almost at what would be considered full employment.”
There are signs of weaker spending by consumers, who account for more than half of gross domestic product, after policy makers increased the benchmark lending rate in six quarter percentage point steps to 4.5 percent in May from a half-century low of 3 percent in October, 2009.
Home-building approvals fell in August by the most in three months, credit growth stalled, manufacturing contracted in September for the first time this year and consumer confidence declined, recent figures showed.
A report showed last week that manufacturing in China, Australia’s largest trade partner, expanded at the fastest pace in four months in September, adding to signs that economic growth there is stabilizing even as the government curbs energy use and tries to cool the property market.
Federal Reserve
Citigroup’s Williamson is among analysts that expect Stevens to add as much as 1 percentage point to the benchmark rate over the next 12 months. By contrast, the U.S. Federal Reserve, which has kept its main rate at a record low since December 2008, has said it’s willing to ease monetary policy further to spur growth.
Higher Australian borrowing costs would further restrain the local property market, which the RBA said last week shows “welcome signs” of cooling. The bank’s six increases to date added about A$3,600 a year to repayments on an average A$300,000 mortgage.
Treasurer Wayne Swan last week urged Australian lenders not to boost their mortgage rates by more than any potential central bank move.
2010年9月26日 星期日
The Fed cometh like a thief in the night
Posted by Joseph Cotterill on Sep 23 17:05. 4 comments | Share
It’s increasingly not if, but when, as far the market is concerned over the Federal Reserve’s most recent pronouncements on reviving quantitative easing.(QE2)
But when is when? And what might answering that tell us about inflation?
Morgan Stanley’s monetary analysts — long-time inflation contrarians — had a helpful if cautious guide to the first question on Thursday:
Renewal of asset purchases unlikely, but it’s a close call:
We believe that the incoming growth data will be sufficiently positive to prevent the reintroduction of asset purchases in coming months. Indeed, since September 1, our tracking estimate for 3Q GDP has risen from +1.7% to +2.6%. But it’s a close call, and the FOMC could act at any time if the data disappoint. So, some analysis of an asset purchase programme seems warranted. Here is a brief Q&A:Q) What is the trigger for renewed asset purchases?
A) This is a tricky one to answer because it’s the assessment of tail risk (not the baseline forecast) that really matters. If Fed officials perceive a significant probability that recovery is stalling out, then they have to do something. To be more specific, we suspect that a perception of a one-third or higher probability that GDP growth will slip below the +2% ‘escape velocity’ pace for a few quarters would trigger another round of asset purchases.Q) What is the timing?
A) Could happen at any time (on an FOMC meeting day or even between meetings) since it is data-dependent. In particular, we do not believe that the timing of the November FOMC announcement (the day after the mid-term elections) has any bearing on the likelihood of a move at that time.
Credit Suisse also reckon asset purchases are unlikely this year, but have pencilled in a possible December date for QE2 at the earliest, arguing that action before then would be too politically sensitive. But again, it’s all a bit uncertain, helping to explain why bond yields are staying low:
They’re staying bullish on equities (especially ones which ‘proxy’ inflation, such as utilities, but avoiding life insurers exposed to low bond yields) and gold as a hedge on QE failing. As they explain:
We believe the bond market is telling us that central banks are likely to be very dovish 鴿派的; 主和的 and that if necessary governments could force central banks to keep real rates abnormally low in order to alleviate the debt burdens (a form of financial repression that can be achieved by changing the central banks’ charters or raising their inflation targets). We stress that, unlike in 2008, the fall in bond yields since early April (-124bp) has been much more about the fall in real bond yields (-76bp) than the fall in inflation expectations (-48bp)…
Well — interesting sidelight here, in fact. Inflation expectations are indeed reviving somewhat.
Here’s a chart showing the spread between five-year forward US inflation break-even rate and five-year Tips, for example:
And in relation to that spread — we’d note the following from James Hamilton, over at Econbrowser (emphasis ours):
One option for the Fed… is to signal what it intends to do a few years down the road, when interest rates rise off the zero lower bound and the Fed resumes its usual powers. If the public is persuaded today that the future Fed will be more expansionary once we return to that regime, such a perception potentially could help stimulate spending today…
Suppose you took that view… How would you interpret the following passage from Tuesday’s FOMC release?
‘Measures of underlying inflation are currently at levels somewhat below those the Committee judges most consistent, over the longer run, with its mandate to promote maximum employment and price stability. With substantial resource slack continuing to restrain cost pressures and longer-term inflation expectations stable, inflation is likely to remain subdued for some time before rising to levels the Committee considers consistent with its mandate.’
The most natural interpretation of those words is that the Fed is aiming at a long-run inflation target that’s higher than what we’ve been seeing lately. By its nature, that is a statement about what the Fed will be doing several years down the road, not a signal of something it’s going to do in November.
Ben Bernanke — time-traveller.
Related links:
The loneliness of the long-distance inflationista – FT Alphaville
Bullet cases on the floor, blades whirring in the distance – FT Alphaville
Central banks are depressing (yields) – FT Alphaville
Quantitative leap - FT Alphaville
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