Vuelta al mark-to-market

Hola Fernan2,
Soy el anónimo que no lo había entendido. Con este último artículo me ha quedado clarísimo. Te agradezco tu profesionalidad, rigurosidad, y tu empatía para que todo el mundo entienda de lo que se habla. saludos

Tengo una preguntita, ¿cómo puede un estudiante de 4º de economía cómo yo, con el sueldo del curro de los fines de semana, convertirme aquí y ahora en el tío que compra a 100 lo que vale 700? ¿Cómo puedo participar si no, de los resultados que obtenga el que ha comprado a 100? Tengo la filosofía de que cualquier certeza sobre el futuro, sea la que sea, positiva o negativa, relacionada o no con la economía, se le puede sacar un rendimiento ecónomico si se sabe qué herramientas utilizar. La cosa es que esta posibilidad existe desde hace relativamente poco tiempo.

Anónimo, curioso que menciones lo de que llegados al 0% la FED se quedaría sin armas para combatir la deflación, cuando precisamente Bernanke se hizo famoso en 2002 por su discurso Deflation: Making Sure "It" Doesn't Happen Here, donde demostraba todo lo contrario. Te pego los párrafos más interesantes:

The Congress has given the Fed the responsibility of preserving price stability (among other objectives), which most definitely implies avoiding deflation as well as inflation.

The sources of deflation are not a mystery. Deflation is in almost all cases a side effect of a collapse of aggregate demand--a drop in spending so severe that producers must cut prices on an ongoing basis in order to find buyers.

Once the nominal interest rate is at zero, no further downward adjustment in the rate can occur, since lenders generally will not accept a negative nominal interest rate when it is possible instead to hold cash. At this point, the nominal interest rate is said to have hit the "zero bound."

Deflation great enough to bring the nominal interest rate close to zero poses special problems for the economy and for policy. First, when the nominal interest rate has been reduced to zero, the real interest rate paid by borrowers equals the expected rate of deflation, however large that may be. Suppose that deflation is proceeding at a clip of 10 percent per year. Then someone who borrows for a year at a nominal interest rate of zero actually faces a 10 percent real cost of funds, as the loan must be repaid in dollars whose purchasing power is 10 percent greater than that of the dollars borrowed originally. In a period of sufficiently severe deflation, the real cost of borrowing becomes prohibitive. Capital investment, purchases of new homes, and other types of spending decline accordingly, worsening the economic downturn.

Although deflation and the zero bound on nominal interest rates create a significant problem for those seeking to borrow, they impose an even greater burden on households and firms that had accumulated substantial debt before the onset of the deflation. The financial distress of debtors can, in turn, increase the fragility of the nation's financial system--for example, by leading to a rapid increase in the share of bank loans that are delinquent or in default. Japan in recent years has certainly faced the problem of "debt-deflation"--the deflation-induced, ever-increasing real value of debts.

Because central banks conventionally conduct monetary policy by manipulating the short-term nominal interest rate, some observers have concluded that when that key rate stands at or near zero, the central bank has "run out of ammunition"--that is, it no longer has the power to expand aggregate demand and hence economic activityIt is true that once the policy rate has been driven down to zero, a central bank can no longer use its traditional means of stimulating aggregate demand.

However, a principal message of my talk today is that a central bank whose accustomed policy rate has been forced down to zero has most definitely not run out of ammunition. As I will discuss, a central bank, either alone or in cooperation with other parts of the government, retains considerable power to expand aggregate demand and economic activity even when its accustomed policy rate is at zero.

Indeed, under a fiat (that is, paper) money system, a government (in practice, the central bank in cooperation with other agencies) should always be able to generate increased nominal spending and inflation, even when the short-term nominal interest rate is at zero.

The conclusion that deflation is always reversible under a fiat money system follows from basic economic reasoning. A little parable may prove useful: Today an ounce of gold sells for $300, more or less. Now suppose that a modern alchemist solves his subject's oldest problem by finding a way to produce unlimited amounts of new gold at essentially no cost. Moreover, his invention is widely publicized and scientifically verified, and he announces his intention to begin massive production of gold within days. What would happen to the price of gold? Presumably, the potentially unlimited supply of cheap gold would cause the market price of gold to plummet. Indeed, if the market for gold is to any degree efficient, the price of gold would collapse immediately after the announcement of the invention, before the alchemist had produced and marketed a single ounce of yellow metal.

What has this got to do with monetary policy? Like gold, U.S. dollars have value only to the extent that they are strictly limited in supply. But the U.S. government has a technology, called a printing press (or, today, its electronic equivalent), that allows it to produce as many U.S. dollars as it wishes at essentially no cost. By increasing the number of U.S. dollars in circulation, or even by credibly threatening to do so, the U.S. government can also reduce the value of a dollar in terms of goods and services, which is equivalent to raising the prices in dollars of those goods and services. We conclude that, under a paper-money system, a determined government can always generate higher spending and hence positive inflation.

Normally, money is injected into the economy through asset purchases by the Federal Reserve. To stimulate aggregate spending when short-term interest rates have reached zero, the Fed must expand the scale of its asset purchases or, possibly, expand the menu of assets that it buys. Alternatively, the Fed could find other ways of injecting money into the system--for example, by making low-interest-rate loans to banks or cooperating with the fiscal authorities. If we do fall into deflation, we can take comfort that the logic of the printing press example must assert itself, and sufficient injections of money will ultimately always reverse a deflation.

So what then might the Fed do if its target interest rate, the overnight federal funds rate, fell to zero? One relatively straightforward extension of current procedures would be to try to stimulate spending by lowering rates further out along the Treasury term structure--that is, rates on government bonds of longer maturities. There are at least two ways of bringing down longer-term rates, which are complementary and could be employed separately or in combination. One approach, similar to an action taken in the past couple of years by the Bank of Japan, would be for the Fed to commit to holding the overnight rate at zero for some specified period. Because long-term interest rates represent averages of current and expected future short-term rates, plus a term premium, a commitment to keep short-term rates at zero for some time--if it were credible--would induce a decline in longer-term rates. A more direct method, which I personally prefer, would be for the Fed to begin announcing explicit ceilings for yields on longer-maturity Treasury debt (say, bonds maturing within the next two years). The Fed could enforce these interest-rate ceilings by committing to make unlimited purchases of securities up to two years from maturity at prices consistent with the targeted yields. If this program were successful, not only would yields on medium-term Treasury securities fall, but (because of links operating through expectations of future interest rates) yields on longer-term public and private debt (such as mortgages) would likely fall as well.

I suspect that operating on rates on longer-term Treasuries would provide sufficient leverage for the Fed to achieve its goals in most plausible scenarios. If lowering yields on longer-dated Treasury securities proved insufficient to restart spending, however, the Fed might next consider attempting to influence directly the yields on privately issued securities. Unlike some central banks, and barring changes to current law, the Fed is relatively restricted in its ability to buy private securities directly. However, the Fed does have broad powers to lend to the private sector indirectly via banks, through the discount window. Therefore a second policy option, complementary to operating in the markets for Treasury and agency debt, would be for the Fed to offer fixed-term loans to banks at low or zero interest, with a wide range of private assets (including, among others, corporate bonds, commercial paper, bank loans, and mortgages) deemed eligible as collateral.

Although a policy of intervening to affect the exchange value of the dollar is nowhere on the horizon today, it's worth noting that there have been times when exchange rate policy has been an effective weapon against deflation. A striking example from U.S. history is Franklin Roosevelt's 40 percent devaluation of the dollar against gold in 1933-34, enforced by a program of gold purchases and domestic money creation. The devaluation and the rapid increase in money supply it permitted ended the U.S. deflation remarkably quickly. Indeed, consumer price inflation in the United States, year on year, went from -10.3 percent in 1932 to -5.1 percent in 1933 to 3.4 percent in 1934. The economy grew strongly, and by the way, 1934 was one of the best years of the century for the stock market. If nothing else, the episode illustrates that monetary actions can have powerful effects on the economy, even when the nominal interest rate is at or near zero, as was the case at the time of Roosevelt's devaluation.

In practice, the effectiveness of anti-deflation policy could be significantly enhanced by cooperation between the monetary and fiscal authorities. A broad-based tax cut, for example, accommodated by a program of open-market purchases to alleviate any tendency for interest rates to increase, would almost certainly be an effective stimulant to consumption and hence to prices.

Of course, in lieu of tax cuts or increases in transfers the government could increase spending on current goods and services or even acquire existing real or financial assets. If the Treasury issued debt to purchase private assets and the Fed then purchased an equal amount of Treasury debt with newly created money, the whole operation would be the economic equivalent of direct open-market operations in private assets.

s2

¿Qué pasa cuando el dinero es gratis? O mejor dicho, ¿qué pasa cuando los tipos de interés llegan al 0%? El Banco de Japón redujo ayer su tasa oficial del 0,5% al 0,3%, con lo que se acerca de nuevo al escenario de tipos de interés cero que ya vivió entre 1999 y 2000 y, de nuevo, en 2006.

Y el miércoles, la Reserva Federal de EEUU bajaba los tipos del 1,5% al 1% y dejaba la puerta abierta a más recortes. Como afirma Lewis Alexander, economista de Citi, “la probabilidad de que la Reserva Federal llegue a la ‘frontera’ cero en los tipos de interés es la más grande desde la Gran Depresión”.

Si eso sucede, será porque el presidente de la Fed, Ben Bernanke, detecta un riesgo claro de deflación –caída de los precios–, que puede llevar a la economía a un círculos vicioso de caída de beneficios, recortes de producción y de empleos, incremento de los impagos y restricción del crédito.

La principal herramienta para combatir la deflación son las bajadas de tipos de interés, y es precisamente el miedo a la deflación el que ha llevado los tipos en EEUU al 1%, y ha disparado la especulación de que lleguen al 0%. ¿Qué pasaría entonces?

Una vez llegada a esa situación, la Fed se quedaría sin munición en su herramienta principal para gestionar la actividad económica. Con los tipos al 0%, ya no se pueden bajar más. El economista John Maynard Keynes desarrolló el concepto de trampa de liquidez, que surge cuando los tipos de interés se sitúan cerca o igual a cero y el banco central se queda sin margen para estimular la economía. Agotado el margen de recortes de tipos, se utilizan otras vías para estimular la demanda, como inyectar liquidez directamente a los bancos, pero si éstos se niegan a prestar por el difícil entorno económico, la trampa se cierra y la liquidez queda atrapada.

En cualquier caso, la mayoría de expertos coincide en que los tipos de interés al 0% por sí solos no van a arreglar la economía. Una buena muestra de ello es Japón, cuyo crecimiento sigue renqueante desde que estalló su propia burbuja inmobiliaria en los ochenta, a pesar de haber contado con unos tipos de interés muy cercanos al 0% desde entonces.

¿Qué armas le quedan la Fed? En primer lugar, tratar de comprar deuda pública en los distintos tramos de la curva –a una semana, un mes, tres años, incluso con vencimientos más largos–, lo que reduciría los tipos de interés a esos plazos. Y en segundo, confiar en un paquete de estímulo fiscal por parte del Gobierno para impulsar la demanda.

Pero eso no sería todo. La Fed deberá también sortear los problemas técnicos que ocurren cuando el precio del dinero se acerca a nada. Con unos tipos al 0%, los bancos apenas tendrían incentivos para prestarse dinero unos a otros, porque estarían asumiendo un riesgo de impago a cambio de nada. Y, precisamente, uno de los principales problemas del sistema financiero actual es la congelación del mercado interbancario –las tuberías a través de las que el dinero fluye entre entidades y acaba convirtiéndose en crédito para empresas y hogares–.

Turbulencias en los monetarios
Además, el equipo de Análisis Económico de EEUU de Goldman Sachs advierte del riesgo de problemas en el resto del mercado monetario. Según una nota a sus clientes, los fondos monetarios de EEUU, que invierten en deuda pública a corto plazo, se verían con serios problemas “para cubrir sus costes y ofrecer una rentabilidad positiva a sus accionistas”. Con los tipos al 1%, la deuda a tres meses de EEUU apenas rinde un 0,49%. Según los expertos de Goldman Sachs, “si los tipos siguen cayendo y los fondos monetarios no ofrecen una rentabilidad positiva, los inversores podrían decidir salirse de esos fondos, lo que podría llevar a nuevas turbulencias”.

Pablo, aunque parezca mentira, si Pequeñoinversornovato no invierte a crédito, tiene ventaja frente a Bancopillao, pues nadie le exige provisionar, ni aportar garantías, ni vender... como bien dices, con sólo invertir lo que te sobra ya estás blindado frente a esto.

Victor, un acuerdo de los partícipes de un hedge fund para no vender es lo correcto en circunstancias así; es lo que mejor defiende el interés general. Pero no es viable cuando es un fondo con muchísimos pequeños partícipes... y figurate si ese fondo de muchísimos pequeños partícipes es a su vez partícipe de un hedge fund que no permite ventas!! A lo que voy es que lo ideal a veces no es viable... no es nada fácil poner de acuerdo a la gente para que renuncie a la liquidez a que tiene derecho, en un entorno donde muchos necesitan liquidez desesperadamente!!

s2

Hola Fernan2, una anotación más cuando dices: "Pues una de dos, o declaras el fondo en quiebra o malvendes por mucho menos de lo que realmente vale... tendrás que vender, ventas obligatorias, por menos de lo que vale!!"

Yo he visto fondos, hedge funds, etc americanos, canadienses, etc que han realizado juntas extraoridnarias con sus participes y han acordado no realizar ningun reintegro en los proximos 3 años.

Saludos

Victor

Se aprende mucho por aquí, genial el artículo tio ;)

Lo que dices lo desconocía, pero lo cierto es que lo veo razonable... lo malo de esto es que no nos queda más remedio que admitir que estamos en manos de los especuladores, porque si a Bancopillao le pasa eso, imagínate a "Pequeñoinversornovato".

Lo que esto nos enseña, aparte de algunos conceptillos de finanzas que siempre van bien, es que lo que tu destines a inversión, debe ser algo que no necesites ni tengas que malvender a la primera de cambios (las causas de fuerza mayor obviemante siempre estarán ahí) y desde luego mantener siempre liquidez y jugar con lo que es tuyo... el dinero del banco es caca.

Saludos

Gracias