Aspectos monetarios y financieros

[Currobena]

Lectura recomendable en mi modesta opinión:

http://libros.elmundo.es/INVERTIR-EN-HEDGE-FUNDS-MARCOS-MAILOC-LOPEZ-PRADO-DIAZ-DE-SANTOS-LibroEbook-ES-SPB0247761.html

Aunque "aparentemente" trata sobre Hedge Funds Y está seguramente desactualizado, resulta que es una excelente introducción a la matematización de la inversión financiera, incluso si no sirve ya para aprender nada o poco sobre los Hedge Funds del 2015. Requiere un nivel inicial de conocimientos matemáticos, no obstante.

(Autor español, por cierto)

Marcos López de Prado ha escrito varios artículos excelentes sobre matemáticas e inversión con un miembro de maffia.

Este es uno, en inglés en formato PDF.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

Recomiendo visitar la web. Es excelente.

http://www.financial-math.org/

[wanderer]

Lectura recomendable en mi modesta opinión:

http://libros.elmundo.es/INVERTIR-EN-HEDGE-FUNDS-MARCOS-MAILOC-LOPEZ-PRADO-DIAZ-DE-SANTOS-LibroEbook-ES-SPB0247761.html

Aunque "aparentemente" trata sobre Hedge Funds Y está seguramente desactualizado, resulta que es una excelente introducción a la matematización de la inversión financiera, incluso si no sirve ya para aprender nada o poco sobre los Hedge Funds del 2015. Requiere un nivel inicial de conocimientos matemáticos, no obstante.

(Autor español, por cierto)

Marcos López de Prado ha escrito varios artículos excelentes sobre matemáticas e inversión con un miembro de maffia.

Este es uno, en inglés en formato PDF.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

Recomiendo visitar la web. Es excelente.

http://www.financial-math.org/

¡Gracias! Para un matemático ejerciente, ésto promete diversión à la Sokal... 

P.S: (MAFFIA): Mathematicians Against Fraudulent Financial and Investment Advice  

[lectorhinfluyente1984]

Otra lectura recomdable en mi opinión, sobre la economía financiera, la inversión y los hedge-funds con perspectiva histórica desde la II Guerra Mundial hasta la crisis y más allá:

More Money than God por Sebastian Mallaby

Muy interesante en mi opinión por todo lo que se aprende sobre la historia, con bastante detalle: George Soros, la debacle de LTCM, la FED, los Value, los de análisis técnico, los matematizantes-teóricos y toda la historia darwinista del mundo financiero, donde las finanzas parecen la extensión de la guerra por otros medios.

[Frommer]

Otra lectura recomdable en mi opinión, sobre la economía financiera, la inversión y los hedge-funds con perspectiva histórica desde la II Guerra Mundial hasta la crisis y más allá:

More Money than God por Sebastian Mallaby

Muy interesante en mi opinión por todo lo que se aprende sobre la historia, con bastante detalle: George Soros, la debacle de LTCM, la FED, los Value, los de análisis técnico, los matematizantes-teóricos y toda la historia darwinista del mundo financiero, donde las finanzas parecen la extensión de la guerra por otros medios.

con su permiso lo llevo a la biblioteca transicionista.

[lectorhinfluyente1984]

No confundir el Freegold de Fofoa con el FreiGeld de Silvio.

V/ Eng

http://wikilivres.ca/wiki/The_Natural_Economic_Order

V/ Fr

http://wikilivres.ca/wiki/L%E2%80%99Ordre_%C3%A9conomique_naturel

[lectorhinfluyente1984]

Ya está comenzando:

http://www.bolsamania.com/noticias/economia/dinamarca-prohibe-el-dinero-fisico-no-se-podra-pagar-en-efectivo-ropa-comida-ni-gasolina--721549.html

[2 años]

Ya está comenzando:

http://www.bolsamania.com/noticias/economia/dinamarca-prohibe-el-dinero-fisico-no-se-podra-pagar-en-efectivo-ropa-comida-ni-gasolina--721549.html

Da miedito todo...

[JENOFONTE10]

Ya está comenzando:

http://www.bolsamania.com/noticias/economia/dinamarca-prohibe-el-dinero-fisico-no-se-podra-pagar-en-efectivo-ropa-comida-ni-gasolina--721549.html

Solo es para que hacienda se entere de la lencería que compramos en efectivo los que no gozamos de tarjetas negras, como el PLU de Caja Madrid.

Creo que la ejemplar Dinamarca de Garicano paga mas impuestos, pero fariseos escaqueándose con la moneda del €-César hay en todas partes.

Saludos.

[lectorhinfluyente1984]

Most investors believe that the U.S. dollar is the primary influence upon commodity prices. While there certainly is a strong correlation between the dollar and commodities, we would argue that the real dynamics in the market work slightly differently.

Example: Oil has the potential to set the dollar price, which in turn puts pressure on the broader commodity complex. Has the world turned upside down? Please bear with us as we explain our view.

There is an almost perfect negative correlation between crude oil and the U.S. dollar. Consequently, crude oil has a strong positive correlation with the euro. The next two charts show those relationships.

Crude Oil (red) versus EUR (black)



Crude Oil (red) versus USD (black)

Examine the oil/currency correlation. Crude oil is one of the largest markets with an annual value of $1.7 trillion so its moves strongly influence other markets. As the price of crude oil drops, there are fewer dollars in circulation. Consequently, the dollar price rises, and the euro falls.

Moreover, it appears that oil exporting countries (think Saudi Arabia or Iran) trade oil in dollars but they invest part of their reserves in euros, according to Robert Gabriel Luta. When the oil price falls, their revenues decline, and they transfer fewer reserves from dollars into euros.

Recently, Saudi Oil Minister Ali Al-Naimi said, "no one can set the price of oil - it's up to Allah." (source: Zerohedge)

One of the most influential individuals in the oil market worldwide probably knows better. What is really occurring?

The next chart says it all. The global oil supply and demand picture shows that OPEC increased oil production last September for the first time in more than 1.5 years, as marked with the green circle. Until that time OPEC was consistently reducing their oil production 0.5 to 1 million barrels per day.

Was it coincidence that the oil price began to crash exactly one month before? No, and it was not Allah, as suggested by Mr. Al-Naimi. Some market participants knew more at the time.

It is clear, based on these data, that oil is one of the fundamental drivers in the currency markets, hence driving the prices for other commodities.

It is even more clear that Saudi Arabia is one of the most influential market participants. By slightly increasing their oil production, they drove the dollar up in the strongest rally in three decades, causing turmoil in currency markets and commodities. In addition several export dependent companies in the U.S. are suffering from a stronger dollar with deteriorating quarterly earnings reports.

It is no overstatement to say that Saudi Arabia lies at the epicentre of the global markets.

It is human nature to both look for causality and also to understand “why” things are as they are. We cannot know the motives for the increase in Saudi oil production in September of last year. However we see two logical explanations.

The first scenario is that Saudi Arabia wanted to show their power (read: their financial muscle). They truly can have a devastating effect, as evidenced by the consequences of their actions on the number of oil rigs in the U.S. According to the American Oil & Gas Reporter, there were 1854 rigs in the first week of May of last year, while today (exactly one year later) there are only 894. The chart below shows the speed of decline with the red bars. Probably more important is the effect on the shale oil industry. Oil output from the most productive U.S. shale fields started slowing in April of this year.

According to the U.S. Energy Information Administration, the most productive shale producers had an output of 5.62 million barrels per day in April, and are expected to have an output of 5.64 million barrels per day in May and 5.55 million barrels per day in June. It was four years ago that the last month-on-month decline took place, according to Reuters.

The other scenario is that the U.S. worked with Saudi Arabia to drive up the dollar. As explained in our recent article “Is the USA manipulating its own currency before an important IMF meeting?” the U.S. wanted to drive up the dollar to strengthen their position in the IMF. The red flag for the U.S. is that China recently showed interest in joining the SDR system with its national currency (the yuan). The Americans see the upcoming power of the Chinese yuan as a big risk.

The “damage” caused with severely lower prices in Saudi Arabia seems “contained” as evidenced by their quarterly GDP growth. The next chart shows that their GDP has slowed since the collapse of the oil price, but it's still growing.

What is the actionable insight that we can we as analysts can give to small investors? We conclude that the oil market has a fundamentally large impact upon the investment world, and that following crude oil closely, in relationship to the euro and the dollar, is of greater importance to one's portfolio than most investors can comprehend.

http://www.zerohedge.com/news/2015-05-14/how-saudi-arabia-sets-global-currency-markets

(Combinar con esto otro)

[lectorhinfluyente1984]

http://www.zerohedge.com/news/2015-05-15/deutsche-bank-no-one-knows-how-hedge-or-price-liquidity-world

Deutsche Bank's Jim Reid was recently visiting clients in the US, where he listened to their gripes, concerns and market fears. At the very top: buying is easy, but when the selling starts it's all over.

To wit:

Whilst I was [in the US] everyone wanted to talk about trading liquidity and rates. In terms of liquidity some stressed more than others about it but all concluded that the last few weeks in rates were eye-opening. No-one really knew how to hedge or price for it in a world where you need to hit short-term performance targets. This supports my view that liquidity premiums will never be properly priced in this cycle and investors will stay in assets too long in order to maximise short-term performance. This is completely understandable though given the nature of the industry. But when this cycle does end there is likely to be savage moves in markets where either investors need to sell or where they are able to sell. The good news is that central bank liquidity should continue to push this problem out for a good while yet but we're likely to get regular reminders of the problems that will occur when the fundamentals change.

Don't worry about the selling: once it does begin, it will be so furious exchanges will simply shut down for the day (or week, or month, or good) and nobody will be allowed to leave the biggest Hotel California ever created by central banks for market participants. The truth is that nobody is getting out of this alive, or at least with profits, when the central planners lose control. There is zero hedge to what is coming.

As for the bad news, while central bank liquidity is "pushing this problem out", it is also causing it as we showed in Why There Is No Treasury Liquidity In One Chart. So ironically the longer Central Banks delay the inevitable day of reckoning, the worse it will be. Incidentally, while we have been saying precisely that for almost 7 years, here is Bloomberg's Simon Ballard who sounds a tad tinfoil hattish and conspiracy bloggish.

· Liquidity, or lack thereof, is increasingly seen as a potential central element to the next credit market correction
· QE, paradoxically, may actually be curtailing the very liquidity that it is designed to reignite, through bank lending and consumption
· QE absorbed fixed income financial assets’ liquidity from market in recent months and tightened bid/offer spreads across asset base
· Poor credit mkt trading liquidity now likely to contribute to greater bouts of volatility and corp bond price action
· Velocity of recent bond selloff may have been accentuated by the lack of underlying market liquidity
· Investors see current lack of bid-side liquidity when they want to sell, lack of offer-side liquidity when want to buy
· ZIRP world underpins investor demand for incremental yield
· Focus on fixed income (spread product) creates strong demand/supply dynamic, reduces liquidity
· Meanwhile, QE encourages investors to buy what the central banks are buying
· Secondary credit market liquidity now minimal as primary market remains main conduit for investing
· Lead managers unwillingness to bid for benchmark bonds post-syndication, even in small nominal, raises question as to strength of credit market foundations if tested
· Regulatory changes and capital constraints hamper banks’ ability to take bonds and risk onto balance sheets, further reducing market trading liquidity profile
· Absence of marginal buyers of risk may exacerbate volatility and negative price action during periods of risk aversion
· Consolidation among sell-side investment banks and buy-side fund managers has shrunk number of market participants, ’killing’ off market transition mechanism
· Concentration risk means large proportion of market tends to be positioned in same direction, i.e. all better buyers or better sellers; such alignment tends to intensify price moves
· Evolution of electronic trading platforms and HFT programs further reduces true market liquidity
· Trading may be driven by model rather than underlying real money strategy

Sadly at the rate the mainstream media is agreeing with everything we have said from day 1, soon there will soon be no "conspiracy theories" left.

[lectorhinfluyente1984]

China & Shadowbanking:

http://www.zerohedge.com/news/2015-05-15/china-creates-perpetual-leverage-machine-after-dropping-debt-directive

http://www.brookings.edu/~/media/research/files/papers/2015/04/01-shadow-banking-china-primer/shadow_banking_china_elliott_kroeber_yu.pdf

http://www.chinaeconomicreview.com/shadow-banking-lending-retreat

[saturno]

Pues el paper dice que aunque crece mucho desde 0 a X desde 2004, es shadow banking es poco sistémico ?

pp21-22
http://www.brookings.edu/~/media/research/files/papers/2015/04/01-shadow-banking-china-primer/shadow_banking_china_elliott_kroeber_yu.pdf

In its present form, therefore, China’s shadow banking
sector presents relatively low risk of triggering a panic
or financial crisis similar to those experienced by the
U.S. in 2008, or by other Asian economies and Russia in
1998. The fundamental reason for this is that liquidity
is abundant, due to the high levels of deposits from
households and businesses, and reliance on fragile
wholesale funding sources is minimal. Bad events such
as a property market crash, a dramatic heavy-industry
slowdown, or defaults in the trust companies would
certainly increase banks’ non-performing assets, but they
would not imperil banks’ funding

The bigger financial system risk in China is not crisis but
sclerosis: if an ever greater share of lending (whether by
banks or shadow entities) goes to unproductive projects,
then economic growth will continue to decelerate. This
is in essence what occurred in Japan in the 1990s. A
serious shrinkage of the shadow banking sector would
exacerbate this risk, by reducing the available volume
of credit, increasing its price, and pushing more of the
lending that does occur back into a banking sector that
is still somewhat limited in its ability to effectively lend
outside of the SOE realm

Total, además de decir que no hay forma de entender o medir el Shadow banking chino,
es un buen ejemplo de cómo interpretan la regulación china como un "corsé" que favorece o amortigua el mercado.

Claro que si consideras la regulación como intrínseca a todo modelo, te encuentras con que no puedes comparar mercados como el Chino o el USAno, debido a que la regulacion no es comparable...

Pero como el paper "quiere" hacer la comparación, no tiene más remedio que intentar obviar la regulación y suponer que "Si [por hipótesis metodologica] considedamos ]los mercados libres de regulación, Entonces el shadow banking etc.".

(Imperialistas, de un lado o de otro, todo propaganda



(Buenos aportes.)

[lectorhinfluyente1984]

http://www.zerohedge.com/news/2015-05-16/cash-ban-calls-continue-german-economist-says-bills-and-coins-obsolete

Y aquí la frase original en alemán, porque así suena más ominoso 

"Bei den heutigen technischen Möglichkeiten sind Münzen und Geldscheine tatsächlich ein Anachronismus", sagte Bofinger

[lectorhinfluyente1984]

[lectorhinfluyente1984]

http://www.zerohedge.com/news/2015-05-20/india-gold-not-only-money-now-pays-interest

Despite Bernanke's previous protestations that "gold is not money... it is tradition," it appears the Indian government - having come to the rapid realization that any attempts to thwart the use of gold as a monetary equivalent merely forced the people to hoard the precious metal in ever larger amounts and ever more shadow, un-regulated, ways - now has a very different opinion.

In an effort to mobilise 20,000 tonnes of unproductive gold owned by Indian households into cash, Reuters reports that - after unveiling the gold monetisation scheme on Feb 28th, India's FinMin Arun Jaitley released bank guidelines overnight on interest rates, reserve and liquidity ratios. The scheme "allows gold to become a dynamic, fungible asset in the hands of gold savers."

As we previously noted - before India went full gold-curb-tard when the finance minister said "demand for gold must be moderated" - this chart from 2012 shows the staggering eightfold increase in India's gold loans "which monetize the idle gold in the country", in just four short years.

And now, as Reuters reports, India could allow individuals deposit a minimum of 30 grams of gold with banks in return for interest payments to help monetise large quantities of the metal lying with households, a step that is aimed at cutting expensive imports.

Banks could treat gold deposits as part of their cash reserve ratio (CRR) or statutory liquidity ratio (SLR), the finance ministry said in its guidelines released on Tuesday to seek opinions about its gold monetisation scheme. It said the stakeholders could respond to its suggestions by June 2.
 
The SLR is the minimum amount of bonds that banks must have, while the CRR is the share of deposits they have to compulsory keep with the central bank.
 
"Both directionally and in terms of content, this draft reflects a practical approach," said Somasundaram PR, managing director of World Gold Council's India operations.
 
"Once the incentive framework falls into place to the satisfaction of the banks, customers and others, we will own a uniquely Indian scheme that allows gold to become a dynamic, fungible asset in the hands of gold savers."
 
Indians' penchant for gold spans centuries and is rooted in the Hindu religion, with the Diwali festival being one of the biggest annual buying seasons. Gold also forms part of dowries and it is an instrument of financial security for 70 percent of India's rural population.

The government is trying to convince households, who sometimes have little faith in financial institutions, to break the tradition and hand over gold passed down the generations.

Under the scheme, customers' will have to deposit gold for at least a year and banks may pay the interest after 30 or 60 days of the opening of the gold savings account, the proposal said.
 
Both the interest and the principal payable to depositors are likely to be valued in gold and the gains will be tax-free, it said.
 
"Lower threshold for deposits and tax exemptions will make the scheme attractive for households," said a Mumbai-based dealer with a bullion importing bank.
 
But the biggest challenge would be to set up collection centres that can accept gold, the dealer said.
*  *  *

We are reminded of the RBI's 2012 report on Gold loans and imports... whose purpose is to isolate the attractiveness of gold to the general population, and most importantly, prevent it, is that gold demand must be limited as the only control a collapsing central-bank based statist system has is in controlling "money" that is infinitely dilutable and can inflate away debt, not the type that actually has value, and that a central bank can't create out of thin binary air. Hence the report's conclusion:

Summing-up:
 
There is a need to moderate the demand for gold imports, as ensuring external sector’s stability is critical. But, it is necessary to recognise that demand for gold is not strictly amenable to policy changes and also is price inelastic due to varied reasons. What is critical is to ensure provision of real returns to investors through various financial savings products. What is also relevant is the need for banks to introduce new gold-backed financial products that may reduce or postpone the demand for gold imports. The Working Group believes that providing real rate of return to investors through alternative instruments holds the key to reducing the excessive  demand for gold. Meanwhile, there is also a need to increase monetisation of idle gold stocks in the economy for productive purposes.
 
As of now, there appears to be no close substitute to wean away investors’ attention from gold. Investors’ awareness and education is important, in this context, to channel the investment to gold-backed financial products. Banks and NBFCs may continue to deliver gold jewellery loans, which monetises the idle gold in the country. The gold loan market has grown well in recent years. It is time for consolidation of the operations of the gold loan NBFCs. The gold loans NBFCs need to transform themselves into institutions free of complaints, have proper documentation and auction procedures, with rationalised interest rate structure and have a branch network that is fully safe and secure. Gold loans NBFCs’ linkage with formal financial institutions may be reduced gradually. Such transformation ensures the gold loans NBFCs’ future growth more robust, besides making them a contributing segment to the financial inclusion process.
One can almost feel the panic.

*  *  *

In short it proves that in India, gold is the only real money, and is the only fallback option in a country where inflation is still rampant, and where even simple peasants prefer to keep their wealth not in the local paper currency, which has been losing its value aggressively in recent years, but in the shiny metal. Must be "tradition."

* * *Full details of India's Gold monetization scheme below...

Draft Gold Monetization Scheme

What this means for the supply and demand dynamics of not paper, but real physical gold, we leave to our readers to decipher... or ask blogger Ben (if he's not too busy at his new hedge fund).