vladimir werning 212 834 4144

Transcripción

E:\CEP_Marzo_2009_2.ppt
VLADIMIR WERNING 212 834 4144
Agenda
• El proceso de normalización financiera
• Tomando el pulso a la recuperación
• Proyecciones de recuperación
• Riesgos estructurales de recaída
- Continuo desapalancamiento (mercado inmobiliario)
- Proliferación de bancos “muertos vivos” (capitalización)
- Represión financiera (regulación)
- Sobre-ajuste de ahorro (mercado laboral deprimido)
• Riesgos ciclicos de recaída
- Alza del precio del petróleo
- Alza de tasas largas de interés
Factores positivos de CP
Factores negativos de CP y LP
• Proyecciones de tasas de interés y monedas
• Debate
D b
iinflacionario
fl i
i y debate
d b
sobre
b estrategia
i d
de salida
lid d
de QE
• Proyecciones de inflación y tasa de politica monetaria
2
Proceso de normalización financiera
Facilidades abiertas$, bn
Discount window,
window PDCF,
PDCF currency swaps,
swaps AMLF,
AMLF CPFF,
CPFF MMIFF
1500
1000
Ben Bernanke
500
0
2007
2008
2009
3
Proceso de normalización financiera
EEUU: Fallas de entrega de bonos del Tesoro en operaciones de repo
Libor/Euribor - Overnight Index Swaps (3m)
bps
$bn
400
6000
EEUU.
350
LEH
BSC
5000
300
4000
250
200
RU
150
3000
2000
100
1000
50
Euro
0
Jun 07
Oct 07
Feb 08
Jun 08
Oct 08
0
Aug-07
Feb 09
Riesgo de contraparte inter-bancario
inter bancario
Dec-07
Apr-08
Aug-08
Dec-08
Apr-09
Iliquidez y fallas operativas de mercado
EEUU prima concedida en emisiones de bonos corporativos
Diferencial de tasa: Bancos de desarrollo vs UST
pb
pb
250
120
200
100
80
150
60
100
40
50
20
0
Oct-07
0
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Prima por acceder al mercado
Jun 04
Mar 05
Dic 05
Sep 06
Jun 07
Mar 08
Dic 08
Arbitrajes financieros de bajo riesgo
4
Enterrando la peor recesión
EEUU: Performance macroeconómica en recesiones
PBI g
global
Worst two
%2q saar; US recession bars, last 1Q08-2Q09
12
8
4
0
-4
%chg GDP
Change
Duration, qrtrs
quarters
%chg GDP
relative to
unemp rate
(recession/below-
NBER peak
(%chg, saar)
(peak to trough)
trend1
(%)1
trend growth)
4Q48
-3.5
-1.7
n.a.
3.3
4 / n.a.
2Q53
-4.3
-2.6
-5.9
3.4
4/5
3Q57
-7.4
-3.2
-6.9
3.4
3/8
2Q60
-2.3
-0.5
-4.8
1.9
3/4
4Q69
-1.3
-0.2
-6.3
2.6
4 / 10
4Q73
-3.1
-3.1
-8.8
4.1
5/8
1Q80
-4.3
-2.2
-5.4
2.0
2/7
3Q81
-5.6
-2.6
-6.9
3.3
5/7
3Q90
-2.5
-1.3
-4.2
2.4
2 / 11
1Q01
-0.1
01
03
0.3
-5.6
56
22
2.2
3 / 11
4Q07
-6.2
-2.5
-7.2
5.1
6 / 14
-8
70
75
80
85
90
95
00
05
10
1. Change over the entire period in which the output gap was falling. In all cases, this period is longer than the official
recession period.
5
Tomando el pulso a la recuperación: Impulso inicial
EEUU inventarios reales no agricolas
Producción industrial y proxy de ventas finales globales
%ch saar
Indice Ene00-Mar09=100
P d i industrial
Produccion
i d ti l
115
16
110
105
8
100
Proxyy de ventas finales
95
0
90
-8
60
65
70
75
80
85
90
95
00
85
05
00
02
04
Inventarios manufactureros
EEUU nuevas ordenes e inventarios
IndiceJan07=100
Sa
06
Sa
Ordenes
110
EEUU
130
60
115
50
100
40
85
30
70
20
08
Recesion
50
Corea
105
100
Japon
Taiwan
95
2007
2008
Corrección de inventarios…
2009
45
40
Inventarios
35
30
2007
2008
2009
…yy algo
g mas: estabilización de demanda
6
Tomando el pulso a la recuperación: La oferta avanza con
envión fuerte y amplio
Indice JPMorgan de confianza empresarial global y producción industrial global
Indices de confianza empresarial por país
%3m/3m, saar
Ratio, sa
DI, sa; implied effect in May-Aug forecast period in parentheses
May - Aug
1,3
12
60
6
50
1,1
0
-6
40
0,9
-12
PI global
PMI ordenes/inventarios
-18
0,7
20
-24
0,5
-30
99
01
03
05
07
US (+8)
30
09
Mejora de confianza empresarial anticipa
una recuperación industrial veloz
Global (+10)
Euro area (+9)
Japan (+19)
10
2008
2009
La mejora de la confianza se verá
reforzada en los meses que vienen
7
Tomando el pulso a la recuperación: La demanda de EEUU
oscila entre frenos (ingresos) y aceleradores (confianza) …
Confianza del consumidor
120
110
100
90
EEUU: Proxies de ingreso – ganancias y masa salarial
80
70
% oya
Labor income
%
8
4
60
U of Michigan
50
40
Conference board
30
20
2004
4
2
0
0
Profit margins
2005
2006
2007
2008
2009
Condiciones de compra
Percent, both scales 3mma
40
Mal momento por tasa de
interes o condiciones de
credito
30
Mal momento por
incertidumbre futura
25
30
20
-4
-2
2003
2005
2007
2009
20
15
10
10
5
0
78
83
88
93
98
03
08
0
8
Tomando el pulso a la recuperación: … mientras arranca un
motor auxiliar “Fabricado
Fabricado en China”
China
China: exportaciones e importaciones
%3m/3m, saar
Exports
p
I
Imports
t
80
60
Baltic Dry Freight Index
40
index Jan 4 ,1985 = 100
20
0
14000
-20
12000
-40
10000
-60
8000
-80
2002
2003
2004
2005
2006
2007
2008
2009
6000
Crecimiento del PBI: desvios de tendencia
4000
%pts from 2000-present average pace of quarterly growth
2000
0
10
2002
2003
2004
2005
2006
2007
2008
2009
5
China
0
-5
-10
Rest of world
-15
2006
2007
2008
2009
9
Tomando el pulso a la recuperación: Proyección de EEUU
excediendo su potencial en 2010
EEUU: proyeccion de crecimiento del PBI JPMorgan
Gasto global
%q/q, saar
%3m saar
Final sales proxy = -1.3 + 0.8*retail sales +
0.4*G3 cap goods shipments
20
4
3
10
2
Ventas
1
0
0
-1
-10
Ventas
finales
-20
-2
-3
Anterior (Abril 24)
-4
-30
Envios de bienes de capital G-3
Ultima (Mayo 1)
-5
-6
-40
2006
2007
2008
2009
1Q09
3Q09
1Q10
3Q10
10
Tomando el pulso a la recuperación: Proyecciones
Real GDP
Real GDP
% over a year ago
2008
% over previous period, saar
2009
2010
4Q08
1Q09
2Q09
3Q09
4Q09
1Q10
2Q10
The Americas
United States
1.1
-2.4↑
2.7
-6.3
-5.7↑
-0.5
1.0
2.0
3.0
4.0
Canada
0.5
-2.9
2.1
-3.4
-7.0
-4.0
0.0
2.0
3.0
3.0
Latin America
3.8
-3.0↓
3.2↑
-8.6
-11.9
-0.2
9.3↑
2.1↑
2.9↑
3.1↑
Argentina
7.0
-3.0
2.0
-1.2
-10.0
-6.0
0.0
-4.0
6.0
6.0
Brazil
5.1
-1.4
3.0
-13.6
-6.4
3.8
3.5
4.0
2.5
3.0
Chile
3.2
-1.5
3.2
-7.9
-2.5
0.0
3.0
4.0
4.0
3.5
Colombia
2.5
-0.5
3.0
-4.1
-1.2
0.5
1.1
0.8
3.5
4.3
Ecuador
6.5
-2.0
0.5
-1.0
-4.0
-6.5
-4.0
0.0
1.5
2.5
Mexico
1.3
-5.5↓
3.8↑
-9.8
-21.5
-1.0
21.6↑
2.0↑
2.0↑
2.0↑
Peru
9.8
2.4↓
4.7
0.7
-1.6↓
2.5↓
5.5↑
5.0↑
4.8
5.5
Venezuela
4.8
-2.0
1.5
1.4
-9.3
-8.0
-4.0
0.0
3.0
4.0
Japan
-0.7
-6.4↑
2.5↑
-14.4
-15.2
2.5↑
2.0
4.5
3.5
-0.5
Asia ex. Japan
5.8
2.7↓
6.4
-5.1↑
1.6↑
6.1↑
6.8↑
6.9↑
6.1↓
6.3
China
9.0
7.2
8.5
2.2
5.8
7.6
Hong Kong
2.4
-5.5
3.5
-7.4
-16.1
India
6.0
5.2
7.0
2.3↑
Korea
2.2
-2.1
3.9
Singapore
1.1
-6.3
3.7
Taiwan
0.1
-5.0
3.1
Euro area
Switzerland
Asia/Pacific
10.8
10.0
9.5
7.6
0.6
3.5
5.5
3.0
3.0
6.4↑
-2.8
3.2
6.0
9.3
10.3
-18.8
0.2
5.0
4.0
4.0
4.0
3.5
-16.4
-14.6
4.1
5.3
2.0
0.4
4.1
4.8
-23.8
-3.4
5.7
6.8
6.9
4.0
3.8
-1.7↓
2.4
-1.8
-6.4↓
-1.6↓
1.1↓
2.0↓
3.0↑
3.3
0.7
-4.1
1.2
-6.2
-9.8
-1.5
0.0
1.0
1.5
2.0
1.6
-2.0
1.1
-1.2
-6.0
-2.0
0.5
1.0
1.5
1.5
United Kingdom
0.7
-3.5
1.7
-6.1
-7.3
-1.5
0.5
1.0
2.0
2.5
Emerging Europe
Africa
South Africa
Europe
4.1
-4.3
2.3↑
Russia
5.6
-6.5
3.3↑
Turkey
1.1
-3.4
2.5
1.6
-2.9
Developed markets
0.7
-3.6
Emerging markets
4.9
0.0↓
Global
-7.9↓
-12.8
…
2.6
↑
2.1
4.8↑
↑
-12.8↑
-1.7↓
1.9↑
2.7↑
2.6↑
2.6↑
-21.5↓
-0.5
4.0↑
4.5
3.5↑
3.0↑
…
…
…
…
…
…
-7.1
-7.5↑
0.2↑
2.0
2.6
3.0↑
3.0
-7.4↓
-8.5↑
-0.6↑
0.8
2.0
2.5
2.5
-6.3
-4.0↑
3.2↑
6.6↑
5.0↑
4.7↑
4.9↑
11
Tomando el pulso a la recuperación: Auditando las proyecciones
Pedidos de seguro de desempleo y PBI
% change q/q, saar
% change q/q, sa
GDP
9
-20
6
-10
3
0
0
10
-3
20
Initial claims (2Q09 is
latest 4wk avg.)
-6
30
-9
40
72
77
82
87
92
97
02
07
EEUU: Indice de sorpresas económicas
EXPECTATIVAS
• Confianza empresarial global al alza
- EEUU (ISM): 50
- Euro (IFO Alemania): 90
- Japon (Choko Shukin): 40
• Extension
E t i d
dell crecimiento
i i t asiatico
i ti (C
(Corea,
Taiwan y Japon se suman a China)
• Mercado laboral EEUU mal (pero menos)
- Solicitudes de desempleo:
p
<500,000
,
- Caida de empleo: < 150,000
20
10
0
• Gasto de consumidores de EEUU se
estabiliza a pesar de oscilaciones del ingreso
-10
-20
-30
-40
-50
Sep-07
Dec-07
Mar-08
Jun-08
Oct-08
Jan-09
Apr-09
12
Entendiendo la recuperación: No todo lo que brilla es oro
Japon: Produccion industrial
Japon: Produccion industrial
%q/q, saar, 2Q09 includes manufacturers' projection for May and June
2005=100, sa
60
Level
120
40
110
20
100
0
90
-20
-40
80
-60
70
-80
55
60
65
70
75
80
85
90
95
00
05
10
60
98
00
02
04
06
08
China: nuevos creditos
China: credito bancario
billion yuan
%oya
2009
2000
30
2007
2008
1500
25
May 09 forecast
1000
20
500
15
0
10
2003
2004
2005
2006
2007
2008
2009
Ene
Abr
Jul
Oct
Ene
13
Tomando el pulso a la recuperación : No todo lo que brilla en
el futuro inmediato, sigue brillando en el futuro lejano
EEUU: Proyecciones
4q/4q; %ch saar, except where noted
1996-2000
2001-2002
2003-2007
2008-2009
2010-2012
Actual
4.0
1.1
2.9
-0.9
3.5
Potential
3.2
3.6
2.7
2.5
2.1
Actual
4.6
5.3
5.2
7.4
8.5
Lo bueno…
Real GDP:
Unemployment rate (% pa, avg)
NAIRU
5.0
4.8
4.8
5.5
6.0
Core PCE
1.5
1.9
2.1
1.5
0.6
Fed funds rate (%pa, avg)
5.5
2.8
3.1
1.1
0.7
Fiscal budget (% of GDP pa, avg)
0.6
-0.1
-2.6
-10.3
-6.5
-0.3
-0.1
-2.0
-8.7
-5.4
Cyclically adjusted deficit
… lo malo…
… y lo feo
Crecimiento potencial
% point change per year, overall economy
1975-1995
1996-2002
2003-2008
2009-2012
3.0
3.3
2.7
2.1
Total economy
1.2
2.2
1.8
1.3
Nonfarm business
1.5
2.7
2.0
1.6
Potential hours worked:
1.7
1.1
0.9
0.8
1.3
1.3
1.2
1.1
Potential growth
Potential labor productivity
Memo:
Working age population
Labor force participation rate
0.4
0.0
-0.1
0.0
Nonresidential capital stock
2.9
3.3
1.8
1.4
14
Riesgo estructural de recaída 1: Espiral vicioso de
desapalancamiento e insolvencia
Indices of existing home prices
%oya
LoanPerformance
indexindex
LoanPerformance
30
Case-Shiller 10-city index
20
Nouriel Rubini
10
0
-10
FHFA purchase-only index
-20
92
94
96
98
00
02
04
06
08
15
Riesgo estructural de recaída 1: Espiral vicioso de
desapalancamiento e insolvencia
Mortgage delinquencies and new foreclosure starts
Percent, sa
Percent, sa
1,5
10
Delinquency rate (30 days or more, but
not in foreclosure)
9
8
1,0
7
New foreclosure rate
6
0,5
5
4
3
0,0
80
85
90
95
00
Financiamiento inter-dealer
$Tn
05
$Tn
Total Financing
1,80
10
1,60
9
1,40
8
7
1,20
6
Net Repo
1,00
Credit market debt as % of GDP
Equities as % of household net worth
Federal Debt as % of GDP
Federal deficit as % of GDP
Financial sector debt as % of GDP
Household debt as % of GDP
Household debt service ratio
Household liquidity as % of liabilities
Mortgage debt as % disposable income
Mortgage debt as % of GDP
1Q 82
167.4%
13.5%
26 8%
26.8%
4.1%
21.9%
47.5%
10.7%
112.8%
42 7%
42.7%
31.6%
Today
370.4%
23.6%
44 8%
44.8%
12.4%
121.2%
97.3%
13.9%
54.0%
98 1%
98.1%
73.6%
Personal savings rate
10-year US Treasury
Fed Funds
Annual CPI
11.6%
14.3%
14.2%
7 6%
7.6%
4.2%
3.1%
0.2%
0 0%
0.0%
Shiller P/10Yr EPS
SPX Dividend Yield
7.3x
5.8%
15.3x
3.1%
5
0,80
4
Net Financing
0,60
3
0,40
2
0,20
1
-
0
Jan 03
Jan 05
Jan 07
Jan 09
16
Riesgo estructural de recaída 1: El “efecto
efecto dominó
dominó” tiene limites
Months' supply of single-family homes
Pending home sales, existing home sales
Months
Index, sa
14
130
12
Mn, sa
7,5
Existing sales
120
New single-family homes
10
110
8
100
6
90
4
80
Existing single-family homes
7,0
6,5
6,0
Pending
g home sales ((advanced
one month)
55
5,5
5,0
4,5
70
2
80
85
90
95
00
4,0
2003
05
2004
Inventarios estabilizados
2005
2006
2007
2008
2009
Ventas estabilizadas
Freddie Mac required net yield for 30-year loan, 0-60 day delivery
Construction and demographics
thousands, saar
3500
Percent, FHLMC series excludes transaction costs
7,0
3000
New housing units started
6,5
2500
6,0
2000
5,5
5,0
1500
4,5
1000
4,0
Household growth (5-yr average)
2007
2008
Costo financiero bajo
2009
500
69
74
79
84
89
94
99
04
09
Construcción inferior a demanda inercial
17
Riesgo estructural de recaída 2: Los bancos “muertos vivos” y
un proceso de recapitalización maratónico
Perdidas y capitalizaciones de entidades financieras de EEUU
Wilhem Buiter
18
Riesgo estructural de recaída 2: El tiempo juega a favor de los
bancos
Our stress
Loan
Treasury*
y Our base case
case
IMF
Prime
8.5%
8.0%
10.0%
8.4%
HELOC
11.0%
15.0%
19.0%
NA
C&I
8.0%
8.0%
9.0%
5.2%
CRE
12.0%
8.0%
10.0%
9.8%
Cards
20.0%
20.0%
25.0%
14.2%
* As reported by the Wall Street Journal
Note: IMF estimates as of April 2009, IMF estimate is for residential
mortgages.
Source: JPMorgan, IMF Global Financial Stability Report (April 2009),
Wall Street Journal.
IMF estimates
Tier 1/RWA ratios at end-2008
TCE/TA end-2008
Expected net retained earnings 2009 and 2010 (after taxes and
dividends)
E
Expected
t d Writedowns
W it d
2009
2009-10
10
Net drain on equity (retained earnings) 2009 and 2010
Writedown-adjusted Tier 1/RWA ratio
Writedown-adjusted TCE/TA
E it needed
Equity
d d to
t achieve
hi
4% TCE/TA ratio
ti
Amount
10.40%
3.70%
$300bn
-$550bn
$550b
-$250bn
6.70%
0.10%
Capital Buffer Needed under Adverse Economic Scenario
Total Estimated Losses (Before purchase accounting adjustments)
First Lien Mortgages
Second/Junior Lien Mortgages
g g
Commercial and Industrial Loans
Commercial Real Estate Loans
Credit Card Loans
Securities (AFS and HTM)
Trading & Counterparty Risk
$bn
599.2
102.3
83.2
60.1
53
82.4
35.2
99.3
Other loans and miscellaneous commitments
Purchase Accounting Adjustments
Resources Other Than Capital to Absorb Losses in the More Adverse
Scenario
83 7
83.7
64.3
362.9
Gross SCAP Capital Buffer Required
Less Capital Actions and Effects from Q109 Results
SAP Capital Buffer Required
185.0
-110 4
-110.4
74.6
Source: Supervisory Capital Advisory Program Overview of Results
$275b
$275bn
19
Riesgo estructural de recaída 3: Represión financiera
Barney Frank
EEUU: Deuda no financiera y no gubernamental
%oya, through 4Q08
20
Nominal
15
10
5
Real
0
Paul Volcker
-5
60
65
70
75
80
85
90
95
00
05
20
Riesgo estructural de recaída 3: Represión financiera
Gasto nominal en viviendas nuevas y deuda
Gasto nominal en bienes durables y deuda
%oya
%oya
y
New home
spending
100
Mortgage
debt
75
Spending
30
Consumer
credit
20
50
10
25
0
0
-25
-10
-50
70
75
80
85
90
95
00
05
-20
70
75
80
85
90
95
00
05
Gasto en viviendas nuevas y credito hipotecario
Gasto en bienes de consumo durable y credito al consumo
%oya, first year after recessions
Recession
Spending
%oya, first year after recessions
Recession
Spending
1969-1970
Mortgage debt
Consumer credit
36.0
8.2
1969-1970
23.6
1973-1975
57.0
10.8
1973-1975
24.6
4.6
1981-1982
39.6
8.3
1981-1982
21.2
12.1
1990 1991
1990-1991
52
5.2
-1.1
11
2001
-1.2
5.7
1990 1991
1990-1991
33 3
33.3
70
7.0
2001
21.3
13.3
11.7
Una recuperación sin credito no sería una novedad
21
Riesgo estructural de recaída 4: Las crisis bancarias suelen
terminar en un sobre
sobre-ajuste
ajuste de la tasa de ahorro
EEUU tasa de ahorro y ratio riqueza a ingreso
%
%
Ahorro
R i
Ratio
12
400
9
450
6
500
3
550
0
600
-3
60 65
70 75
80 85
90
95 00
05
Ken Rogoff
650
22
Riesgo estructural de recaída 4: Las crisis bancarias suelen
terminar en un sobre
sobre-ajuste
ajuste de la tasa de ahorro
“The Aftermath of Financial Crises” Reinhart and Rogoff, NBER WP Dec 2008
Macro consequences of bursting asset price bubbles leading to banking crisis (21 episodes): real house
prices drop 36% (over six years); real equity prices drop 56% (over three and a half years); unemployment
rate rises 7%pts (over five years); real per capita GDP drops 9.3% peak to trough (over two years); real
public debt rises 86%.
Asset price bubbles lead to a misjudgement of future income. Too much is brought forward and spent.
When asset bubbles burst, households and corporates are overleveraged and need to adjust.
payback
y
for the p
period of overspending.
p
g The p
payback
y
The severityy of the macro downturn reflects p
may be severe because the period of overspending is often long. Furthermore, saving rates may need
to overshoot their equilibrium in order to reduce the stock of debt.
The deleveraging process reduces the efficacy of traditional monetary and fiscal policy. Also, growth
potential
t ti l seems tto d
decline
li after
ft severe recessions,
i
and
d th
the NAIRU rises,
i
so some off th
the post-bubble
t b bbl
weakness reflects a permanent lost of output. Finally, a normal business cycle dynamic is added to
the other downward pressures.
23
Riesgo estructural de recaída 4: El sobre-ajuste ya puede haber
transcurrido
NIPA and Flow of Funds (w/o consumer durables) personal saving rate
%
Tasa de ahorro EEUU: Segun el primer informe y dato actual
20
Flow of Funds (4-qtr moving average)
15
%
10
5
14
Hoy
(revisado)
12
NIPA
1Q09 level, 4.2%
0
-5
10
65
70
75
80
85
90
95
00
05
8
6
Personal saving rate implied by national saving and investment
4
%
2
Primer
informe
-22
65
70
75
80
85
(Net foreign lending+investment-business
saving-gov't saving)/disposable personal
income
15
0
90
95
00
05
10
5
Medición en tiempo real sufre subestimaciones
NIPA personal saving rate
0
-5
65
70
75
80
85
90
95
00
05
Medidas alternativas sugieren que
mayor
y sobre-ajuste
j
ya
y es realidad
24
Riesgo cíclico de recaída: El estimulo fiscal no es tan duradero
como el déficit fiscal
EEUU: deficit fiscal ajustado por ciclo
% of potential GDP
LT-Avg.
2
0
-2
-4
-6
-88
-10
-12
62
67
72
77
82
87
92
97
02
07
12
EEUU contribucion del impulso fiscal al PBI
$bn, nsa
% pts., saar
3,0
80
2,5
70
2,0
60
Nivel
1,5
50
1,0
40
0,5
30
0,0
20
-0,5
-1,0
Contribucion % al
PBI
10
0
Larry Summers
25
Riesgo cíclico de recaída 1: suba del precio de petroleo
OPEC 11 produccion de crudo
millones de barriles por dia
$ por barril
31
140
Output
120
29
100
27
80
60
25
40
23
WTI Front Month
20
21
0
1999
Suba de WTI
2001
2003
2005
2007
2009
Demanda efectiva
Positivo
Anticipacion de demanda futura
Riesgo recesivo
Shock de oferta
Impacto recesivo
26
Riesgo cíclico de recaída 1: suba del precio de petroleo
EEUU: Ingreso disponible y proyeccion de gasto
IPC EEUU bajo distintos supuestos WTI
%ch saar
Masa salarial
4Q08
1Q09
2Q09
3Q09
4Q09
-0.9
-2.5
-2.0
0.0
1.0
%3m/3m saar
$90/bbl
50
5,0
Ingreso disponible
-2.1
5.4
3.3
-1.1
1.2
$70/bbl
Inflacion PCE
-4.9
-1.0
1.4
3.4
1.7
Ingreso real disponible
2.9
6.5
1.9
-4.4
-0.6
Consumo real
-4.3
1.5
0.5
0.0
1.0
Tasa de ahorro
3.2
4.4
4.7
3.7
3.3
2,5
$55/bbl
0,0
-2,5
Ene 09
Abr 09
Jul 09
Oct 09
Ene 10
27
Riesgo cíclico de recaída 2: Suba de tasa largas (UST)
EEUU Tasas
9%
Bonos corporativos
8%
7%
6%
UST
5%
4%
3%
2%
Fed funds
1%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Freddie Mac required net yield for 30-year loan, 0-60 day delivery
Percent, FHLMC series excludes transaction costs
7,0
6,5
6,0
5,5
Ben Bernanke
5,0
4,5
4,0
2007
2008
2009
28
Suba de tasas largas: La Reserva Federal esta perdiendo el
control ?
EEUU: Compra de activos por parte del gobierno
EEUU: compras de UST por parte de la FED
$ mil millon
proporcion sobre total recompras
Credito
Bonos
Bancos de Desarrollo
Consumidor
Activos
UST
Deuda
(MBS)
(ABS) TALF
bancos PPIP
Limite
300
200
1500
1000
1000
Total
105
76
643
17
0
105
76
507
0
0
136
13
Pendiente
195
124
857
983
1000
5%
Emsion neta esp (mayo-dic)
681
200
330
…
…
0%
Banco Central
Tesoro
Before Apr 27
30%
On and after Apr 27
25%
20%
15%
10%
0-2
4-6
8-10
12-14
16-18
20-22
28-30
Vencimiento
• Las compras no se han concentrado en UST sino en cédulas hipotecarias (MBS)
• Las compras de futuras de cédulas hipotecarias mas que duplican la emision esperada
• Las compras de la FED pueden volverse mas agresivas, volcandose a UST largos o
aumentando el límite de compras
29
Suba de tasas largas: La Reserva Federal esta perdiendo el
control?
Diferencial de tasa corporativo EEUU y emisiones de deuda
Diferencial de tasa: creditos securitizados
1500
1000
500
bp
Ungrnted issuance
(daily)
JULI spread
16
Credit Card ABS
550
Prime Auto Loan
ABS
500
12
FFELP Student
Loan ABS
450
8
JULI AA Bank (13 year)
400
CMBS
350
14
10
6
4
2
Jan-09
0
Feb-09
Mar-09
Apr-09
May-09
0
Jul-08
Sep-08
Nov-08
Jan-09
Mar-09
May-09
Impacto asimetrico de movimientos de tasa de UST sobre MBS
0,45
CC Yield Change
0,3
0,15
Dias de tasas a la baja
Slope = .868
R2 = .533
0
Dias de tasas a la
suba
Slope = .602
R2 = .290
-0,15
-0,3
-0,45
-0,35
-0,21
-0,07
0,07
Swap
Rate Change
0,21
0,35
B Bernanke
Ben
B
k
30
Riesgo cíclico de recaída 2: Suba de tasa largas (UST)… Por qué ?
(1) Factores positivos de CP: Normalización del sistema financiero y de la economía
• Reversión de “burbuja” (UST vs TIPs): Inversores reducen su demanda por activos líquidos
• Reactivación económica (UST vs S&P) : Inversores reducen su demanda por activos de refugio
(2) Factores negativos de CP: Desfasaje de oferta y demanda de UST
• Caída de demanda cautiva: Menores compras de China (futuro del USD ?)
• Incremento de oferta: Mayor déficit fiscal (crowding out ?)
(3) Factores negativos de LP: Desbalances
• Insostenibilidad fiscal: Aumento de deuda
• Desanclaje de expectativas inflacionarias: Aumento de inflación
ó
31
Riesgo ciclico de recaída 2: Suba de tasa largas (UST)…
Normalización
US inflation
%ar; 5y/5y breakeven
4,0
3,5
60
3,80
3,0
Core CPI
3,60
40
2,5
3,40
20
2,0
Inflation exp. - Core CPI
Jul 2
3,20
Sep 20
Dic 10
Feb 28
May 20
0
3,00
-20
2,80
-40
2,60
-12
-9
-6
-3
0
3
6
9
US medium-term inflation expectations
%, 5 to 10 year ahead expectations
Consumers: University of Michigan
3,5
12
3,0
Months around the trough of a recession
2,5
2,0
1,5
TIPS breakevens
1,0
0,5
01
03
05
07
09
32
Riesgo ciclico de recaida 2: Suba de tasa largas (UST)… Aumento
de oferta y concentración de demanda en letras de corto plazo
EEUU: Emision neta de bonos del tesoro
$ bn
2500
2000
1500
1000
EEUU: Compras netas de UST y agencies por extranjeros
500
$ bn
1.000
0
800
-500
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
UST
600
400
Evidente desfasaje de oferta y demanda
(pero “crowding out” no impacta en lo
i
inmediato:
di t iinversión
ió privada
i d b
baja)
j )
200
0
-200
Agencies
g
-400
Ene 02
Ene 03
Ene 04
Ene 05
Ene 06
Ene 07
Ene 08
Ene 09
China sigue comprando activos de EEUU
(
(pero
cambio
bi lla composición)…
i ió ) y por ende,
d USD
33
Riesgo cíclico de recaída 2: Suba de tasa largas (UST)…
insolvencia fiscal ?
EEUU: Deuda publica
% of GDP
80
Adverse outcome
70
60
OMB
50
40
30
20
60
64
69
74
80
84
89
94
00
04
09
U.S. Federal Government Financing and Debt
change in debt held by
the public, $ bn
debt held by the public, percent of
GDP
3000
70
Financial
operations
2500
65
60
2000
55
1500
1000
Debt/GDP
50
Budget
D fi it
Deficit
45
500
40
0
35
2004
2005
2006
2007
2008
2009
2010
John Taylor
34
Riesgo cíclico de recaída 2: Suba de tasa largas (UST)…
insolvencia fiscal ?
Balance fiscal
%PBI
2007
2008
2009
2010
Global
-0.7
-2.6
-8.1
-6.4
Developed
-1.0
-3.1
-9.3
-7.4
US
-1.2
-3.2
-10.6
-8.3
Japan
-2.5
-6.4
-13.5
-6.7
Euro area
-0.6
-1.9
-5.7
-6.3
UK
-2.6
-6.2
-13.0
-13.1
Emerging
0.5
-0.7
-3.8
-2.8
Latin America
-0.2
0.0
-2.7
-2.4
Brazil
-2.2
-1.5
-2.7
-3.0
Mexico
0.0
0.0
-2.5
-2.5
-6
Em Asia
0.8
-1.4
-3.7
-2.5
-8
China
0.6
-0.4
-3.0
-2.0
Korea
3.8
1.3
-2.4
-0.4
CEEMEA
0.6
0.2
-5.3
-4.1
Hungary
-5.0
-3.3
-3.8
-3.5
Poland
-2.0
-2.5
-4.0
-3.8
Russia
5.4
4.1
-7.6
-5.0
General Government Balance
percentt off GDP
2
0
-2
-4
Emerging
Economies
(IIF)
G7 (IMF WEO
April 2009)
-10
10
-12
1985
1988
1991
1994
1997
2000
2003
2006
2009
35
Riesgo cíclico de recaída 2: Suba de tasa largas (UST):
Insolvencia fiscal ?
EEUU: riesgo crediticio soberano
Bp, CDS spread
100
80
60
40
20
0
Jul 2
Sep 20
Dic 10
Feb 28
May 20
Japon: Deuda gobierno federal y deficit fiscal
% of nominal GDP for both scales, dotted lines show J.P.Morgan forecast
5
Gross debt
200
Larry Summers
0
160
-5
120
-10
Deficit
80
-15
40
90
95
00
05
10
36
Riesgo cíclico de recaída 2: Suba de tasa largas (UST)… Límites
en el corto plazo ?
Modelo tasa UST 10yr
Modelo tasa UST 10yr
8,0
Observada
7,0
Modelo
6,0
5,0
4,0
3,0
Coefficient
T-statistics
Proj
Intercept
4.42
10.2
-
UMich 1Y Infln Expectations
0.26
1.6
0.55
EM Surplus (% of US GDP)
-0.55
-8.2
4.50
Term premium (%)*
0.25
3.3
0.55
Jobless Claims Z-score
-0.58
-7.2
1.50
Cycl adj budget deficit (% GDP)**
0.32
4.0
6.60
Observations
2,0
1,0
Jun 94
Jun 97
May 00
May 03
Abr 06
Mar 09
60
R Squared
81%
Standard Error (%)
0.55
Yield Projection (%)
3.45
37
Proyección de tasas y monedas
10-yr Government
bond yields
Current
Sep 09
Dec 09
Mar 10
Jun 10
United States
3.46
2.90
2.75
3.00
3.25
Euro area
3.58
3.60
3.60
3.65
3.65
United Kingdom
3.74
4.10
4.30
4.50
4.70
Japan
1.47
1.50
1.45
1.40
1.30
Current
Sep 09
Dec 09
Mar 10
EUR/USD
1.41
1.43
1.45
1.47
USD/JPY
95.5
98
100
103
GBP/USD
1 62
1.62
1 54
1.54
1 58
1.58
1 63
1.63
Current
3Q09
4Q09
WTI ($/bbl)
66
60
65
Gold ($/oz)
978
975
1000
Copper($/m ton)
4737
4500
4250
Corn ($/Bu)
4.33
4.90
4.70
Foreign exchange
Commodities - quarterly average
38
Debate inflacionario: emisión descontrolada vs. holgura
gigantezca en las economías desarrolladas…
Activos totales: Balances de Bancos Centrales
index, end-June 2007=100
325
B k off England
Bank
E l d
Federal Reserve
275
225
European Central
Bank
175
125
Bank of Japan
75
Jul 07
Dic 07
May 08
Oct 08
Milton Friedman
Mar 09
EEUU: Medidas de holguras
%, real GDP relative to ppotential
Rollingg std dev from 10yr
y backward avgg
Output gap "current"
8
3
2
4
1
0
0
-1
-4
RU ("real time")
-2
-8
John Maynard Keynes
-3
65
70
75
80
85
90
95
00
05
39
Debate inflacionario: (… y en economias emergentes… precios
de materias primas)
Output gap
Consumer price Phillips curve, developed economies
% of GDP
Regression of %q/q saar headline inflation (t-stats in parentheses)
5
Constant
Emerging
Global
WTI, t
Agric, t-1
0
Agric, t-2
Res util, t-2
-5
0.50
1.00
0.16
(1.31)
(2.53)
(0.38)
0.06
0.05
0.05
(3.17)
(3.22)
(3.05)
0.02
0.03
0.02
(1.45)
(1.63)
(1.36)
0.03
0.03
0.03
(1.57)
(1.74)
(1.65)
0.39
0.46
(2.06)
(2.52)
GDP, t-1
Developed
Core CPI (%oya), t-6
Adj R-square
-10
96
98
00
02
04
06
08
10
0.05
0.10
(0.71)
(1.76)
0.63
0.34
0.68
(3.69)
(2.49)
(3.96)
0.48
0.46
0.49
Note: 1991-2008 sample period.
40
Debate inflacionario: riesgo inmediato sigue siendo la deflacion
Indice de costo de mano de obra, privada
%ch saar over 2 quarters, both scales
Recesion
3,5
3,0
2,5
2,0
1,5
1,0
2006
2007
2008
2009
EEUU: Tasa de desempleo y proyeccion0
ppercent, sa
12
10
8
6
4
2
80
85
90
95
00
05
10
Paul Krugman
g
41
Debate inflacionario: Evidencia histórica y proyecciones
apuntan a riesgo deflacionario
Inflacion core (PCE)
Inflacion core (PCE) y oferta monetaria (M2)
%oya
%ch saar,
saar q/q
10
25
M2
20
8
Core PCE
C
prices
15
6
10
4
5
2
0
-5
0
60
65
70
75
80
85
90
95
00
69
05
74
79
84
89
94
99
04
09
EEUU necesita tasas altas de crecimiento para bajar el desempleo
Average real GDP growth, %ch saar
If end-2009 unemployment rate is:
6% u-rate by
9.5%
10.5%
11.5%
E d 2010
End
10 9
10.9
13 4
13.4
15 9
15.9
End 2011
6.5
7.7
9.0
End 2012
5.1
5.9
6.7
Note: Assumes Okun's law coefficient of 0.4 and potential growth of 2.0%
42
Debate inflacionario: Futura normalización de politica monetaria
(gradual vs. mayor simetría con respecto al relajamiento)
Regla de Taylor y proyeccion de Fed funds bajo distintos supuestos
%
Fed inflation forecast,
J.P.Morgan output gap forecast
8
Fed
F
d iinflation
fl ti
forecast with
output gap
skepticism
6
4
Fred Mishkin
2
0
J.P.Morgan baseline
-2
00
02
04
06
08
10
12
43
Debate inflacionario (arte vs. ciencia): La inflacion efectiva
afectará la percepción de la Fed y del publico sobre el output gap
Expectativa inflacionaria
5,0
y = 0,4611x + 1,9014
R² = 0,8918
4,5
4,0
3,5
3,0
2,5
1,00
2,00
3,00
4,00
5,00
6,00
3M MA of Core CPI; %
44
Debate inflacionario: Tasas bajas por un periodo prolongado
Consumer prices
Change from
% over a year ago
1Q09
2Q09
4Q09
4Q10
The Americas
United States
-0.2
-0.9↑
1.0↑
0.8
Canada
1.2
0.2
1.5
2.2
Latin America
7.5
7.0
6.1
6.5
Argentina
7.0
7.0
6.0
10.2
Brazil
5.8
5.2
4.3
4.5
3.2
Chile
5.6
2.0
0.5
Colombia
64
6.4
55
5.5
48
4.8
45
4.5
Ecuador
7.9
6.0
5.3
4.1
Mexico
6.2
6.0
4.2
3.4
Peru
5.6↑
4.0
2.7
2.0
29.8
34.8
37.4
Venezuela
29.5
Asia/Pacific
Japan
-00.11
-00.77
-11.33
-00.88
Asia ex. Japan
2.6
1.2
1.7
2.8
China
-0.6
-1.4
1.0
2.0
Hong Kong
1.7
0.4
1.2
1.1
India
9.4
7.5
3.8
4.1
Korea
3.9
2.2
2.5
3.4
Singapore
2.1
0.8
0.4
3.6
Taiwan
0.0
-1.1
-0.7
1.5
Africa
South Africa
8.4
7.6
5.9
4.1
Current
Aug
g '07 (bp)
( p)
Mar 09
Jun 09
Sep
p 09
Dec 09
Mar 10
Jun 10
Sep
p 10
Dec 10
GDP-weighted average
1.43
-328
1.60
1.37
1.31
1.30
1.30
1.32
1.34
1.36
2.04
-240
2.29
1.95
1.86
1.86
1.85
1.88
1.91
1.94
The Americas
0.88
-472
1.04
0.81
0.75
0.75
0.76
0.77
0.78
0.78
United States
Federal funds rate
0.125
-512.5
0.125
0.125
0.125
0.125
0.125
0.125
0.125
0.125
Canada
Overnight funding rate
0.25
-425
0.50
0.25
0.25
0.25
0.25
0.25
0.25
0.25
Brazil
SELIC overnight rate
10.25
-125
11.25
9.50
9.00
9.00
9.00
9.00
9.00
9.00
Mexico
Repo rate
5 25
5.25
-200
6 75
6.75
4 75
4.75
4 00
4.00
4 00
4.00
4 00
4.00
4 00
4.00
4 00
4.00
4 00
4.00
Chile
Discount rate
1.25
-425
2.25
1.00
1.00
1.00
2.00
3.50
5.00
5.00
Colombia
Repo rate
5.00
-425
7.00
4.50
4.50
4.50
4.50
4.50
4.50
4.50
Peru
Reference rate
4.00
-75
6.00
3.50
3.50
3.50
3.50
3.50
3.50
3.50
Europe/Africa
1.58
-302
1.83
1.53
1.49
1.49
1.48
1.49
1.50
1.51
Euro area
Refi rate
1.00
-300
1.25
1.00
1.00
1.00
1.00
1.00
1.00
1.00
United Kingdom
Repo rate
0.50
-525
0.50
0.50
0.50
0.50
0.50
0.50
0.50
0.50
Asia/Pacific
2.07
-148
2.13
1.99
1.89
1.87
1.87
1.91
1.96
2.05
Japan
Overnight call rate
0.10
-40
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
Hong Kong
Discount window base
0.50
-625
0.50
0.50
0.50
0.50
0.50
0.50
0.50
0.50
China
1-year working capital
5.31
-171
5.31
5.04
4.77
4.77
4.77
4.77
5.04
5.31
Base rate
2.00
-300
2.00
2.00
2.00
2.00
2.00
2.00
2.00
2.50
Official interest rate
Global
excluding US
Europe
Euro area
1.0
0.4
0.8
Switzerland
0.0
-1.0
-0.7
1.1
0.5
United Kingdom
3.0
2.0
1.4
2.1
Emerging Europe
8.8
7.9
7.3
6.3
Russia
13.9
12.7
11.2
10.0
Turkey
8.8
6.9
6.1
5.0
1.4
0.7↑
1.3↑
1.5
Korea
Developed markets
0.5
-0.2
0.6↑
0.8
Emerging markets
5.0
3.9
3.8
4.3
Bold denotes move since last GDW and forecast changes. Underline denotes
policy meeting during upcoming week.
Global
45
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desks
k which
hi h may conflict
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ith your iinterests.
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the
i t
iinterests
t
t off JJ.P.
P M
Morgan ttrading
di d
desks
k which
hi h may conflict
fli t with
ith your iinterests.
t
t IIn addition,
dditi
research
h analysts
l t receive
i
compensation based, in part, on the quality and accuracy of their analysis, client feedback, trading desk and firm revenues and competitive
factors. As a general matter, J.P. Morgan and/or its affiliates normally make a market and trade as principal in fixed income securities
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V L A D I M I R W E R N I N G 2 1 2 8 3 4 4 1 4 4 47
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