Aspectos monetarios y financieros

[lectorhinfluyente1984]

Jeje Jenofonte me encanta tu sentido del humor "un huertecito para practicar si se complica" )

Lo del búnker de la Guerra Fría es una buena analogía. Pero el búnker no se construía por "rentabilidad" sino por "seguridad" como tú has señalado.

En cualquier lugar, esto lo decimos a toro pasado. Y aunque no cayese la bomba nuclear, la bomba más caliente de todas, pudo tener el paradójico efecto de enfriar la guerra. ¡Sin duda, jugó un papel importante, aunque no se "viese en acción" (afortunadamente)!

Saludos,

[JENOFONTE10]

El huertecito no es humor.

En serio: tengo macetas con cebollas, ajos, hierbabuena...

Baja rentabilidad, pero cierta seguridad (alimentaria) a bajo coste. También inversión en 'capital humano': experiencia de horticultor-urbano autosuficiente parcial, con posibles excedentes para trueque.

Había una novela en la guerra fría '¡Ay Babilonia!' (*) que relataba la supervivencia autosuficiente tras una 'implosión' de la civilización en un pueblo de Florida por guerra nuclear. No tenían búnker o refugio nuclear. Habían 'invertido' en una 'red de seguridad' familiar y de vecindario. Un 'refugio social'. En el mercadillo post-apocalíptico se hacía trueque, y alguien, ciego de avaricia, moría cubierto de relojes de oro (radiactivos por la onda expansiva: cancerígenos, valor negativo) intercambiados por alimentos. La miel, oro líquido, era muy apreciada: se regalaba a los mejores amigos.

Escasez, precio, deseo, utilidad, seguridad, rentabilidad,...

Saludos.
_______

(*)

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"...el escritor parece regodearse en la desintegración del sistema social americano, equiparando la aniquilación de las dos superpotencias hambrientas de poder con la ruina de la Babilonia bíblica. De ahí el título de la novela, extraído de un fragmento del Libro del Apocalipsis (18.10): "¡Ay, ay, de la gran ciudad de Babilonia, la ciudad fuerte; porque en una hora vino tu juicio!".

 Al mismo tiempo, retrata al Fort Repose post-holocausto como una especie de utopía libertaria en la que sus miembros de más férrea voluntad solucionan todos los problemas sin necesidad de burócratas y políticos. De hecho, el autor parece poco preocupado por las masivas destrucción y muerte asociadas a un ataque nuclear. Se podría incluso pensar que hay una especie de siniestra satisfacción del tipo "ya os lo dije y no me escuchasteis" al tiempo que un deseo implícito de que la destrucción "higiénica" del país lo rescate de la decadencia y renueve el experimento puritano fundacional a través de un regreso a los valores de la pequeña comunidad y la autosuficiencia."

http://universodecienciaficcion.blogspot.com.es/2012/05/1959-ay-babilonia-pat-frank.html

[JENOFONTE10]

Jeje Jenofonte me encanta tu sentido del humor "un huertecito para practicar si se complica" )

Saludos,

No he respondido nada sobre normalización de 'spreads' (diferenciales) de bonos basura ('high yield'). Es un subsector que 'no trabajo'.

Pero parece que en EE.UU. tiene mas que ver con petroleras de fractura hidráulica y precio del crudo, otro tema por el que preguntabas hace poco:

El mercado de HY ha sido la principal ventana de financiación para el desarrollo de la industria del shale [petróleo no convencional producido a partir de esquistos bituminosos] en la última década. Como consecuencia, el sector energético ha pasado de suponer el 8% de la deuda HY al 15%, y ahora el mercado está en el punto de mira. La caída del crudo mete presión a las empresas de EE UU porque el shale gas tiene unos costes de producción y exploración mayores que el petróleo convencional y hace poco rentable extraer crudo cuando el barril está por debajo de los 40 dólares.

http://economia.elpais.com/economia/2015/04/17/actualidad/1429259396_367939.html

Hay varios párrafos mas sobre el tema. Es la gestora de Goldman para fondos de bonos basura.

Saludos.

[lectorhinfluyente1984]

Había una novela en la guerra fría '¡Ay Babilonia!' (*) que relataba la supervivencia autosuficiente tras una 'implosión' de la civilización en un pueblo de Florida por guerra nuclear. No tenían búnker o refugio nuclear. Habían 'invertido' en una 'red de seguridad' familiar y de vecindario. Un 'refugio social'. En el mercadillo post-apocalíptico se hacía trueque, y alguien, ciego de avaricia, moría cubierto de relojes de oro (radiactivos por la onda expansiva: cancerígenos, valor negativo) intercambiados por alimentos. La miel, oro líquido, era muy apreciada: se regalaba a los mejores amigos.
_______
(*)

(click to show/hide)

"...el escritor parece regodearse en la desintegración del sistema social americano, equiparando la aniquilación de las dos superpotencias hambrientas de poder con la ruina de la Babilonia bíblica. De ahí el título de la novela, extraído de un fragmento del Libro del Apocalipsis (18.10): "¡Ay, ay, de la gran ciudad de Babilonia, la ciudad fuerte; porque en una hora vino tu juicio!".

 Al mismo tiempo, retrata al Fort Repose post-holocausto como una especie de utopía libertaria en la que sus miembros de más férrea voluntad solucionan todos los problemas sin necesidad de burócratas y políticos. De hecho, el autor parece poco preocupado por las masivas destrucción y muerte asociadas a un ataque nuclear. Se podría incluso pensar que hay una especie de siniestra satisfacción del tipo "ya os lo dije y no me escuchasteis" al tiempo que un deseo implícito de que la destrucción "higiénica" del país lo rescate de la decadencia y renueve el experimento puritano fundacional a través de un regreso a los valores de la pequeña comunidad y la autosuficiencia."

http://universodecienciaficcion.blogspot.com.es/2012/05/1959-ay-babilonia-pat-frank.html

Muchas gracias! Me ha recordado a la Penúltima Verdad del Maestro P.K.D. ...

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P.D. la memoria es muy caprichosa. Hace ya más de quince años que leí esta novela, pero por algún motivo recordaba muy bien este párrafo, casi palabra por palabra:

—Sírveme algo de beber —dijo Colleen a sus espaldas con voz quejumbrosa.
—¿Es que se te han caído los brazos? —replicó él—. ¿Ni siquiera puedes exprimir ya el limón?

Se apartó del ventanal y del paisaje de árboles muertos, con el Pacífico al fondo y la capa de niebla en el cielo, mientras se iban espesando las tinieblas. Por un momento pensó que, en efecto, iba a servirle la bebida que le había pedido. Pero luego supo lo que tenía que hacer y dónde debía estar.

Se encaminó al escritorio con mesa de mármol que había sacado de una casa bombardeada que en otros tiempos se alzaba en la Colina Rusa, barrio que fue de la ciudad de San Francisco, se sentó ante el retorizor y pulsó el botón que lo activaba. Colleen se marchó rezongando en busca de un robot que le sirviese la bebida. Joseph Adams, sentado ante su retorizor del escritorio, la oyó alejarse con alivio. Por la razón que fuese —aunque en este caso no quería ahondar demasiado en su mente en busca del motivo— se sentía más solo con Colleen Hackett que sin ella y, sea como fuere, el domingo por la noche siempre le salían muy mal las bebidas que preparaba: solían ser demasiado dulces, como si por error alguno de sus robots hubiese desenterrado una botella de Tokay y la hubiese empleado en vez de vermut seco para preparar los martinis.

Lo irónico del caso, sin embargo, era que los robots jamás cometían tal error cuando actuaban por su cuenta... ¿Sería aquello un presagio?, se preguntó Joe Adams. ¿Se estarán volviendo más listos que nosotros?

También creo recordar que el libro incluía algunas descripciones ingeniosas sobre un villano con sobrepeso, y había una pistola que disparaba balas inteligentes que buscaban el blanco; todo ello en un mundo post-apocalíptico tras la Tercera Guerra Mundial.

La Guerra ya había terminado, pero eso solo lo sabía la Casta Mundial. El resto de la población reside en bunkers, a salvo - les dicen - de la radioactividad del mundo exterior, trabajando en la fabricación de robots para la Guerra, que creen que aún continúa. Los robots son utilizados en realidad como siervos de la Casta Mundial, que vive en relativa paz ya en la superficie, "sacrificándose" - dicen - en un mundo aún radiactivo, en realidad viviendo como reyes.

[lectorhinfluyente1984]

Keynesians against Niall Ferguson

[lectorhinfluyente1984]

Mi amigo y Maestro A. siempre me trae artículos interesantes; en este caso en la senda de Rueff ha tenido la generosidad de mostrarme a Zijlstra:

Whenever I am in Amsterdam, I go to a bookstore and browse the second-hand shelves in the economics section. Recently I found two books by Dr. Jelle Zijlstra: “Dr. Jelle Zijlstra, Conversations and Writings” (1979, second edition) and “Per Slot Van Rekening” (1992, fifth edition). The latter title is a Dutch figure of speech that may be translated as “The Final Settlement.”

By Jaco Schipper

Jelle Zijlstra was a renowned Dutch economist and one of Holland’s finer statesmen. Early in his career in 1948, shortly after World War II, he became a professor, specializing in the velocity of money. By 1952 he was appointed minister of economic affairs, then Dutch treasurer from 1958 to 1963 and again from 1966 to 1967. During his last term as treasurer he led the Dutch Cabinet as prime minister as well until 1967, after which he became president of De Nederlandsche Bank (DNB). While president of the Dutch central bank he was appointed as the president of the Bank for International Settlements (BIS) as well, positions he held until his resignation in 1981.

In Zijlstra’s first book, “Dr. Zijlstra,” he writes about his career and his time as president of De Nederlandsche Bank and the BIS. While he was DNB president the international Bretton Woods agreement collapsed, and he goes into great detail about what happened. He writes about the “European” group’s interests, about the cultural and financial ties between Germany and the Netherlands, the relationships with France and Great Britain, and, of course, about the position of the United States.

It gets especially interesting when Zijlstra writes about then-U.S. Treasury Undersecretary Paul Volcker and Federal Reserve Board member Dewey Daane of the Richmond Federal Reserve Bank. On the July 7, 1971, Volcker and Daane arrived in Amsterdam to urge the Dutch govement not to convert any more of its dollar reserves into gold.

Zijlstra writes (p. 191): “From the beginning of 1971 we had already converted almost $600 million in retu for gold or an asset on an equal footing.”

This phrase — “an asset on an equal footing” — is peculiar, since from an investor’s or central banker’s perspective there is no equivalent to physical gold. Let this be very clear: There is no asset that stands on equal footing with gold. You either own it or you do not.

But central bank balance sheets account for official gold reserves under the description “gold and gold receivables” and apparently have done so back to times before Zijlstra became a central banker, before Bretton Woods collapsed. This is quite revealing.

In the eyes of gold bugs, “gold receivables” is a bit of a contradiction in terms and has been the cause for much suspicion. Can we really trust the numbers on central bank balance sheets?

The essence of this question is one of accounting, because gold reserves are either “allocated” or “unallocated.”

The big difference is that when gold is “allocated” one has legal title to specific metal vaulted by someone else. But when gold is “unallocated” one has merely a fiduciary claim on a future delivery of gold. This implies counterparty risk.

Zijlstra and Volcker: “Monetary Adversaries”

As an economist, I knew of the visit by the U.S. officials in 1971. It is remembered by many Dutch economists because of Zijlstra’s famous anecdote about a conversation he had with Volcker, who went on to become Fed chairman.

When Volcker visited Zijlstra as Treasury undersecretary, Volcker said, “You are rocking the boat.” Zijlstra replied: “If the boat is rocking because we present $250 million for conversion into gold or something that can be considered an equal asset, then the boat has already perished.” (P. 191.)

Zijlstra refused to heed the U.S. request and converted DNB’s dollar holdings for gold. And since the reasons behind this “heavy American delegation” — as he described it — were quite obvious, he suspected that the gathering storm he had foreseen for some years was about to break loose. Or, as we say these days, he knew that “the fiat was about to hit the fan.”

A Man of Precision and Conviction

Also interesting about Zijlstra’s first book is that he is very detailed and precise in explaining his views. For example, he describes inflation as “the most gross social injustice” which “hits the less fortunate the most,” and he practiced what he preached.

He explains how, as Dutch treasurer (1958-63 and 1966-67) he managed his Cabinet to be fiscally prudent, which he connects to his opposition to inflationary policies. To illustrate his objections, in his second book he writes:

“Despite an additional flow of funds due to increasing retus on Dutch natural gas reserves and the second oil crisis, this Cabinet also proved it could grow hungrier while eating.”

Also, and in this respect very typically, he defines the Dutch guilder in terms of gold: “F. 1 = 0.334987 grams of fine gold” (p. 181), and in a footnote on this page he included the numbers needed to calculate the value of the guilder after the 1978 devaluation: 0.13333 grams of fine gold.

This points out something really important. Why does a central banker, a former BIS president, calculate the value of his currency in terms of gold when gold backing had been officially removed?

“The Final Settlement”

In Zijlstra’s second book, “Per Slot Van Rekening,” we find a very candid man, even contrarian. He gives a very precise description of how central bankers conduct their business and maintain their independence from govement interference.

This makes this particular book so refreshing. For example, whereas conventionally monetary debasement is described euphemistically, Zijlstra explains what central bankers actually do, and more importantly, acknowledges that the price of gold is kept far too low.

Central bankers have thus known what gold bugs long have been saying. Let me take this one step at the time. Dr. Zijlstra writes that revaluing is “‘putting a bit more gold in your currency’ so it becomes more valuable than other currencies. Summarizing: it is about the choice between ‘adjustment’ inflation or revaluation. Germany decided to revalue the German deutschemark on March 3, 1961, with 5 percent; we decided … to follow. To my regret, then and still, Germany did not revalue more; I would have defended a revaluation of 10 percent zealously if Germany would have done so. … A devaluation was more or less seen as a defeat, a testimonium paupertatis for a country.” (p. 220.)

Now that’s a really honest way of explaining currency devaluation.

But it gets far more interesting. Zijlstra explains his understanding of the role of gold in what he eloquently calls the international “monetary cosmos”: Gold functions like the sun, with all currencies as planets orbiting around it, with only the sun in fixed position:

“… It is perhaps nice to get into the role of gold and its meaning in the time before the monetary cosmos collapsed into more chaotic conditions. Throughout centuries gold was a protection against [natural] disasters, arbitrariness, and persecution. … Because natural production levels hardly allow overproduction with substantial depreciating values as result; because it does not rust and, once produced, never perishes, excessive scarcity can never occur. That’s why gold developed its image of solidity, stability, and reliability. … Gold coins then have been used over the centuries as means of exchange in primitive currency frameworks and were later, with the development of paper money, seen as a reliable basis. In the heydey of the gold standard one could take a banknote to the central bank and — if you would like that — get gold in retu. The famous Englishman Beard Shaw once said one has the choice between the natural stability of gold and the natural stability of honesty and intelligence of govement. And he was of the opinion this choice was not hard.” (p. 221.)

Zijlstra explains how all this was relevant during his time as president of the DNB and during his presidency of the BIS. He explains that the United States was debasing the dollar. Most interestingly, Zijlstra writes about his idea of a solution for the “international chaotic non-arrangements”:

“A good solution would have been to drastically raise the price of gold, since it was extraordinarily peculiar that in the post-World War II world, in which everything became more than three to four times more expensive than in the 1930s, the price of gold remained the same. Actually, two things had to be done. The official gold price in all currencies had to be raised (‘their gold content had to be reduced’) and, beside this, the official dollar price of gold had to be raised extra, to allow the dollar to devalue against all other currencies”. (p. 222.)

Zijlstra writes about the American reaction to his proposals:

“However, the Americans found this idea like swearing in a cathedral. Because, by that, the dollar would in regard to gold become second, and the American ideal was and is to have the dollar central in its role on the economic stage. As a consequence, there was only one exit and that was cutting the tie between the dollar and gold. That would eventually happen in August 1971 when President Nixon announced that the dollar was no longer convertible into gold. After increasing American pressure, step by step, the actual convertibility of dollars in gold was curtailed until it was formally ended.” (p. 222.)

But it gets even more interesting. Zijlstra wittingly or unwittingly confesses what most gold bugs assert. He writes: “An important step on this road was the creation of a whole new international monetary instrument, the SDR (Special Drawing Rights). This is about an inventive construction whereby ‘something’ is created out of ‘nothing.’ The International Monetary Fund would — through precise administrative procedures — create rights on the fund, with which central banks can settle their payments among each other. Those rights would — according to certain measurements — be credited to the members of the fund. The idea behind this was that it was expected that in due time there would be too little gold (I am inclined to say: what do you expect with such an artificially maintained, much too low gold price) to serve as ‘international means of settlement.’” (p. 222.)

This speaks for itself, but just in case you missed the elephant in the room of international finance, Zijlstra writes, even if it is in a mere aside, “Gold is artificially kept at a far too low price.”

He continues that the introduction of SDRs in 1967 was warmly welcomed, becoming soon “a fantasy for intellectuals” to have the SDR perform the function of the sun in the “monetary cosmos.” But despite this warm welcome, the SDR went the way of the dodo bird.

Zijlstra elaborates about the SDR that in the late 1980s and early 1990s, “we do not hear much of it. At first, it appeared as if the foremost Americans were enthusiastic proponents of this new international monetary instrument, but this proved to be pretence. They welcomed the SDR to move gold even further away. As soon as gold was removed as a central point in the international monetary framework, their love for the SDR disappeared. The SDR has become a piece for a museum.” (p. 223.)

And: “But in case there is no complete international means of settlement, no gold, no SDR, wherein should central banks settle? The logical end-piece of this development was giving up on fixed parities” to gold. “The currencies are currently exchanged on international markets. The resulting prices bring supply and demand in balance and there is no way of settling. No more cosmos, no sun with planets: All currencies are formally equal. One can buy and sell them on international currency markets.” (p. 223.)

“It may be so that in the formal sense of currencies one can say that all are equal, but that in reality it proves that some are more equal than others. The dollar is back as the material core of the international financial and monetary arrangements. That the countries of the EEG [currently the EU] have begun constructing their own monetary cosmos, I have mentioned already.” (p. 223.)

What most pundits are missing about Europe and the euro is what Zijlstra refers to: The euro has been established as a solution and is orbiting gold. Now if you took notice of the consolidated European Central Bank’s system-wide balance sheet — see here — you can figure the shadow value of one euro in terms of grams of fine gold much as Zijlstra explains in his books.

According to my calculation, with the ECB’s gold holdings at 502.5 tons of gold, divided by the number of euros in circulation (note how all other balance sheet items are “denominated”), one will find that 1 troy ounce is worth the equivalent of around E55,000.

And that’s what you really want to make use of — that is — after everything else has failed. If there emerges an absolute need to fix the financial crisis, you can be sure of one thing: We’ll have a pricing mechanism for physical gold at least.

In tragedy lies humor

Even humor finds its way into Zijlstra’s second book, and something that is quite revealing as well. It also illustrates his adversarial relationship with Volcker, if one of a professional nature.

When Zijlstra stepped down from the BIS presidency in 1981, Volcker, then chairman of the Fed, gave Zijlstra an “$DR Note of 10 billion” depicted here:

The note is dated December 1981, carries a photo of Zijlstra’s face, is signed by Volcker, and bears the legend: “The Fund May Prescribe … As Holders … Institutions [and Persons] that … Perform Functions of a Central Bank for More than One Member.”

Zijlstra writes: “This gift has become a lasting memory of the feelings on both sides: It will never be something, respectively, it may never be something with the SDR.”(p. 234.)

Knowing his religious and, more generally, his Dutch background, I think this was Zijlstra’s way of saying he appreciated Volcker’s reflection and irony.

The other side of the mock SDR note says: “To Meet the Need, As and When It Arises, for a Supplement to Existing Reserve Assets.” In between it says: “1 SDR = 0.8886671 gram of fine gold(?).”

We’ll have to check some numbers, but perhaps we should make a contest for gold bugs to determine what’s behind this calculation. For the question mark says a lot: Behind the scenes, central bankers were still discussing their currency values in terms of gold, at least into 1981 when Zijlstra stepped down as president of the BIS.

By the way, on the left side of the mock SDR note, it says in small print: “This note is freely convertible into useable currencies at widely fluctuating rates.” Zijlstra must have thought: “Funny money indeed!”

Conclusion

All this information Zijlstra shared in his books is quite something. During his terms in office central banks were converting their dollars into something other than real gold in possession and probably did so all along from the start of the Bretton Woods agreement in 1944. An asset “on an equal footing of gold” makes you think: You either have possession or not. Apparently central banks converted their dollars into something “funny.”

A real giveaway is that Zijlstra wrote this in the 1990s: “The gold price is artificially kept far too low.” And most important, he has provided all the necessary information to reach the conclusion that central bankers are always evaluating their currency in terms of gold.

Why? Because, before and after all has failed, gold is the sun in our “monetary cosmos.”

As a central banker Zijlstra was a statesman in heart and mind. His legacy and his insights are a tribute to honesty. He explained that we must not think of the dollar or any other currency as the sun of the “monetary cosmos” — not anything but gold. Not the SDR either, just gold.

This, in my opinion, is the essential point Zijlstra is conveying.

He will not speak further. He died in 2001. May he rest in peace. He provided us with an enduring lesson. Two things were needed back then but are ever more desperately needed now.

The official gold price in all currencies had to be raised (“their gold content had to be reduced”) and the official dollar price of gold had to be raised extra, “to allow the dollar to devalue against all other currencies,” to quote Dr. Zijlstra a final time.

Now you know why you should own some physical gold. It is like the sun, which, in the end, we are all circling, whether we do so consciously, with acknowledgment, or in denial.

http://marketupdate.nl/en/dr-zijlstras-final-settlement-gold-as-the-monetary-cosmos-sun/

http://www.jcaschipper.nl/the-zijlstra-notes/

[lectorhinfluyente1984]

http://www.zerohedge.com/news/2015-05-29/robert-shiller-unlike-1929-time-everything-stocks-bonds-and-housing-overvalued

Robert Shiller is a professor of economics and finance at Yale University. He is the author of Irrational Exuberance, which in 2000 predicted the collapse of the tech bubble and is now in its third edition. He was awarded the Nobel Prize in Economic Sciences in 2013 for his work on asset prices and financial market behavior.

In the attached interview he observes that the recent equity run-up seems to be driven more by fear than by exuberance, as a lack of confidence in the future prompts investors to save more and thereby bid up asset prices.

Below is an interview he gave to Goldman Sachs' Allison Nathan

Allison Nathan: Are US stocks overvalued today?

Robert Shiller: I think that compared with history, US stocks are overvalued. One way to assess this is by looking at the CAPE (cyclically adjusted P/E) ratio that I created with John Campbell, now at Harvard, 25 years ago. The ratio is defined as the real stock price (using the S&P Composite Stock Price Index deflated by the CPI) divided by the ten-year average of real earnings per share. We have found this ratio to be a good predictor of subsequent stock market returns, especially over the long run. The CAPE ratio has recently been around 27, which is quite high by US historical standards. The only other times it has been that high or higher were in 1929, 2000, and 2007—all moments before market crashes.

But the CAPE ratio is not the only metric I watch. In my book Irrational Exuberance (3rd Ed., Princeton 2015) I discuss several metrics that help judge what's going on in the market. These include my stock market confidence indices. One of the indicators in that series is based on a single question that I have asked individual and institutional investors over the years along the lines of, "Do you think the stock market is overvalued, undervalued, or about right?" Lately, what I call "valuation confidence" captured by this question has been on a downward trend, and for individual investors recently reached its lowest point since the stock market peak in 2000. The fact that people don't believe in the valuation of the market is a source of concern and might be a symptom of a bubble, though I don't know that we have enough data to prove it is a bubble. In general, I try to get a sense of investors' excitement and anxieties through these kinds of measures and even by just reading the news. You might say that's very unscientific, but I do what I can to understand the state of mind of investors, which I think is very important in understanding market moves.

Allison Nathan: Wharton professor Jeremy Siegel argues that using S&P 500 earnings data for the CAPE ratio inflates it. What is your response to this?

Robert Shiller: Jeremy Siegel's 2013 paper that makes this argument does say that the CAPE ratio is useful. He just wants to make an improved CAPE ratio. And he proposes an alternative based on National Income and Product Account (NIPA) earnings, which he says yields a CAPE ratio that has predicted returns better, at least over the time period for which he has these earnings data. I think it is an interesting paper. But I am not ready to endorse the switch to NIPA earnings partly because they are conceptually a little different, valuing not just publicly traded stocks but also other companies. But the critical point he makes is that NIPA earnings—at least as of 2013—were higher than S&P 500 earnings, which made the market look less overvalued. Given that market valuations have continued to rise, I think that discussion has faded somewhat.

Allison Nathan: Is the equity market a bubble today?

Robert Shiller: I define a bubble as a social epidemic that involves extravagant expectations for the future. Today, there iscertainly a social and psychological phenomenon of people observing past price increases and thinking that they might keep going. So there is a bubble element to what we see. But I'm not sure that the current situation is a classic bubble because I'm not certain that most people have extravagant expectations. In fact, the current environment may be driven more by fear than by a sense of a new era. I detect a tinge of anxiety and insecurity now that is a factor in markets, which is quite different from other market booms historically.

Allison Nathan: How else does this period of apparent equity overvaluation compare to equity booms in the past?

Robert Shiller: This time around, bonds and, increasingly, real estate also look overvalued. This is different from other over-valuation periods such as 1929, when the stock market was very overvalued, but the bond and housing markets for the most part weren't. It's an interesting phenomenon.

Allison Nathan: What explains this phenomenon of asset valuations looking high across the board?

Robert Shiller: There are multiple answers to that question. But if I had to oversimplify with just one idea, it would be what I just alluded to a moment ago—that people are not confident in their future. They remember the financial crisis, and they worry. They hear about inequality through the Occupy Wall Street Movement and in many other places, and they worry where they will fall on the inequality spectrum in a decade or so. They observe the amazing but perhaps unsettling rise of information technology (IT), and they worry. As a result of all of this anxiety, they want to save more. But given the lack of options to invest in at a high return, they end up just bidding up the prices of existing assets. That, in turn, creates disappointment, more concern, and perhaps the feeling that they might be too late because of how much the market has already risen. But they still invest in it because of their anxieties.

Allison Nathan: What does this mean for market stability?

Robert Shiller: It means that the market could keep going up like this for some time. Its been an amazing run and looks like something that can't keep going indefinitely, but it might continue for several more years. So market bulls may be right that the market runs further. I think that could happen too. But I take a different view of the drivers of these runs; I tend to view them as more irrational. I just don't know when this bull market will end. And it might end very badly.

Allison Nathan: How concerned are you about a meaningful correction in the next six months to a year?

Robert Shiller: My concern has risen with the market. There could certainly be a correction in the next year. But the problem is that a correction might not come for five years. We just don't have any way to forecast when it will come.

Allison Nathan: Was it appropriate for Fed Chair Janet Yellen to express concern about equity valuations?

Robert Shiller: I think that there is a moral imperative for Fed leadership to express some opinion about the market. They have a staff of experts—a whole research army—to study these issues, and people look to the Fed as an authority. Believers in efficient markets would say that we shouldn't care about these opinions; that the market is smarter than any individual or any research team. But I disagree. I think that the market is not smart about these sorts of things and that we do need leadership from people who study these questions. And so I applaud Janet Yellen for making that statement, which helped put the current state of the market in perspective. One reason why the boom in the 1990s went on as long as it did is that Fed Chairman Alan Greenspan made very little of worries about the market. At one point he used the term "irrational exuberance," which led to a sharp drop in markets, but he never came back to that theme.

Allison Nathan: Of all the expensive asset classes today, which looks the most convincingly like a bubble?

Robert Shiller: The bond market looks the most unusual relative to history, with real US yields just off record lows of recent years. The difference, though, between the stock market and the bond market is that historically the bond market doesn't seem to crash like the stock market. Notably, if you go back to 1929, there was a huge crash in the stock market and not much action in the corporate bond market. That might come across as a surprise, but it's history. We are now in different times, though, with a very long run of very low interest rates that has affected many countries in the world. So there could be a big correction in the bond market. I'm not forecasting that because I don't like to forecast things that almost never happen. But it could happen. And that's the problem we face.

Allison Nathan: What should investors do when so many assets look expensive?

Robert Shiller: I am not an investment advisor. But I would say that the main implication for most people is that they should save more because their portfolio probably won't do as well as they imagined. And if they're saving for some distant goal like retirement, they might be disappointed. People have learned about the power of compound interest. But what they don't understand is that if interest rates are zero, you don't get any compound interest. I think that there is complacency among investors today. People have seen how well the stock market has done over the last century. But the market might not do so well the next time. So you have to consider whether you are saving enough.

And as a general principle, I think people should diversify across assets and geographies because there is no way to predict what any one asset will do with any accuracy. I've been talking down US stocks because of their high valuation, but I would invest something into US stocks; I would just put a heavier contribution in stocks around the world, where CAPE ratios look lower. I keep coming back to the theme that there are lots of places outside of the US to invest. And I would also own bonds, real estate and commodities. Commodities are overlooked by many investors but they are an important part of an investing portfolio.

The reality is that people are not very good at diversifying. This has been documented in studies. They tend to be distracted, and focus too much on one sector or one thing that they have heard. They also tend to focus on their own country. There's no reason why one should invest only in one's own country. Quite the contrary, some people make the extreme statement you should short your own country and invest only elsewhere. I wouldn't go to that extreme, but it is a plausible argument.

Allison Nathan: But is the strong US growth story relative to elsewhere enough to warrant buying US stocks?

Robert Shiller: The US looks pretty good and in some ways brilliant. The exciting news about technology seems to come largely from the US. For example, fracking, which is predominantly a US technology, transformed the energy market, and just within the last five years or so. And many electronics and IT advances are also coming from the US. So there is reason to believe in this country.

But I think that we also have to understand that we tend to be biased. One sees and appreciates one's own country; that's human nature that one has to correct for. Amazing things can happen elsewhere as well. You see that in much of the developing world; over the last half-century, there's been remarkable economic progress and growth. And we're going to see more and more advancement in those countries. So maybe the high US CAPE ratio is partly justified. But I think we have to nourish a healthy skepticism as investors and not get swayed too much by the idea that we're living in a new era here.

[lectorhinfluyente1984]

http://www.project-syndicate.org/commentary/low-inflation-quantitative-easing-by-martin-feldstein-2015-05

CAMBRIDGE – The low rate of inflation in the United States is a puzzle, especially to economists who focus on the relationship between inflation and changes in the monetary base. After all, in the past, increases and decreases in the growth rate of the monetary base (currency in circulation plus commercial banks’ reserves held at the central bank) produced – or at least were accompanied by – rises and falls in the inflation rate. And, because the monetary base is controlled directly by the central bank, and is not created by commercial banks, many believe that it is the best measure of the impact of monetary policy.

For example, the US monetary base rose at an annual rate of 9% from 1985 to 1995, and then slowed to 6% in the next decade. This decelerating monetary growth was accompanied by a slowdown in the pace of inflation. The consumer price index (CPI) rose at a 3.5% rate from 1985 to 1995, and then slowed to just 2.5% in the decade to 2005.

But then the link between the monetary base and the rate of inflation was severed. From 2005 to 2015, the monetary base soared at an annual rate of 17.8%, whereas the CPI increased at an annual rate of just 1.9%.

To explain this abrupt and radical change requires examining more closely the relationship between the monetary base and inflation, and understanding the changing role of the reserves that commercial banks hold at the Federal Reserve.

When banks make loans, they create deposits for borrowers, who draw on these funds to make purchases. That generally transfers the deposits from the lending bank to another bank.
Banks are required by law to maintain reserves at the Fed in proportion to the checkable deposits on their books. So an increase in reserves allows commercial banks to create more of such deposits. That means they can make more loans, giving borrowers more funds to spend. The increased spending leads to higher employment, an increase in capacity utilization, and, eventually, upward pressure on wages and prices.

To increase commercial banks’ reserves, the Fed historically used open-market operations, buying Treasury bills from them. The banks exchanged an interest-paying Treasury bill for a reserve deposit at the Fed that historically did not earn any interest. That made sense only if the bank used the reserves to back up expanded lending and deposits.

A bank that that did not need the additional reserves could of course lend them to another bank that did, earning interest at the federal funds rate on that interbank loan. Essentially all of the increased reserves ended up being “used” to support increased commercial lending.

All of this changed in 2008, when a legislative reform allowed the Fed to pay interest on excess reserves. The commercial banks could sell Treasury bills and longer-term bonds to the Fed, receive reserves in exchange, and earn a small but very safe return on those reserves.

That gave the Fed the ability in 2010 to begin its massive monthly purchases of long-term bonds and mortgage-backed securities. This quantitative easing (QE) allowed the Fed to drive down long-term interest rates directly, leading to a rise in the stock market and to a recovery in prices of owner-occupied homes. The resulting rise in household wealth boosted consumer spending and revived residential construction. And businesses responded to this by stepping up the pace of investment.

Although a link between the Fed’s creation of reserves and the subsequent increase in spending remained, its magnitude changed dramatically. The Fed increased its securities holdings from less than $1 trillion in 2007 to more than $4 trillion today. But, rather than being used to facilitate increased commercial bank lending and deposits, the additional reserves created in this process were held at the Fed – simply the by-product of the effort, via QE, to drive down long-term interest rates and increase household wealth.

That brings us back to the apparent puzzle of low inflation. The overall CPI is actually slightly lower now than it was a year ago, implying a negative inflation rate. A major reason is the decline in gasoline and other energy prices. The energy component of the CPI fell over the last 12 months by 19%. The so-called “core” CPI, which excludes volatile energy and food prices, rose (though only by 1.8%).

Moreover, the dollar’s appreciation relative to other currencies has reduced import costs, putting competitive pressure on domestic firms to reduce prices. That is clearly reflected in the difference between the -0.2% annual inflation rate for goods and the 2.5% rate for services (over the past 12 months).

Nonetheless, inflation will head higher in the year ahead. Labor markets have tightened significantly, with the overall unemployment rate down to 5.4%. The unemployment rate among those who have been unemployed for less than six months – a key indicator of inflation pressure – is down to 3.8%. And the unemployment rate among college graduates is just 2.7%.

As a result, total compensation per hour is rising more rapidly, with the annual rate increasing to 3.1% in the first quarter of 2015, from 2.5% in 2014 as a whole and 1.1% in 2013. These higher wage costs are not showing up yet in overall inflation because of the countervailing impact of energy prices and import costs. But, as these temporary influences fall away in the coming year, overall price inflation will begin to increase more rapidly.

Indeed, the inflation risk is on the upside, especially if the Fed sticks to its plan to keep its real short-term interest rate negative until the end of 2016 and to raise it to one percentage point only by the end of 2017. If inflation does rise faster than the Fed expects, it may be forced to increase interest rates rapidly, with adverse effects on financial markets and potentially on the broader economy.

La Doble Esponja Deflacionaria (DED) de:

- La economía real (automatización, desempleo creciente, productividad creciente y desligada de salarios, etc.)
- La economía financiera (Debt Deflation por desapalancamiento necesario, aunque hasta ahora lento desde máximos históricos)

...aunque el petróleo va "a su bola" respecto a todo esto, como ya lo hizo en los 70...

...lleva a un IPC bajo y suavecito con una M2 estancada o levemente contractiva y una velocidad de circulación monetaria bastante colapsada...

...mientras los BCs regalan M0 para que el Sistema Financiero no implosione.

http://fofoa.blogspot.com.es/2011/04/deflation-or-hyperinflation.html

http://fofoa.blogspot.com.es/2012/05/inflation-or-hyperinflation.html

[lectorhinfluyente1984]

Por cortesía de ZH...

[lectorhinfluyente1984]

Antes de despedirme de ustedes (temporalmente, espero) quiero resolver el misterio de Fekete y sus bonos "de valor infinito" que nos señaló Sudden & Sharp.

Fekete es matemático, no me pega que se quede pillado por... dividir por cero? 

A ver si me lo leo y comentamos !

[lectorhinfluyente1984]

The Liquidity Time Bomb by Nouriel Roubini

NEW YORK – A paradox has emerged in the financial markets of the advanced economies since the 2008 global financial crisis. Unconventional monetary policies have created a massive overhang of liquidity. But a series of recent shocks suggests that macro liquidity has become linked with severe market illiquidity.

Policy interest rates are near zero (and sometimes below it) in most advanced economies, and the monetary base (money created by central banks in the form of cash and liquid commercial-bank reserves) has soared – doubling, tripling, and, in the United States, quadrupling relative to the pre-crisis period. This has kept short- and long-term interest rates low (and even negative in some cases, such as Europe and Japan), reduced the volatility of bond markets, and lifted many asset prices (including equities, real estate, and fixed-income private- and public-sector bonds).

And yet investors have reason to be concerned. Their fears started with the “flash crash” of May 2010, when, in a matter of 30 minutes, major US stock indices fell by almost 10%, before recovering rapidly. Then came the “taper tantrum” in the spring of 2013, when US long-term interest rates shot up by 100 basis points after then-Fed Chairman Ben Bernanke hinted at an end to the Fed’s monthly purchases of long-term securities.

Likewise, in October 2014, US Treasury yields plummeted by almost 40 basis points in minutes, which statisticians argue should occur only once in three billion years. The latest episode came just last month, when, in the space of a few days, ten-year German bond yields went from five basis points to almost 80.

These events have fueled fears that, even very deep and liquid markets – such as US stocks and government bonds in the US and Germany – may not be liquid enough. So what accounts for the combination of macro liquidity and market illiquidity?

For starters, in equity markets, high-frequency traders (HFTs), who use algorithmic computer programs to follow market trends, account for a larger share of transactions. This creates, no surprise, herding behavior. Indeed, trading in the US nowadays is concentrated at the beginning and the last hour of the trading day, when HFTs are most active; for the rest of the day, markets are illiquid, with few transactions.

A second cause lies in the fact that fixed-income assets – such as government, corporate, and emerging-market bonds – are not traded in more liquid exchanges, as stocks are. Instead, they are traded mostly over the counter in illiquid markets.

Third, not only is fixed income more illiquid, but now most of these instruments – which have grown enormously in number, owing to the mushrooming issuance of private and public debts before and after the financial crisis – are held in open-ended funds that allow investors to exit overnight. Imagine a bank that invests in illiquid assets but allows depositors to redeem their cash overnight: if a run on these funds occurs, the need to sell the illiquid assets can push their price very low very fast, in what is effectively a fire sale.

Fourth, before the 2008 crisis, banks were market makers in fixed-income instruments. They held large inventories of these assets, thus providing liquidity and smoothing excess price volatility. But, with new regulations punishing such trading (via higher capital charges), banks and other financial institutions have reduced their market-making activity. So, in times of surprise that move bond prices and yields, the banks are not present to act as stabilizers.

In short, though central banks’ creation of macro liquidity may keep bond yields low and reduce volatility, it has also led to crowded trades (herding on market trends, exacerbated by HFTs) and more investment in illiquid bond funds, while tighter regulation means that market makers are missing in action.

As a result, when surprises occur – for example, the Fed signals an earlier-than-expected exit from zero interest rates, oil prices spike, or eurozone growth starts to pick up – the re-rating of stocks and especially bonds can be abrupt and dramatic: everyone caught in the same crowded trades needs to get out fast. Herding in the opposite direction occurs, but, because many investments are in illiquid funds and the traditional market makers who smoothed volatility are nowhere to be found, the sellers are forced into fire sales.

This combination of macro liquidity and market illiquidity is a time bomb. So far, it has led only to volatile flash crashes and sudden changes in bond yields and stock prices. But, over time, the longer central banks create liquidity to suppress short-run volatility, the more they will feed price bubbles in equity, bond, and other asset markets. As more investors pile into overvalued, increasingly illiquid assets – such as bonds – the risk of a long-term crash increases.

This is the paradoxical result of the policy response to the financial crisis. Macro liquidity is feeding booms and bubbles; but market illiquidity will eventually trigger a bust and collapse.

[lectorhinfluyente1984]

Las empresas ya no invierten, pero sí especulan por Kike Vázquez

Estamos viviendo lo que muchos denominan una “no capex recovery”, esto es, una supuesta recuperación económica que no está siendo acompañada por la inversión en la economía real. El porqué de tal situación no está claro: para unos se trata del exceso de capacidad instalada; para otros es consecuencia del estancamiento de los salarios, especialmente de la clase media y baja, quienes a priori tienen una mayor propensión al consumo en relación a su renta. Hay quien habla de tecnología, de robots, de competencia… Sea como fuere, lo que sí está claro es a dónde está dirigiéndose el dinero en su lugar. Ahora las empresas ya no invierten, especulan.

Con especular no me refiero a realizar inversiones cortoplacistas, inmorales o no productivas… no. ¿Quién delimita el plazo para que algo se considere especulación? ¿Quién delimita la bondad de algo si ese algo cumple todas las leyes? ¿Quién decide qué inversiones serán buenas para una empresa y cuáles no? La ‘especulación’ se critica a menudo, y sin embargo en la práctica todo el mundo busca un retorno para su dinero lo más alto y rápido posible, cumpliendo, eso sí, la ley. Lejos de moralismos, a lo que me refiero con especulación es a que las empresas, especialmente estadounidenses, están dejando de lado sus actividades tradicionales para depender cada vez más de la evolución de los mercados.

Véase por ejemplo una noticia que ha sido publicada en numerosos medios. En el mes de abril, últimos datos disponibles, se han anunciado planes para recomprar acciones por un montante total de 133 mil millones de dólares en el mercado estadounidense, cifra sin parangón a lo largo de la historia. Las estimaciones hablan de que en 2015 podríamos alcanzar una cuantía de 1,2 billones de dólares (billones españoles) en anuncios, superando notablemente el récord de 863 mil millones de 2008. O lo que es lo mismo, estamos viviendo un buyback boom, como dicen al otro lado del charco. Véase como muestra la siguiente gráfica de BlackRock.

Aunque las cifras son significativas, y mucho, que una empresa recompre sus acciones no es necesariamente ni bueno ni malo. El efecto que se produce es que, al sacar acciones del mercado, los accionistas perciben una mayor porción del beneficio de la empresa por cada acción que poseen, lo que a priori hace subir el precio y, por tanto, se convierte en una remuneración similar a los dividendos. Todo ello ceteris paribus, porque en la práctica lo importante es si esas acciones se compran caras o baratas.

Si las acciones se compran caras, el efecto de un mayor beneficio por acción se verá diluido por la mala evolución de la inversión realizada, y viceversa. Por ello, a pesar de las críticas, la vorágine de buybacks tuvo todo el sentido en los últimos años en los que las valoraciones del mercado se encontraban por debajo de su media histórica, pero ¿lo tiene ahora que existe la percepción general de que el mercado estadounidense no está barato, e incluso podría estar caro?

No hablamos de un elemento anecdótico ya que, según apuntan en el artículo de BlackRock, recientemente el montante de dividendos y recompra de acciones ha superado a la inversión en ‘capex’. Por tanto, lejos de lo bien o mal que les salga la jugada, lejos de saber cómo evolucionará el mercado y si las recompras de acciones beneficiarán a los accionistas o no, lo que sí se percibe es que las empresas están dejando su suerte en manos del mercado. En lugar de depender de sus inversiones en la economía real, en lugar de depender de sus actividades principales, se están volcando en la ‘especulación’.

¿Qué ha pasado con la creación de valor? ¿Con situar al cliente en el centro del negocio? ¿Con la orientación a largo plazo?

En términos similares se expresa el estratega de Goldman Sachs David Kostin, quien en uno de sus informes afirma que las recompras de acciones representan un “uso cuestionable de la liquidez” teniendo en cuenta las valoraciones actuales. En su lugar propone aprovechar el alto precio de las propias acciones para adquirir otras empresas. Y, si bien esta estrategia es también muy cuestionable (adquirir una empresa sobrevalorada no es mejor que comprar las propias acciones caras), parece que este pensamiento se está extendiendo, ya que no solo las recompras de acciones están en niveles récord, también las fusiones y adquisiciones.

En mayo se produjeron M&A por importe de 243 mil millones de dólares, frente a los 226 mil de mayo de 2007 o los 213 mil de enero del año 2000. Es cierto que las cifras son récord en niveles absolutos y no en términos relativos, pero igualmente sirven como muestra de la tendencia existente: todo menos invertir para crecer orgánicamente. Y si bien algo así puede justificarse en sectores con bajas rentabilidades que necesiten consolidación, debe preocuparnos que veamos comportamientos propios de hedge funds allá a donde miremos.

Si bien ninguno de estos comportamientos es reprochable en sí mismo (existen buenas adquisiciones, buenas fusiones, buenas recompras de acciones…), lo que pueden indicar estos datos es que el sector empresarial ha perdido de vista la creación de valor en el largo plazo, para apuntarse a la especulación y aprovecharse de las intervenciones provocadas por los bancos centrales. Si en los últimos tiempos hemos hablado de las distorsiones provocadas por las políticas monetarias, añadamos una más: han matado el largo plazo.

No lo digo solo yo, véase la última intervención de Larry Fink, CEO de BlackRock, quien afirma que las empresas “están favoreciendo las acciones que proporcionan retornos inmediatos para los accionistas, como las recompras de acciones o los dividendos, a la vez que dejan de invertir en innovación, en la fuerza laboral o en el capex necesario para mantener el crecimiento a largo plazo”. Antaño se priorizaba el largo plazo, posteriormente pasamos a priorizar el corto plazo como medio para alcanzar los objetivos a largo plazo, y ahora, directamente, nos olvidamos del largo plazo. Y el que venga detrás que arree.

¿Qué ha pasado con la creación de valor? ¿Con situar al cliente en el centro del negocio? ¿Con la orientación a largo plazo? ¿Con considerar a los empleados como pieza clave para el éxito empresarial? ¿Qué ha pasado con esas empresas que tienen una actividad, son capaces de diferenciarse, e invierten día a día para seguir mejorando en ella? ¿Qué ha pasado con todas esas enseñanzas que todos los libros de gestión empresarial divulgan? Quizá nos hemos quedado antiguos, o quizá los efectos de esta crisis, aunque la economía crezca, tardarán mucho más de lo que pensamos en limpiarse.

[lectorhinfluyente1984]

https://www.blackrock.com/cash/literature/whitepaper/understanding-repurchase-agreements.pdf

http://www.theotcspace.com/sites/default/files/2011/11/003-the-repo-market.pdf

[lectorhinfluyente1984]

A pesar de que por el título (Keynes) se sospecha que trata sobre otra cosa (Keynes, jeje); en realidad en esta relectura, Minsky proporciona su propia versión sobre la inestabilidad del sistema:

http://digamo.free.fr/minsky75.pdf

Y otro de sus trabajos, sobre el problema de estabilidad e inestabilidad de nuevo:

http://www.levyinstitute.org/pubs/wp74.pdf

http://digamo.free.fr/minsky86.pdf

[lectorhinfluyente1984]

D.B. ...

http://www.zerohedge.com/news/2015-06-07/deutsche-bank-co-ceos-resign-amid-shareholder-frustration