QUANTO VALE O EURO SEGUNDO O BIG MAC

O Economist publica na edição desta semana o seu já icónico "The Big Mac index", desta vez comparativo dos preços de um Big Mac em Janeiro de 2014 e Janeiro de 2016 para, através dele, "medir" a subvalorização ou sobrevalorização de um conjunto de moedas relativamente ao dólar americano. 

E conclui que "as fortes desvalorizações de moeda não estão, agora, a provocar os crescimentos de exportações que antes se observavam". Se o Big Mac serve para alguma coisa, esta conclusão não confirma a tese daqueles que vêm no euro, desde sempre, um obstáculo à reanimação da economia portuguesa.

Registe-se o apontamento feito aqui em Julho de 2012:
"Para Martin Feldstein, professor em Harvard, "uma queda brusca do euro pode salvar a Espanha do colapso". Veja aqui porquê." 

Nem o euro não caiu bruscamente nem a Espanha colapsou. 

Em Janeiro de 2014 a cotação média do euro relativamente ao dólar (0,734198/1,36203) avaliada pelo Big Mac Index denotava uma valorização do euro, que entretanto se inverteu. Durante os últimos 11 dias aquela relação apresentou um valor médio (0,921563/1,085113) reflectindo uma desvalorização do euro relativamente ao dólar rondando os 19%. O equilíbrio das duas moedas situar-se-á agora, pelo menos na compra de um Big Mac, em quase 1,30 dólares por um euro.

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Vd. aqui dados sobre a dimensão da McDonald´s

O DESAFIO AMERICANO

Para quem se recorde do título da obra de Jean Jacques Servan Schreiber de há meio século atrás, o desafio americano de hoje que este artigo publicado hoje no Washington Post me sugeriu é exagerado. JJSS tinha fundado o semanário L´Express em 1953, dez anos depois publicaria "Le défi américain", que iria estremecer o nacionalismo francófono e vender 600 mil exemplares. Dez anos mais tarde, apareceria em Portugal o "Expresso".  Na década de 80, publicou "Le défi mondial", que por ser mais prospectivo e abrangente não teve o impacto na opinião pública que "Le défi américain" tinha provocado, ainda que tenha antecipado a emergência da Ásia no contexto económico mundial numa época em que o Japão lhe poderia ter sugerido outro título mais apelativo.

 

Hoje, que desafio se coloca, não apenas à França de JJSS mas à União Europeia de que o seu hexágono faz parte? O desafio chinês? O desafio asiático? A espantosa ascensão do Japão depois de saradas as extensas feridas da guerra, suturadas em grande medida com a ajuda norte-americana, perdeu fulgor e no final da década de 90. Bill Emmott, que foi jornalista no "Economist" afirmava em 1990, em "The Sun also sets" "porque é que o Japão não será o número um". E não foi. Se confiarmos nos pressupostos de Emmott, concluiremos que, depois da rotação do mundo económico, o desafio americano voltará a emergir no horizonte.

 

A Europa, feita de uma diversidade cultural que lhe deu esplendor cultural e grandeza económica mas parece condená-la a um confronto permanente por ausência de um sentimento de pertença comum a uma realidade agregadora dos seus diferentes percursos históricos, está perante um dilema que a inibe de olhar sequer para qualquer desafio que se situe para lá dos seus múltiplos umbigos. Americano ou chinês, indiano ou brasileiro, russo ou qualquer outro, o ensimesmamento da Europa parece não se aperceber dos desafios do mundo, que não vai parar à espera que ela se liberte da teia em que a enredaram as irresponsabilidades dos banqueiros.
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Correl:
The ECB will come under pressure in the currency wars
Eurozone banking is deeply flawed
Ganhos com a dívida portuguesa terão proporcionado ao BPI lucros de 233 milhões de euros em 2012.

Querido Banif
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La banque d´abord!

O PREÇO DA PANQUECA

Clicar nos gráficos para ver melhor

O Economist inventou há uns anos o "Big Mac Index", um indicador medianamente plausível de avaliação da sobrevalorização ou subvalorização das moedas relativamente ao dólar.

Os gráficos, e nomeadamente aqueles que expressam valores económicos, são, para além de sugestivos, apelativos. São, por assim dizer, sexy. É improvável que passem à nossa frente sem lhes darmos uma mirada.

Há dias, o Economist, que publica em cada edição semanal o seu daily chart, comparava os custos dos ingredientes em diversos países para fazer uma (grande) panqueca: 500 grms de manteiga, 1 kilo de farinha, 2 litros de leite, 20 ovos. O resultado é o que consta do gráfico copy/paste acima. Por uns cálculos feitos cá em casa, em Portugal, considerando o câmbio euro/dólar de hoje (1 euro = 1,34 dólares) o custo total rondará os 10 dólares. Só na Holanda e na Índia, restringindo a comparação aos países no gráfico,  se consegue mais barato. Se se considerar a paridade do poder de compra estaremos a par da Holanda.
Quem não acreditar, corrija se faz favor.

Já agora, o mais recente "Big Mac Index" é este:

Então: Vai um "Big Mac" ou uma panqueca?

DAI-NOS TRABALHO, SENHOR!

People pray on the first day of business in 2012 at the Kanda Myojin shrine in Tokyo

O Financial Times de ontem publicava esta fotografia a ilustrar um artigo - Japanese manufacturing in search of salvation - Concern grows as sector behind postwar miracle shifts overseas - revelador das preocupações dos trabalhadores japoneses com a deslocalização da indústria japonesa para outras paragens, onde a moeda não é forte, os salários são baixos, os custos de energia são menos elevados, a tributação fiscal é baixa.

Num país que sustentou o seu florescimento no pós-guerra na sua capacidade de produção industrial, o encerramento das fábricas apavora um povo que, até há pouco tempo, dedicava toda a sua vida profissional à empresa onde começara.

A desindustrialização, que se acentuou aceleradamente nas últimas décadas, das economias ocidentais (vd.

gráficos abaixo) em consequência da globalização, está a atingir também acentuadamente a economia japonesa, implicando o diagnóstico de mais um longo período de estagnação do crescimento nipónico.

Uma das causas mais citadas pelos empresários japoneses para o movimento de deslocalização da indústria é a sobrevalorização do yen, referindo, a propósito, a política recentemente adoptada pela Suíça de defesa da sua competitividade cambial, enveredando, aliás pela estratégia dos políticos chineses ao atrelarem o yuan renminbi ao dólar norte-americano.

Se a moda pega, a guerra cambial não será uma pescadinha de rabo-na-boca.

A guerra generalizar-se-á aos outros factores de competitividade e a globalização das retaliações pode redundar num conflito bélico.

Em resumo (insisto nisto): O comércio livre ou é menos livre, através de uma regulação da globalização que previna a perversidade de alguns dos seus efeitos, ou redundará numa guerra interminável de competitividade salarial global com consequências dramáticas para a convivência pacífica no planeta

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O PREÇO DA MINESTRONE

Volto à melhor minestrone que conheço para aquilatar o desequilíbrio cambial entre o euro, o dólar e o franco suíço. 

Há dias fiz uma avaliação idêntica acerca do frango suíço para concluir aquilo que é sabido: o frango suíço está caríssimo para quem o quiser comprar com dólares ou euros.

Quanto à melhor minestrone o preço dela é imbativel: é gratuita.

Quem encomendar um prato da lista (fomos por uma grelhada mista de carne de vaca e frango acompanhada de legumes diversos) pode escolher uma minestrone ou uma salada, igualmente estupenda, a preço zero. Mais: pode repetir.

Resumindo: A grelhada mista custa 16,5 dólares, um copo de vinho Arancio Nero d´Avola (Sicília), 6,5 dólares, o pão é igualmente gratuito. Total: 23 dólares, a que deve juntar pelo menos 4 dólares de gratificação (aqui o serviço é pago pelo cliente). 27 dólares são, ao câmbio do dia, cerca de 19 euros. Não se come por menos em Portugal.

Se o cliente é de poucas comidas, o prato pode ser partilhado (como na fotografia, meia dose)  e, neste caso, a conta baixa para cerca de 13 euros por cada um.

Em Zurique, o preço é pelo menos o dobro.

(clicar nas imagens para ampliar)

OUTRA RECESSÃO À VISTA, SEGUNDO ROUBINI

Mission impossible: stop another recession

By Nouriel Roubini

The first half of 2011 showed a slowdown of growth – if not outright contraction – in most advanced economies. Optimists said this was a temporary soft patch. This delusion has been dashed. Even before last week’s panic, the US and other advanced economies were odds-on for a second severe recession.

America’s recent data have been lousy: there has been little job creation, weak growth and flat consumption and manufacturing production. Housing remains depressed. Consumer, business and investor confidence has been falling, and will now fall further.

Across the Atlantic the eurozone periphery is now contracting, or barely growing at best. The risk that Italy or Spain – and perhaps both – will lose access to debt markets is now very high. Unlike Greece, Portugal and Ireland these two countries are too big to be bailed out.

Meanwhile, the UK has seen flat growth as austerity bites, and structurally stagnating Japan will recover for a few quarters – after double-dipping after the earthquake – only to stagnate again as the stimulus fizzles out. Even worse, leading indicators of global manufacturing are slowing sharply – both in the emerging economies like China, India and Brazil, and export-oriented or resource-rich countries such as Germany and Australia.

Until last year policymakers could always produce a new rabbit from their hat to trigger asset reflation and economic recovery. Zero policy rates, QE1, QE2, credit easing, fiscal stimulus, ring-fencing, liquidity provision to the tune of trillions of dollars and bailing out banks and financial institutions – all have been tried. But now we have run out of rabbits to reveal.

The misguided decision by Standard & Poor’s to downgrade the US at a time of such severe market turmoil and economic weakness only increases the chances of a double dip and even larger fiscal deficits. Paradoxically, however, US Treasuries will probably remain the world’s least ugly safe asset: risk aversion, equity declines and a looming slump could even see treasury yields fall rather than rise.

Fiscal policy is now contractionary in both the eurozone and the UK. Even in the US the issue is only the amount of drag, as state and local authorities, and now the federal government, cut spending, reduce transfer payments and (soon enough) raise taxes. Another round of bank bail-outs is politically unacceptable. But even if it were not, most countries, especially in Europe, are so distressed that their sovereign risk is actually leading to banking risk – as banks are loaded up with distressed government debt.

Hopes for quantitative easing will be constrained by inflation that is well above target levels across the west. The Federal Reserve will probably start a third round of QE, but it will be too little too late. Last year’s $600bn QE2 (along with $1,000bn of tax cuts and transfers) produced a growth bump of barely 3 per cent, for one quarter. QE3 will be much smaller, and will do much less.

Nor will exports help. All advanced nations need a weaker currency, but they cannot all have it together – if one is weaker another has to be stronger. This is a zero sum game which risks only the resumption of currency wars. Early skirmishes are beginning as Japan and Switzerland try to weaken their exchange rates. Others will soon follow.

So can we avoid another severe recession? It might simply be mission impossible. The best bet is for those countries that have not lost market access – the US, UK, Japan, and Germany – to introduce new short-term fiscal stimulus while committing to medium-term fiscal austerity. The US downgrade will hasten demands for fiscal reduction, but America in particular should commit to look for significant cuts in the medium term, not an immediate fiscal drag that will worsen growth and deficits.

Most western central banks should also introduce further QE, even though its effect will be limited. The European Central Bank should not just stop rate hiking: it should cut rates to zero and make big purchases of government bonds to prevent Italy or Spain losing market access – the outcome of which would be a truly major crisis, requiring doubling (or tripling) of bail-out resources, or debt workouts and a eurozone break-up.

Finally, since this is a crisis of solvency as well as liquidity, orderly debt restructuring must begin. This means across the board reduction on the mortgage debt for the roughly half of America’s households that are underwater, and bail-ins for creditors of banks in distress. Greek-style coercive maturity extensions, at risk free rates, must also come for Portugal and Ireland, with Italy and Spain to follow if they lose market access. Another recession may not be preventable. But policy can stop a second depression. That is reason enough for swift and targeted action.

The writer is chairman of Roubini Global Economics, professor at the Stern School, NYU and co-author of Crisis Economics

RESERVAS

China´s exchange reserves at issue

more

CAPRICHOS & OPÇÕES

The stock market rally versus the world´s economic fundamentals

Robert Reich

What passes for business reporting in the United States is too often a series of breathless reports about the stock market. When the Dow rises precipitously, as it did today (Wednesday), the business press predicts an end to the Great Recession. When the stock market plummets, as it did last week, the Great Recession is said to be worsening.

Pay no attention. The stock market has as much to do with the real economy as the weather has to do with geology. Day by day there’s no relationship at all. Over time, weather and geology interact but the results aren’t evident for many years. The biggest impact of the weather is on peoples’ moods, as are the daily ups and downs of the market.

more

Roubini prefere moedas ao ouro em caso de recessão

É PROÍBIDO ADIVINHAR

Can we predict exchange rates? Economic evidence against the random walk model
Pasquale Della Corte Lucio Sarno and Ilias Tsiakas May 5,

http://www.rgemonitor.com/euro-monitor/252561/can_we_predict_exchange_rates_economic_evidence_against_the_random_walk_model

The forward premium, the difference between the forward exchange rate and the spot exchange rate, contains economically valuable information about the future of exchange rates. Here is the evidence that it can help predict short-run rates and that investors who ignore it and use random walk models may be leaving money on the table.
Exchange rates are important to innumerable economic activities. Tourists care about the value of their home currency abroad. Investors care about the effect of exchange rate fluctuations on their international portfolios. Central banks care about the value of their international reserves and open positions in foreign currency as well as about the impact of exchange rate fluctuations on their inflation objectives. Governments care about the prices of exports and imports and the domestic currency value of debt payments. Markets care both directly - the market for foreign exchange is by far the largest market in the world – and indirectly, since exchange-rate shifts can affect all sorts of other asset prices.
No surprise then that forecasting exchange rates has long been at the top of the research agenda in international finance. Still, most of this literature is characterised by empirical failure. Starting with the seminal contribution of Meese and Rogoff (1983), a vast body of empirical research finds that models which are based on economic fundamentals cannot outperform a naive random walk model (i.e. the exchange rate is, at any moment of time, as likely to rise as it is to fall). Therefore, the prevailing view in the international finance profession – shared in academic and policy circles as well as in a large fraction of the practitioner community – is that exchange rates are not predictable, especially at short horizons. In academic jargon, exchange rates are thought to follow a random walk.
A Random Walk?
At first glance, the random walk model makes a lot of sense. The person on the street knows that movements in exchange rates are often hard to explain and is reluctant to believe that fundamental forces are at play. Exchange rates often swing wildly on a daily basis for reasons that apparently have little connection to economic and financial variables. Even worse, they often move in the opposite direction of differences in short-term interest rates across countries. Despite its simplicity, therefore, the random walk model remains appealing because it leads to smaller forecasting errors than most other exchange rate models.
The horse race
This conclusion is based on a ‘horse race’ between the random walk and theory-based predictions. In this race, the random walk always wins. Our recent research argues that this is not the end of the story, but explaining our point requires something of a detour – an explanation of the ‘horse’ that classic exchange rate theory says should be winning the race every time.
The cornerstone condition for efficiency in the foreign exchange market is ‘uncovered interest parity’, i.e. the exchange rate jumps to the point where risk-neutral investors are indifferent between holding any two currencies. As a matter of accounting, the difference between the rates of return on the two currencies is the interest rate gap plus the expected appreciation; if the 12-month dollar interest rate is 5% while the 12-month yen interest rate is 1%, then, according to the theory, markets must expect the yen to appreciate 4%. If this isn’t true, why would investors hold yen?
As logical as this seems, the relationship does not hold in the data, as the famous “Fama regression” (Fama, 1984) showed. One relationship that does hold in the data is the so-called covered interest parity, which states that the interest rate gap equals the premium on forward contracts. That is to say, if the dollar-yen interest rate gap is 4% as in the example, the forward contract for dollar-yen will imply a 4% premium over today’s exchange rate for yen. Indeed, that is basically how banks set forward rates. The Fama regressions put together the uncovered and covered interest parities to check whether the actual exchange rate follows the forward premium. In the example, the question would be whether the actual appreciation of the yen over the next 12 months was 4% (plus or minus some white noise randomness due to unforeseeable events). Decades of research on masses of data by dozens of scholars show that the actual appreciation does not follow the forward rate. Indeed, it is the currency with the high interest rate that tends to appreciate, not the one with the low interest rate.1
This is stylised fact that is so well known that it has a name, the “forward bias puzzle,” namely high-interest currencies tend to appreciate when uncovered parity predicts depreciation. While troublesome for economic theory, this puzzling behaviour may be valuable to investors.2
As mentioned, the horse race between pure randomness and uncovered interest parity always goes to randomness. But what happens if we let a new horse enter the race? What happens if we assume that investors ignore the pure theory and instead work off the empirical fact, i.e. the forward bias?
Valuable Predictions
In recent research, we examine whether exchange rate predictability could translate into economic gains for investors using an asset allocation strategy that exploits this predictability (Della Corte, Sarno and Tsiakas, 2007). In particular, we assess the economic value of the predictive ability of empirical exchange rate models that condition on the forward premium in the context of dynamic asset allocation strategies.3
We focus on predicting short-horizon exchange rate returns when conditioning on the lagged forward premium. But statistical evidence of exchange rate predictability in itself does not guarantee that an investor can profit by exploiting this predictability. We therefore evaluate the impact of predictable changes in the conditional FX returns and volatility on the performance of dynamic allocation strategies. Ultimately, we measure how much a risk-averse investor is willing to pay for switching from a dynamic portfolio strategy based on the random walk model to one which conditions on monetary fundamentals, the forward premium or a broader set of variables, including the money supply and income differentials across countries.
Our work suggests that these exchange rate predictions are valuable. There is strong economic evidence against the naïve random walk benchmark with constant variance innovations. In particular, the predictive ability of forward exchange rate premia has substantial economic value in a dynamic allocation strategy. In addition, conditioning on a forecast of future volatility given current information, rather than assuming that volatility in the foreign exchange market is constant, further enhances the predictability of exchange rates and increases risk-adjusted profits.
Conclusions
There’s money to be made in the world’s biggest market. Our evidence suggests that investors using sophisticated models could make informative exchange rate predictions and considerably outperform the random walk benchmark. Those trading currencies may find it worthwhile investing in a model using the forward premium and dynamic volatility. Policy makers can also find some comfort in these results since predictability in the exchange rate would allow them to better gauge the value of their international reserves, their debt positions, and their competitiveness in international goods markets.

References

Della Corte, P., L. Sarno, and I. Tsiakas (2007). “An Economic Evaluation of Empirical Exchange Rate Models,” CEPR Discussion Paper 6598. http://www.cepr.org/pubs/dps/DP6598.asp Forthcoming in Review of Financial Studies.
Fama, E.F. (1984) “Forward and Spot Exchange Rates,” Journal of Monetary Economics 14, 319-338.
Meese, R.A., and K. Rogoff (1983). “Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?” Journal of International Economics 14, 3-24.
Footnotes
1 More technically, the future k-period change in the exchange rate is regressed on the current k-period forward premium. If the market is efficient, the intercept of this regression should be zero, the slope (beta) in this regression should be 1, so that the forward premium today is an optimal predictor of the future exchange rate change. Also, the error term should be white noise, i.e. uncorrelated with information available today or in the past.
2 This fact is what drives much of the so-called carry trade where funds borrow in low-interest rate currencies to invest in higher-return assets in other currencies. Due to the forward premium puzzle, they can, on average, buy enough of the original currency to pay off the loan and still pocket a bundle.
3 This means a portfolio whose shares shift according to current information, especially the forward rate.............................................
Originally published at VOXEU (www.voxeu.org) on Jan 18, 2008 and posted at RGE monitor with author's autorization.

CONTOS AMERICANOS : OS CHINESES

China Refuses to Make Commitments on Exchange Rate

By Ariana Eunjung Cha
Washington Post Foreign ServiceFriday, December 15, 2006; 5:30 AM

BEIJING, Dec. 15 -- China today declined to make any firm commitments regarding changes to its exchange rate, despite continuous pressure from U.S. officials over two days of high-level strategic economic talks.
Chinese officials did say they would look into possible reforms.

But the first U.S.-China strategic economic dialogue, which included at least six Cabinet members and their Chinese counterparts, concluded very much as it began: with a vow to continue to talk some more.

American businesses had high hopes for the talks even though Treasury Secretary Henry M. Paulson Jr. and other officials have emphasized that this is only the beginning of a long-term discussion about economic issues between the two parties.

While most countries allow market forces to determine the exchange rate for their currency, China's central bank sets the value of the renminbi. Some economists complain its value is too low, favoring Chinese businesses at the expense of others, and the U.S. has sought for several years now to convince China to revalue its currency upwards.

The meetings, which took place at the Great Hall of the People in Tianamen Square, were launched by President Bush and Chinese President Hu Jintao in the fall as a way to strengthen their economic ties.
After the conclusion of the talks, China's Minister of Finance, Jin Renqing, announced that the two countries had agreed to form working groups on service sector development, improving health care, energy and the environment. Two other groups will look at investment issues, with the possibility of pursuing the creation of a bilateral investment agreement, and on enhancing cooperation on transparency issues.

The teams will present their findings at the next meeting of the strategic economic dialogue in May 2007 in Washington.

The countries also announced that they had come to an agreement on several other issues.

China announced its intension to join FutureGen, a public-private project committed to developing the first near-zero emissions coal-fired electricity generation plant. While China has not announced its specific contribution, other member countries have given $10 million to the organization. China also agreed to allow the New York Stock Exchange and NASDAQ to open up offices in the country.

For its part, the United States will support China's bid to join the Inter-American Development Bank. As the Chinese economy has continued to expand, so has the government's ambitions. In recent years it has been seeking to forge new political and economic relationships outside of Asia. Latin America, with its wealth of mineral reserves, is an important region for China, which due to its rapid industrialization and modernization is seeking new sources of natural resources.

In addition, China and the United States on Thursday signed an agreement to facilitate financing to support U.S. exports to China. They also agreed to renew negotiations regarding bilateral air services facilitating the movement of goods and people back and forth across the Pacific.