negusneg 15/5/06
Ho trovato l'originale sul sito di Morgan Stanley ed ho scoperto che, tanto per cambiare
, il buon Turani ha tradotto solo la seconda parte, in cui Fels espone la sua view sui bond nei prossimi 3-5 anni.
Nella prima parte, in realtà, Fels prevede un rally dei bond (americani) nella seconda metà del 2006 e fino alla prima metà del 2007. Questo perchè secondo lui l'aumento dei tassi, l'incremento dei prezzi delle materie prime e il raffreddamento del settore immobiliare provocherà un notevole rallentamento della crescita Usa. Addirittura non esclude che, se il rallentamento fosse eccessivo, la Fed cominci a considerare un possibile taglio.
Correttamente Fels segnala che i suoi colleghi economisti "americani" (lui segue da Londra il mercato obbligazionario europeo) prevedono al contrario un leggero rallentamento e un ulteriore aumento dell'inflazione, che indurrebbe la Fed ad aumentare i tassi ancora due volte (fino al 5,5%), probabilmente dopo una pausa nel mese di giugno. Fels segnala anche che i suoi colleghi americani hanno azzeccato le previsioni degli ultimi due anni e quindi, dice, "il rischio è che continuino ad avere ragione loro".
Ma poi passa ad analizzare un orizzonte più lungo (o "secolare", come definisce i 3-5 anni nel mercato obbligazionario) per chiedersi dove andranno i tassi in quell'arco di tempo. "In breve la mia risposta è: molto più in alto". E alla fine confessa di essere "orso" sui bond a lungo termine.
Ecco l'articolo:
Global: A Long-term View on Long-term Interest Rates
Joachim Fels (London)
The next bond rally
My ‘cyclical’ view on global bonds, defined as a view for the next 6-12 months, hasn’t changed. Following the expected rise in long-term bond yields during the first half of this year, I look for a rally in bonds during the second half of the year and going into 2007. I assume here that US economic growth slows noticeably in response to the lagged effects of rising interest rates, higher energy prices, and a cooling housing market. I continue to think that the Fed is already in restrictive territory and virtually done tightening, and that it may even start to eye a rate cut later this year if growth slows markedly below trend. And I still look for US bonds to outperform Europe and Japan in the upcoming cyclical rally, and for risky assets to sell off.
I hasten to point out, however, that my assumptions are at odds with the forecasts of our US economists, who expect only a very moderate slowdown of the economy and a further pick-up in core inflation, which would lead the Fed to raise the funds rate target twice more to 5.5%, possibly after pausing in June (see R. Berner and D. Greenlaw, US Economics: Pause or Not, the Fed has More to Do, 8 May 2006). My US colleagues have been spot-on with their forecasts over the past couple of years, so the risk to my view is clearly that they continue to be right. Time will tell. Rather than re-opening the debate on the ‘cyclical’ outlook, let me take off my strategy hat, put on my economics hat, and address the question where bond yields will be heading over what some in the bond market call the ‘secular’ horizon of, say, 3-5 years. In short, my answer is: ‘much higher’. Here’s why.
Globalisation implies higher real interest rates
Markets have become used to viewing globalisation and low interest rates as two sides of the same coin. You have heard the story many times: Globalisation implies a huge supply of cheap labour, mainly in China and India, which is supposedly deflationary or disinflationary. Moreover, an Asian savings glut is depressing real interest rates, and Asian central bank buying of Treasuries has compressed risk premia.
I look at globalisation differently. The huge expansion of the global labour force has made capital relatively scarce. Employing this labour force will require a much larger stock of capital, which implies very high rates of investment in fixed capital for many years to come; for example, infrastructure investment in India and investment in machinery and equipment in China. Moreover, the larger demand on natural resources that goes along with development in China and India has pushed up raw materials prices, which in turn will spark higher investment in exploration in commodity-producing countries. Real long-term interest rates will have to rise, reflecting stronger investment demand and signalling the relative scarcity of capital. The high current savings rate in China and some other countries should not be extrapolated — as income prospects in these countries improve and governments build a better social safety net, savings rates are likely to decline. Lower savings and higher investment rates combined should push real interest rates higher.
Why then have real interest rates been so low for such a long time in recent years? In my view, central banks’ super-expansionary monetary policies in response to the bursting of the equity bubble and the deflation fears are the main culprit for low long rates and tight risk spreads. But central banks, led by the Fed and now followed by the ECB and the Bank of Japan, are in the process of normalising global monetary conditions. The removal of the main cause for a distorted yield curve has already started to push real long yields higher. Yet, more is to come once the investment-savings dynamics described above start to unfold over the next several years.
Inflation should trend higher, too
I not only see real interest rates moving higher (on trend) over the next 3-5 years, but also long-term inflation expectations. The trough in global inflation occurred in 2002/2003, following more than two decades of disinflation. Headline inflation has moved higher since, reflecting mainly a rise in energy prices due to super-expansionary monetary policies and the China factor. Core inflation has remained moderate so far, but I believe the concept of core inflation (defined as the CPI excluding food and energy) is almost meaningless if food and energy prices are pushed permanently higher by globalisation. As it attempts to anchor long-term inflation expectations, it is natural for the Fed to talk about core rather than headline inflation. But break-even inflation rates (currently at 2.75% for the 10-year horizon) signal that markets doubt that headline inflation, currently around 3.5%, will come all the way down to core inflation, which is around 2%. And inflation expectations, also on a forward basis, have started to move higher recently. More is to come once Asia’s workers become consumers, too. It will be difficult for the US and Europe to immunise themselves against a rise in global inflation.
Bottomline: Long rates could go to 7%
Real interest rates, measured by US 10-year TIPS, are currently around 2.4%, virtually identical to our measure of the US natural rate of interest. But with global demand for capital rising I can see them easily going to 3.5% or so over the next 3-5 years. In a borderless world, real interest rates should reflect global demand and supply conditions. Put differently, if global real GDP can grow at a trend rate of 4% over the next decade, real long-term interest rates should not trade much lower than that. Inflation expectations could also rise by another percentage point or so over the next several years, bringing them up to the current rate of headline inflation in the US. If you put this all together, it is not crazy (at least in my view) to see US long-term interest rates going to 7% over the next 3-5 years. Note that the forward markets already see 10-year US swap rates at almost 6% in five years’ time. So the market has already moved half-way towards my long-term target. Don’t get me wrong: I’m still looking for a ‘cyclical’ rally in bonds on a 6-12 month view. But I herewith confess that I am a long-term bear on bonds.
poi, dopo essermi sorbito pazientemente i tre porcellini, yoghi, boo boo, il lupus iranicus e chi più ne ha ha più ne metta, scopro che Fugnoli ha detto alcune cose sensate:
