I am a bit more confused today than I was yesterday. I was hoping to see a bear flattening in the yield curve, indicating that implementation of an exit strategy by the Fed was in the works…
Please, click here to read this article in pdf format: august-6-2009
I am a bit more confused today than I was yesterday. I was hoping to see a bear flattening in the yield curve, indicating that implementation of an exit strategy by the Fed was in the works. A bear flattener is a move in rates where short-term rates increase faster than long-term rates, with the gap between the two compressing. Seen from another angle, in a bear flattener, short-term bond prices fall faster than long-term bond prices. And this has not happened this week so far. The chart below shows that in fact, the opposite took place and rather violently, in the last trading hours yesterday. What happened? One of the possible explanations is that with today below consensus macro data releases (Employment and ISM Non-Manuf. Composite), the horizon for any sooner rather than later rate increase dissipated into oblivion. Adding fuel to the sell-off, there was also mortgage-related selling:
Chart 1: US Treasury Actives: Yield curve change since last Friday (source: Bloomberg)
Another interesting development in the last days has occurred in the correlation space. We dealt with this a few days ago (www.sibileau.com/martin/2009/07/29 ). We said that investors would be wrong to expect that correlation (of defaults) fall with systemic risk:”…Perhaps what misleads investors here is that systemic risk may not be falling, but evolving, switching from liquidity risk in its purest form (lack of financing) to inflation risk (lack of profitability, as costs rise or don’t fall as quick as revenue, while short-term financing becomes more expensive due to a crowding-out effect created by fiscal deficits)…“. In particular, we took the structural approach and said that: “… If you believe that correlation of defaults is a product of correlation in equities (in their expected returns) and their respective volatility, it will be easier to get the picture…”. Interestingly enough, Bank of America’s Credit Strategy team put a note yesterday on this issue (Situation Room: “Credit 25, VIX 0”), suggesting that while individual stock volatilities (within S&P500) did decline, the VIX did not react because an offsetting increase in implied correlation (in returns within the S&P 500 stock portfolio).
This takes me back to a point I am starting to emphasize more and more lately: Global coordination of monetary policies. Yesterday, we referred to the evolution (decreasing) in the Libor-OIS spread. On this subject, a friend and reader kindly sent us a chart (reproduced below) published by the Bank of Canada in its July 2009 Monetary Policy Report (source: Bloomberg). This chart shows the spread between the main (i.e. US, UK, EUR, CAD) 3-month interbank offered rates and their respective overnight index swaps. At first sight, the correlation among them is impressive. Notice too that the absolute differences among these spreads have been steadily decreasing, suggesting a radical change in the factors driving FX dynamics going forward (=if illiquidity drove the value of the USD up in 2008, this is no longer the case in 2009).
February 10th, 2012 at 3:55 PM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 10th, 2012 at 4:10 PM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 10th, 2012 at 5:21 PM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 10th, 2012 at 6:04 PM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 10th, 2012 at 6:18 PM
Recommeneded websites…
[...]Here are some of the sites we recommend for our visitors[...]……
February 10th, 2012 at 7:24 PM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 10th, 2012 at 8:04 PM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 10th, 2012 at 8:16 PM
Recent Blogroll Additions……
[...]usually posts some very interesting stuff like this. If you’re new to this site[...]……
February 10th, 2012 at 8:49 PM
Gems form the internet…
[...]very few websites that happen to be detailed below, from our point of view are undoubtedly well worth checking out[...]……
February 10th, 2012 at 9:23 PM
Cool sites…
[...]we came across a cool site that you might enjoy. Take a look if you want[...]……
February 11th, 2012 at 10:30 AM
Blogs ou should be reading…
[...]Here is a Great Blog You Might Find Interesting that we Encourage You[...]……
February 11th, 2012 at 12:46 PM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 11th, 2012 at 12:49 PM
Gems form the internet…
[...]very few websites that happen to be detailed below, from our point of view are undoubtedly well worth checking out[...]……
February 11th, 2012 at 1:50 PM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 11th, 2012 at 2:17 PM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 11th, 2012 at 2:18 PM
Websites you should visit…
[...]below you’ll find the link to some sites that we think you should visit[...]……
February 11th, 2012 at 2:49 PM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 11th, 2012 at 3:53 PM
Superb website…
[...]always a big fan of linking to bloggers that I love but don’t get a lot of link love from[...]……
February 11th, 2012 at 4:02 PM
Visitor recommendations…
[...]one of our visitors recently recommended the following website[...]……
February 11th, 2012 at 4:07 PM
Links…
[...]Sites of interest we have a link to[...]……
February 11th, 2012 at 4:39 PM
Recent Blogroll Additions……
[...]usually posts some very interesting stuff like this. If you’re new to this site[...]……
February 11th, 2012 at 5:15 PM
Cool sites…
[...]we came across a cool site that you might enjoy. Take a look if you want[...]……
February 11th, 2012 at 5:19 PM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 11th, 2012 at 6:49 PM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 11th, 2012 at 8:47 PM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 11th, 2012 at 9:53 PM
You should check this out…
[...] Wonderful story, reckoned we could combine a few unrelated data, nevertheless really worth taking a look, whoa did one learn about Mid East has got more problerms as well [...]……
February 11th, 2012 at 9:58 PM
You should check this out…
[...] Wonderful story, reckoned we could combine a few unrelated data, nevertheless really worth taking a look, whoa did one learn about Mid East has got more problerms as well [...]……
February 12th, 2012 at 6:54 AM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 12th, 2012 at 7:39 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 12th, 2012 at 8:27 AM
Recommeneded websites…
[...]Here are some of the sites we recommend for our visitors[...]……
February 12th, 2012 at 9:45 AM
Cool sites…
[...]we came across a cool site that you might enjoy. Take a look if you want[...]……
February 12th, 2012 at 10:21 AM
Visitor recommendations…
[...]one of our visitors recently recommended the following website[...]……
February 12th, 2012 at 10:59 AM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 12th, 2012 at 11:04 AM
Gems form the internet…
[...]very few websites that happen to be detailed below, from our point of view are undoubtedly well worth checking out[...]……
February 12th, 2012 at 11:55 AM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 12th, 2012 at 12:18 PM
Online Article……
[...]The information mentioned in the article are some of the best available [...]……
February 12th, 2012 at 1:02 PM
Online Article……
[...]The information mentioned in the article are some of the best available [...]……
February 12th, 2012 at 1:13 PM
Blogs ou should be reading…
[...]Here is a Great Blog You Might Find Interesting that we Encourage You[...]……
February 12th, 2012 at 2:46 PM
You should check this out…
[...] Wonderful story, reckoned we could combine a few unrelated data, nevertheless really worth taking a look, whoa did one learn about Mid East has got more problerms as well [...]……
February 12th, 2012 at 4:58 PM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 12th, 2012 at 4:58 PM
Recommeneded websites…
[...]Here are some of the sites we recommend for our visitors[...]……
February 12th, 2012 at 6:54 PM
Websites you should visit…
[...]below you’ll find the link to some sites that we think you should visit[...]……
February 12th, 2012 at 8:09 PM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 12th, 2012 at 9:07 PM
Sites we Like……
[...] Every once in a while we choose blogs that we read. Listed below are the latest sites that we choose [...]……
February 13th, 2012 at 3:26 AM
Superb website…
[...]always a big fan of linking to bloggers that I love but don’t get a lot of link love from[...]……
February 13th, 2012 at 3:32 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 13th, 2012 at 4:32 AM
Gems form the internet…
[...]very few websites that happen to be detailed below, from our point of view are undoubtedly well worth checking out[...]……
February 13th, 2012 at 5:38 AM
Websites you should visit…
[...]below you’ll find the link to some sites that we think you should visit[...]……
February 13th, 2012 at 7:12 AM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 13th, 2012 at 8:42 AM
Links…
[...]Sites of interest we have a link to[...]……
February 13th, 2012 at 9:40 AM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 13th, 2012 at 4:37 PM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 13th, 2012 at 4:41 PM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 13th, 2012 at 5:39 PM
Websites you should visit…
[...]below you’ll find the link to some sites that we think you should visit[...]……
February 13th, 2012 at 6:35 PM
Gems form the internet…
[...]very few websites that happen to be detailed below, from our point of view are undoubtedly well worth checking out[...]……
February 13th, 2012 at 6:38 PM
Visitor recommendations…
[...]one of our visitors recently recommended the following website[...]……
February 13th, 2012 at 7:34 PM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 13th, 2012 at 7:45 PM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 13th, 2012 at 7:50 PM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 14th, 2012 at 5:44 AM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 14th, 2012 at 6:06 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 14th, 2012 at 7:55 AM
Superb website…
[...]always a big fan of linking to bloggers that I love but don’t get a lot of link love from[...]……
February 14th, 2012 at 8:36 AM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 14th, 2012 at 10:30 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 14th, 2012 at 10:41 AM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 14th, 2012 at 1:14 PM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 14th, 2012 at 8:30 PM
Visitor recommendations…
[...]one of our visitors recently recommended the following website[...]……
February 15th, 2012 at 7:41 AM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 15th, 2012 at 8:21 AM
Great website…
[...]we like to honor many other internet sites on the web, even if they aren’t linked to us, by linking to them. Under are some webpages worth checking out[...]……
February 15th, 2012 at 9:17 AM
Recommeneded websites…
[...]Here are some of the sites we recommend for our visitors[...]……
February 15th, 2012 at 9:52 AM
Websites worth visiting…
[...]here are some links to sites that we link to because we think they are worth visiting[...]……
February 15th, 2012 at 10:32 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 15th, 2012 at 6:51 PM
News stories…
I was reading the news and I saw this really cool topic…
February 15th, 2012 at 8:21 PM
Awesome website…
[...]the time to read or visit the content or sites we have linked to below the[...]……
February 15th, 2012 at 9:39 PM
Cool sites…
[...]we came across a cool site that you might enjoy. Take a look if you want[...]……
February 15th, 2012 at 10:58 PM
Check this out…
[...] that is the end of this article. Here you’ll find some sites that we think you’ll appreciate, just click the links over[...]……
February 16th, 2012 at 12:21 AM
Bored at the office…
I like to look in various places on the online world, often I will just go to Digg and read and check stuff out…
February 16th, 2012 at 5:09 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 16th, 2012 at 9:05 AM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 16th, 2012 at 9:13 AM
Links…
[...]Sites of interest we have a link to[...]……
February 16th, 2012 at 9:54 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 16th, 2012 at 11:15 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 16th, 2012 at 11:30 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 16th, 2012 at 5:45 PM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 16th, 2012 at 7:26 PM
Recent Blogroll Additions……
[...]usually posts some very interesting stuff like this. If you’re new to this site[...]……
February 17th, 2012 at 3:14 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 17th, 2012 at 6:27 AM
Slow down man!…
I’ll gear this review to 2 types of people: current Zune owners who are considering an upgrade, and people trying to decide between a Zune and an iPod. (There are other players worth considering out there, like the Sony Walkman X, but I hope this give…
February 17th, 2012 at 8:20 AM
Online Article……
[...]The information mentioned in the article are some of the best available [...]……
February 17th, 2012 at 10:25 AM
Sources…
[...]check below, are some totally unrelated websites to ours, however, they are most trustworthy sources that we use[...]……
February 17th, 2012 at 10:39 AM
Related……
[...]just beneath, are numerous totally not related sites to ours, however, they are surely worth going over[...]……
February 17th, 2012 at 11:05 AM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 17th, 2012 at 1:06 PM
Cool sites…
[...]we came across a cool site that you might enjoy. Take a look if you want[...]……
February 17th, 2012 at 2:22 PM
You should check this out…
[...] Wonderful story, reckoned we could combine a few unrelated data, nevertheless really worth taking a look, whoa did one learn about Mid East has got more problerms as well [...]……
February 17th, 2012 at 3:14 PM
Websites we think you should visit…
[...]although websites we backlink to below are considerably not related to ours, we feel they are actually worth a go through, so have a look[...]……
February 17th, 2012 at 3:30 PM
Read was interesting, stay in touch……
[...]please visit the sites we follow, including this one, as it represents our picks from the web[...]……
February 19th, 2012 at 9:04 AM
you are the best…
An impressive share, I just given this onto a colleague who was doing a little analysis on this. And he in fact bought me breakfast because I found it for him.. smile. So let me reword that: Thnx for the treat! But yeah Thnkx for spending the time to d…
February 19th, 2012 at 9:33 AM
seo tips for all…
This is getting a bit more subjective, but I much prefer the Zune Marketplace. The interface is colorful, has more flair, and some cool features like ‘Mixview’ that let you quickly see related albums, songs, or other users related to what you’re lis…
February 19th, 2012 at 11:29 AM
great blog here…
An interesting discussion is worth comment. I think that you should write more on this topic, it might not be a taboo subject but generally people are not enough to speak on such topics. To the next. Cheers…