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sábado, outubro 19, 2013

Beggar thy Self in the Eurozone


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  

Quote


 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.

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.

Source: Econoday

Yet SENSEX, the broadly watched stock market index, is now at a 3-year high.

Sources: SoberLook.com, Credit Writedowns 
http://soberlook.com/2013/10/this-simple-trading-strategy-points-to.html
http://money.cnn.com/2013/10/18/news/china-jpmorgan-real-estate/