TEB - Chief Investment Officer
Satış dalgasının dinamikleri
Son haftalarda piyasalar çalkantı içinde. Gelişmiş ve gelişen piyasalarda tüm varlık sınıflarında yaşana keskin satışlar güven kaybına sebep oldu. Likidite yoksunluğu ve yüksek volatilite değer algısını kötüleştirdi. İngilizce tam metin: Part-1 Dynamics of the Market Sell-off: Is it all about Tapering? Markets have been in turmoil in recent weeks. Sharp and sudden sell-off in all asset classes across the risk spectrum both in developed and developing markets caused loss of confidence. Illiquidity and high volatility have deteriorated the sense of value. Such a widespread and simultaneous risk aversion across all markets can’t be triggered by domestic concerns. A closer look at market moves further indicates that the roots of the sell-off goes back to early May and the volatility clearly intensified after Bernanke’s press conference post-FED meeting on June 19th. Following the press conference, many commentaries primarily focused on earlier timing of “tapering”. Markets were originally expecting the FED to start reducing size of its asset purchases in January or December, but after Bernanke’s press conference that timeline was brought forward to September. Following the employment data released on Friday, July 5th, there is now even more consensus that the FED will start tapering in September. If so, at this point, one should ask the following questions: What is the impact of the early tapering decision on US Treasury rates? Is the sell-off all about the tapering decision or are there other considerations in play? Before I attempt to answer these questions, I need to cover some basics about the quantitative policies adopted by the FED tough. Some Basics on Quantitative Easing (QE) As you remember, the FED cut its policy rate from 5.25% to zero bound by late-2008. As the 2008/9 crises deepened and there was no possibility of cutting rates further, the FED started implementing QE policies mainly thru two channels. The first channel is the asset purchases where the FED has purchased treasury and mortgage bonds from secondary markets. The goal was to influence the level of overall interest rates and the level of credit and mortgage spreads. The second channel was the introduction of “forward policy guidance” adopted in August-2011 where the FED has committed to keep zero rates for an extended period. By making such a commitment, the FED has shifted market expectations regarding the future path of policy rate. As medium-to-long term rates in a yield curve represent expectations of future short-term rates, such forward guidance has consequently enabled the FED to lower long-term interest rates. The FED initially tied its forward guidance to a calendar but subsequently made it conditional and committed to keep it till substantial improvement in unemployment is achieved. As a result of all these policies, 10yr US Treasury yield has declined from 5.30% levels in mid-2007 all the way to 1.40% in mid-2012. Let me spend some time on asset purchases. Throughout these purchases, FED’s balance sheet has expanded from $0.9 trillion to $3.5 trillion. There is no direct way of measuring the impact of these purchases on interest rates. Nevertheless, there are a number of empirical studies conducted by the FED and academicians. On average, these studies estimate that $500 billion of asset purchases has reduced10yr US Treasury rates by about 20bps, and total purchases so far had an impact of about 80-120 bps. These studies also argue that stock of asset purchases rather than flow of purchases matters for interestrates. In simpler terms, FED policy should be perceived neutral even if the FED stops purchases completely and maintains the size of its balance sheet. In a similar fashion, only a reduction in FED’s balance sheet should be interpreted as a policy tightening. Impact of Tapering After this brief overview, let’s try to estimate the impact of the early tapering decision. The early tapering means that the FED will start reducing its asset purchases in September rather than the original expectations of January or December; and this translates into 3-4 month worth of less asset purchase. In very rough terms, we are talking about $340 billion in total (4 months of $85 billion purchases). Relying on the studies cited above, $340 billion less purchase than original expectations should have pushed 10yr US Treasury rates by about 15bps or so. That is peanuts compared to 110 bps rally in yields since early May.Hence, something else must have been in play. The real trigger for the move on US treasuries may not be the news on the timing or the size of tapering. Beyond that, markets may have simply started discounting the potential that FED’s forward guidance may come to an end and FED policy may become much more uncertain going forward. In other words, I believe that markets are pricing eventual FED rate hikes and, hence, the rate on riskfree assets. As the return on risk-free asset (risk-free rate) is re-priced, all asset valuations across the spectrum are being re-priced simultaneously. Sorry that it took me so long to lay down the ground work. However, we need to correctly identify the trigger for the market sell-off first so that we can do a follow-up analysis on its pricing and implications. I hope that I achieved the first step in this article. Next, I will write-up my views on the level of risk-free rate and my assessment on the valuation of TRY fixed-income assets.
Yazarın Diğer Yazıları
Satış dalgasının dinamikleri
Fed, TCMB ve görünüm
Geleceği şekillendirecek yapısal kaymalar
Yunanistan ve etkileri
Yılın başı güç olsa da sonu daha mutlu olacak
AB zirvesi ve ECB hamlelerine dair değerlendirmeler
Faiz yukarı yönlü harekete devam edecek
TCMB politikaları ve AB toplantısı
Avrupa´da ne olması gerek?
ABD´deki kurumsal yatırımcıların görüşleri
Para politikasında yanlış adımlar
Tahvil faizi artacak
Tahvil faizinde zirveyi gördük mü?
ABD´den gelen haberler
Bono faizlerinde ´sürpriz´ düşüş
Enflasyon, para politikası ve bono faizleri
Bonoda kar realizasyonu zamanı
ABD ekonomisi: 2010 öncesinde görünüm
TCMB toplantısı ve bono faizleri
Faizlerdeki değerlemeler iyi seviyelerde
Faizlerdeki değerlemeler en kötü seviyelerde
TCMB enflasyon raporu ve tarihi fırsat
Yeni bir ekonomik rejime doğru mu gidiyoruz?
Bahar rallisinde sona mı geldik?
Euro-dolar paritesi ve doların genel seyri
İyileşme kalıcı mı?
Verim eğrisi dinamikleri ve faizlerde görünüm
Fed toplantısı ve dolar
Bozulan ezberler ve IMF süreci
Faizlerde düşme potansiyeli hala var mı?
TCMB´den 100 baz puanlık indirim bekliyorum
ABD: Obama Paketi ve Ekonomik Görünüm
TCMB Faiz Beklentisi: 15.25%
TCMB´nin faiz kararı
Faizler düşecek ama borsada yükseliş zor
Bonoda alım zamanı
TCMB´den faiz beklentisi
TCMB´den faiz artırım beklentileri
Kur artışı, enflasyon ve faizler
Yılsonu için pozitif beklentiler
TCMB´den beklentiler: 2x50 bp faiz indirimi
Kur artışının enflasyona etkisi ve faiz artırım beklentileri
Changes in global liquidity and potential implications