Parece que o banco JPMorgan Chase acabou de re-descobrir o efeito nas cotaçõs bolsistas dos mecanismos de ajustamento de desequilíbrios externos da balança de pagamentos! (ver abaixo). Parece que o estudo da teoria de finanças internacionais até pode ser rentabilizado na bolsa!
Quando eu lá trabalhava como jovem economista, no One Chase Manhattan Plaza, o edifico que venderam agora aos chineses, eu já aplicava estes conceitos para fazer previsões de desvalorizações cambiais na America Latina.
Trata-se da estratégia bem conhecida e estudada de "desvalorizações competitivas", das "beggar thy neighbor " policies dos anos 1930's, em que se procurava "exportar" os custos do ajustamento bilateral.
Agora, que não podemos desvalorizar dentro da Eurozone, estamos reduzidos a politicas de empobrecimento interno, de ajustamentos unilaterais, das politicas de "beggar thy self" que continuam a reduzir o nosso rendimento disponível (disposable income) com cortes nos rendimentos e aumentos nos impostos.
E a bolsa lá vai reagindo conforme previsto, com o indice PSI20 a recuperar para 6000....
Mariana Abrantes de Sousa
PPP Lusofonia
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simple trading strategy points to rationale for currency wars
Looking for a simple way to outperform the market on your international equity index portfolio? Here is a simple algorithm from JPMorgan (warning: do not try this at home). Select two countries with the worst performing currencies (against USD) over the past 4 months and go long equity indices of those two countries. Now select the two best performing currencies and short the indices of those countries (to the extent that's possible). Repeat the exercise once a month. If you back-test this simple strategy, you get the following excess returns.
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| Source: JPMorgan |
Hard to believe, right? Obviously there is friction in shorting equities of certain countries and the "actual returns may vary". Nevertheless this is telling us that currencies drive equity returns for many nations.
The explanation seems to be tied to exports. Exporters' shares and firms that support them, such as developers, raw materials firms, banks, etc. perform better when a nation's currency is weak. The opposite holds true as well - strong currencies make exports more expensive, creating drag on revenue.
This simple strategy therefore points to the rationale for "currency wars". Want a stronger stock market in the next few months, weaken your currency. You may end up with other problems, such as inflation, but the stock market should do well.
Take India for example. After the rupee took a massive beating this summer (see post), inflation has picked up and the economy has slowed.
Yet SENSEX, the broadly watched stock market index, is now at a 3-year high.
Sources: SoberLook.com, Credit Writedowns
Take India for example. After the rupee took a massive beating this summer (see post), inflation has picked up and the economy has slowed.
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| Source: Econoday |
Yet SENSEX, the broadly watched stock market index, is now at a 3-year high.
Sources: SoberLook.com, Credit Writedowns
ECB's Draghi says deflation can be good because you can buy more stuff.
ResponderEliminarWho's "buying more stuff" anyway, with GDP falling in a good part of the Eurozone?
The ECB decision makers should get out more.
They should be required to do regular site visits to the periphery of the Eurozone, or get regionalized like the US Federal Reserve. They seem to live in a bubble.
With deflation and wage cuts and high default-level interest rates, we can pay back less and less debt, as the real debt burden grows. A downward spiral.
Economics 101 deserves a review.