Analisi congiunturale
Pavia, 18 Marzo 2008
1
Indice
• 1 Lo scenario macroeconomico globale
• 2 Central bank watching
• 3 Short term analysis, daily news e analisi dei dati
(preview e review)
• 4 Focus sull’economia italiana
• 5 Indicatori di sintesi
2
• A brief sketch of a market economist work
3
4
5
6
1 – La crisi del settore finanziario
7
Basic types of securitized instruments (*)
Characteristics
Instruments
ABCP (Asset Backed Commercial Paper)
Short term instruments backed by the cash flow or other assets such
as credit cards, car loans, consumer, mortgage, loans, receivables
ABS (Asset Backed Security) in a
narrower sense
Consumer ABS (Credit card, Auto Loans, Consumer Loans, Student
loans) or Corporate ABS (Small business loans, Trade receivables,
Whole business, Equipment Leases)
TRUE SALE TRANSACTION
Securitisation of assets or pool of homogeneus assets
which have generally simply structure
SYNTHETIC
TRANSACTION
a. Mortgage type (RMBS - Residential Mortgage Backed Security, CMBS
- Commercial Mortgage Backed Security)
MBS (Mortgage Backed Securities)
CDO (Collateralised Debt Obligation)
Securitisations against a pool of heterogeneous debt,
which can have a variety of complex structures
CDO are generally classified according to:
a. the Management of collateral
b.the Stucture of the credit
c. the Aim of the transaction
d. the Composition of the underlying
portfolio
Securitisation that enable banks to hold their loan
portfolio on their balance sheet while simultaneously
securitising the credit risk in their loan portfolios
Synthetic CDO
ABS in a wider sense
CDO
(*) the different asset classes described in the table are classified in
categories that, by all means, do not include the full range
Source:UniCredit Research & Strategy
Classes
b. Tranching: i) Pass-through mortage-backed security: the new bond
maintains the same financial characteristics of the pool of mortgages.
ii) Collateralised Mortgage Obligation (CMO), different notes linked to
the tranching of the portfolio
a. Static CDO (collateral is defined at begin of CDO) and Managed CDO
(active management of the collateral)
b. Cash flow CDO (no market value test) or Market value CDO (assets
are marked to market periodically)
c. Balance sheet CDO (to transfer the risk of asset) and Arbitrage CDO
(value creation through redefinition of the collateral in tranches)
d. Cash CDO (CLO (loans), CBO (corporate bonds), CDOs of ABS, CDOs
of CDOs
Composition of the underlying portfolio: CDS single name, indeces of
CDS (Itraxx, CDX), CDO-squared where the majority of collateral is
tranches of other CDOs, CDOn
8
Rating Agencies
Should evaluate the risk embedded in the asset
securitized and provide the credit rating for the ABS
Arranger
Sets up the structure of the
assets portfolio and negotiates
the transaction terms
SPV
Legal owner of the
portfolio sold by the
originator
ABS Investors
Senior
Mezzanine
Originator
Owner of the loan being
securitized
Junior
risk
Bank/Credit market
Capital Market
liquidity
9
10
11
100
Spread 3-month Euribor and 3-month Eonia
swap rates
90
80
70
60
50
40
30
20
10
0
04/01/07
15/02/07
29/03/07
10/05/07
21/06/07
02/08/07
12
13/09/07
25/10/07
06/12/07
17/01/08
100
Spread 3-month Euribor and 3-month Eonia
swap rates
90
80
70
60
50
40
30
20
10
0
04/01/07
15/02/07
29/03/07
10/05/07
21/06/07
02/08/07
13
13/09/07
25/10/07
06/12/07
17/01/08
28/02/08
130
23-Jan-08
199 bp
230
120
210
110
190
100
170
90
80
150
23-Jan-08
99 bp
06-Jul-07
51 bp
130
70
110
60
Euro Area, Spread Bank (A+/A) - Government Bond 10 years, L sc.
50
40
2-Jul-07
United States, Spread Bank (AA) - Government Bond 10 years, R sc.
90
06-Jul-07
85 bp
14-Aug-07
26-Sep-07
8-Nov-07
14
21-Dec-07
2-Feb-08
70
16-Mar-08
15
16
2 – Central bank watching
17
il comunicato (statement) della Fed:
Release Date: January 22, 2008
The Federal Open Market Committee has decided to lower its target for the federal funds rate 75 basis
points to 3-1/2 percent.
The Committee took this action in view of a weakening of the economic outlook and increasing downside
risks to growth. While strains in short-term funding markets have eased somewhat, broader financial
market conditions have continued to deteriorate and credit has tightened further for some businesses and
households. Moreover, incoming information indicates a deepening of the housing contraction as well as
some softening in labor markets.
The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to
monitor inflation developments carefully.
Appreciable downside risks to growth remain. The Committee will continue to assess the effects of
financial and other developments on economic prospects and will act in a timely manner as needed to
address those risks.
Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice
Chairman; Charles L. Evans; Thomas M. Hoenig; Donald L. Kohn; Randall S. Kroszner; Eric S.
Rosengren; and Kevin M. Warsh. Voting against was William Poole, who did not believe that current
conditions justified policy action before the regularly scheduled meeting next week. Absent and not voting
was Frederic S. Mishkin.
18
il comunicato (statement) della Fed:
Release Date: January 30, 2008
The Federal Open Market Committee decided today to lower its target for the federal funds rate 50 basis
points to 3 percent.
Financial markets remain under considerable stress, and credit has tightened further for some businesses
and households. Moreover, recent information indicates a deepening of the housing contraction as well as
some softening in labor markets.
The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to
monitor inflation developments carefully.
Today’s policy action, combined with those taken earlier, should help to promote moderate growth over
time and to mitigate the risks to economic activity. However, downside risks to growth remain. The
Committee will continue to assess the effects of financial and other developments on economic prospects
and will act in a timely manner as needed to address those risks.
Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice
Chairman; Donald L. Kohn; Randall S. Kroszner; Frederic S. Mishkin; Sandra Pianalto; Charles I. Plosser;
Gary H. Stern; and Kevin M. Warsh. Voting against was Richard W. Fisher, who preferred no change in the
target for the federal funds rate at this meeting.
19
L’introductory statement della ECB:
…Incoming macroeconomic data point to moderating but ongoing real GDP growth.
Yet the level of uncertainty resulting from the turmoil in financial markets remains
high. Against this background we emphasize that maintaining price stability in the
medium term is our primary objective in accordance with our mandate.
Indeed the firm anchoring of medium to longer term inflation expectations is of the
highest priority to the governing council.
20
6
5
4
3
US Fed Funds
EU refi
2
1
0
24/01/2006
30/05/2006
03/10/2006
06/02/2007
21
12/06/2007
16/10/2007
19/02/2008
22
23
5.5
5.4
5
4.9
4.5
4.4
4
3.9
3.5
3.4
3
2.5
2
14/03/2007
Futures 3M $ Jun 08
Futures 3M € Jun 08, r.s.
26/05/2007
2.9
07/08/2007
19/10/2007
24
31/12/2007
2.4
13/03/2008
2 – L’economia americana
25
http://www.federalreserve.gov/fomc/#calendars
Calendar, statement and minutes of FOMC meetings
http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm
National accounts statistics
http://www.federalreserve.gov/fomc/beigebook/2008/default.htm
Beige book is the report prepared by Fed’s districts
26
The housing sector
Housing starts
2150
1950
1750
1550
1350
1150
950
gen-96
nov-97
set-99
lug-01
27
mag-03
mar-05
gen-07
28
29
70
ISM non manufacturing
ISM manufacturing
65
60
55
50
45
40
gen-99
ott-99
lug-00
apr-01
gen-02
ott-02
lug-03
Source: UniCredit Research & Strategy, OECD
30
apr-04
gen-05
ott-05
lug-06
apr-07
gen-08
12%
RETAIL SALES yoy
10%
RETAIL SALES
EX.AUTO yoy
8%
6%
4%
2%
0%
-2%
giu-96
set-97
dic-98
mar-00
giu-01
set-02
Source: UniCredit Research & Strategy, OECD
31
dic-03
mar-05
giu-06
set-07
32
Mercato del lavoro
100.5
Employment
100
99.5
99
98.5
Average past 5 recessions
Current
98
97.5
-12
-10
-8
-6
-4
-2
0
33
2
4
6
8
10
12
Industrial output
101
100
Average past 5 recessions
Current
99
98
97
Industrial production
96
95
-12
-10
-8
-6
-4
-2
0
34
2
4
6
8
10
12
Industrial output
100.5
100
Personal income less transfer
99.5
99
98.5
98
97.5
Average past 5 recessions
Current
97
96.5
-12
-10
-8
-6
-4
-2
0
35
2
4
6
8
10
12
Industrial output
101
Personal expenditures
100.5
100
99.5
99
98.5
98
Average past 5 recessions
Current
97.5
97
96.5
-12
-10
-8
-6
-4
-2
0
36
2
4
6
8
10
12
ge
n59
ge
n61
ge
n63
ge
n65
ge
n67
ge
n69
ge
n71
ge
n73
ge
n75
ge
n77
ge
n79
ge
n81
ge
n83
ge
n85
ge
n87
ge
n89
ge
n91
ge
n93
ge
n95
ge
n97
ge
n99
ge
n01
ge
n03
ge
n05
ge
n07
The housing sector
1
0.9
2250
Housing starts
Recessions
0.8
0.7
1750
0.6
0.5
0.4
1250
0.3
0.2
0.1
750
0
37
I cicli economici US
Duration in Months of US recessions
Average, peacetime cycles
1854-1991 (26 cycles)
1854-1919 (14 cycles)
1919-1945 (5 cycles)
1945-1991 (7 cycles)
Contraction
Expansion
19
22
20
11
29
24
26
43
April 1960(II)
December 1969(IV)
November 1973(IV)
January 1980(I)
July 1981(III)
February 1961 (I)
November 1970 (IV)
March 1975 (I)
July 1980 (III)
November 1982 (IV)
10
11
16
6
16
24
106
36
58
12
July 1990(III)
March 2001(I)
March 1991(I)
November 2001 (IV)
8
8
92
120
38
PERIOD
% var q/q
Q1 1982
Q2 1982
Q3 1982
Q4 1982
Q4 1990
Q1 1991
Q2 1991
Q3 1991
Q4 1991
Q1 2001
Q2 2001
Q3 2001
Q4 2001
-1.6
0.5
-0.4
0.1
-0.8
-0.5
0.6
0.5
0.5
-0.1
0.3
-0.4
0.4
Q4 2007
0.1
39
PERIOD
% var y/y
1982
1991
2001
-1.9
-0.2
0.8
MEASURES OF PRICE STICKINESS IN THE EURO AREA AND THE US
Statistics
Frequency
CPI
Average duration (months)
Median duration (months)
PPI
Frequency
Frequency
Surveys
Average duration (months)
NKPC
Average duration (months)
Internet prices Frequency
Euro area
15.1
13
10.6
20
15.9
10.8
13.5-19.2
95.5
US
24.8
6.7
4.6
n.a
20.8
8.3
7.2-8.4
94.7
Source: L.J. Alvarez et al., "Sticky prices in the euro area: a summary of new micro ecidence", BDE (2005)
Estimates of the θ coefficient (NKPC)
Implied average duration (quarters)
40
Euro area
0.904
10.5
US
0.845
6.5
E in Europa?
41
110
100
London Brent crude oil index
90
80
70
60
50
40
30
20
18/03/2005
16/03/2007
17/03/2006
42
14/03/2008
Eurozone
2.6
2.8
3.0
3.8
1.9
0.9
0.8
2.1
1.6
2.8
2.6
Germany
1.0
1.8
2.0
2.0
3.2
1.2
0.0
-0.2
1.1
0.8
2.9
2.5
France
1.1
2.2
3.5
3.3
3.9
1.9
1.0
1.1
2.5
1.7
2.0
1.9
Italy
0.7
1.9
1.4
1.9
3.6
1.8
0.5
0.0
1.5
0.6
1.8
1.5
2.3
2.8
1.8
1.5
1.9
1.2
2.2
2.7
1.7
1.4
1.9
1.0
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
Media 1996-2007
Media 1996-2001
Media 2001-2007
43
I cicli economici US
IFO - "Current situation" component
IFO - "Expectations" component
IFO - confidence index
115
110
105
100
95
90
85
80
gen-91
mag-92
set-93
gen-95
mag-96
set-97
gen-99
44
mag-00
set-01
gen-03
mag-04
set-05
gen-07
115
1.55
REER vs 44(lhs)
Euro/USD (rhs)
110
1.45
105
1.35
1.25
100
1.15
95
1.05
90
0.95
85
80
gen-99
0.85
0.75
ott-99
lug-00
apr-01
gen-02
ott-02
lug-03
45
apr-04
gen-05
ott-05
lug-06
apr-07
gen-08
I cicli economici US
RECORD HIGH (today)
FEBRUARY 2008 MONTHLY MEAN
1.58
1.47
EU
ITALY
INDUSTRIAL PRODUCTION
-0.31
0.29
0.15
0.25
EXPORT
-0.36
0.72
0.60
0.65
46
GERMANY FRANCE
I cicli economici US
114
Indice della produzione industriale (2006=100)
112
110
Italia
Germania
Francia
Eurozona
108
106
104
102
100
98
96
gen-06
apr-06
lug-06
ott-06
gen-07
47
apr-07
lug-07
ott-07
gen-08
I cicli economici US
1.20
1.00
Eurocoin
CFNAI - Chicago Fed Nationa Activity Index
1.00
0.50
0.80
0.00
0.60
-0.50
0.40
-1.00
0.20
0.00
gen-99
-1.50
feb-00
mar-01
apr-02
mag-03
48
giu-04
lug-05
ago-06
set-07
I cicli economici US
4.5
Eurozone private consumption Var. % y/y
4
Var. % q/q ann. 5 period centered moving average
3.5
3
2.5
2
1.5
1
0.5
2001 Q4
0
1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2
49
I cicli economici US
11
3.5
Unemployment rate
Compensation Var. % y/y
10.5
3
10
9.5
2.5
9
8.5
2
8
7.5
1.5
7
6.5
Q1 1996
1
Q2 1998
Q3 2000
Q4 2002
50
Q1 2005
Q2 2007
I cicli economici US
1000
Consumer spending, bn €
980
960
Simulated
Actual
940
920
900
880
860
2000Q1
2001Q2
2002Q3
2003Q4
51
2005Q1
2006Q2
2007Q3
I cicli economici US
3.5
3.0
Productivity growth
Compensation growht
2.5
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2
52
I cicli economici US
3.5
Real disposable income, var.% y/y
3
2.5
2
1.5
1
0.5
0
1998
1999
2000
2001
2002
2003
53
2004
2005
2006
2007
2008
4 – L’economia italiana
54
I più recenti dati di contabilità nazionale
8.0
GDP
Private consumption
GFCF
Export
Import
6.0
4.0
2.0
0.0
-2.0
-4.0
2001
2002
2003
2004
55
2005
2006
2007
New data
Italy
yoy % changes
GDP
Investment
Private Consumption
Export
Import
2005
2006
2007
0.6
0.7
0.9
1.0
2.2
1.8
2.5
1.1
6.2
5.9
1.5
1.2
1.4
5.0
4.4
2005
2006
2007
0.1
-0.5
0.6
-0.5
0.5
1.9
2.3
1.5
5.3
4.3
1.7
3.1
1.9
2.1
2.4
Old data
Italy
yoy % changes
GDP
Investment
Private Consumption
Export
Import
56
12
3
10
2
8
1
6
0
Unemployment rate
Employment (var. % y/y), R
sc
4
2
0
Q3 1993
-1
-2
Q3 1995
Q3 1997
Q3 1999
Q3 2001
57
Q3 2003
Q3 2005
-3
Q3 2007
I cicli economici US
114
Indice della produzione industriale (2006=100)
112
110
Italia
Germania
Francia
Eurozona
108
106
104
102
100
98
96
gen-06
apr-06
lug-06
ott-06
gen-07
58
apr-07
lug-07
ott-07
gen-08
Un punto di vista originale: la survey
Unicredit Confapi
Nelle tabelle e grafici che seguono sono riportati i risultati in
termini di saldo, cioè della differenza percentuale tra imprese
che rispondono “migliora” e quelle che rispondono “peggiora”
sia sulle condizioni correnti che su quelle future.
L’impressione è che vi sia meno pessimismo di quanto emerga
dai dati macroeconomici.
59
1.5
0.35
Activity Indicator
Confapi - produzione
0.3
1.0
0.25
0.5
0.2
0.0
0.15
0.1
-0.5
0.05
-1.0
0
-1.5
lug-03
-0.05
apr-04
gen-05
ott-05
60
lug-06
apr-07
gen-08
35%
Livello della produzione
Livello degli ordini
Livello del fatturato
Variazione utile lordo
20%
5%
II Sem
2003
I Sem
2004
II Sem
2004
I Sem
2005
II Sem
2005
I Sem
2006
-10%
-25%
61
II Sem
2006
I Sem
2007
II Sem
2007
I Sem
2008
Saldi
Livello della produzione
Livello degli ordini
Ordini Italia
Ordini UE
Ordini extra UE
Livello del fatturato
Fatturato Italia
Fatturato UE
Fatturato extra UE
Ore lavoro straordinario
Occupazione
Variazione utile lordo
II Sem
2003
6.9%
5.2%
0.0%
-6.8%
-9.4%
8.1%
2.9%
-3.7%
-6.9%
0.0%
-
I Sem
2004
11.8%
12.1%
6.2%
4.9%
7.3%
14.3%
9.3%
6.9%
4.9%
3.8%
-
II Sem
2004
10.40%
8.30%
5.60%
4.70%
-3.40%
15.10%
11.80%
8.00%
0.50%
2.20%
-6.1%
I Sem
2005
-0.10%
-6.40%
-5.90%
-3.30%
-0.30%
1.30%
-3.30%
-0.30%
-1.00%
-19.10%
-2.30%
-22.9%
Source: UniCredit Research & Strategy, OECD
62
Saldi
II Sem
2005
12.1%
11.8%
6.8%
3.8%
4.4%
12.5%
9.2%
4.4%
3.2%
-10.3%
0.0%
-9.1%
I Sem
II Sem
2006
2006
26.8%
31.5%
27.2%
28.0%
21.3%
24.3%
18.6%
22.7%
15.0%
16.2%
26.3%
30.9%
23.7%
27.0%
19.4%
24.3%
15.4%
20.2%
-1.9%
4.7%
9.3%
9.4%
-6.5%
6.2%
I Sem
2007
27.8%
25.8%
20.9%
17.7%
14.2%
28.4%
25.2%
18.1%
14.0%
0.7%
9.8%
-4.6%
II Sem
2007
16.4%
14.8%
9.9%
10.5%
4.2%
20.6%
15.5%
13.2%
7.0%
-5.6%
7.34%
-6.6%
Saldi
Produzione attesa
Ordini attesi
Ordini attesi Italia
Ordini attesi UE
Ordini attesi extra UE
Fatturato atteso
Fatturato atteso Italia
Fatturato atteso UE
Fatturato atteso extra UE
Tendenze dell'occupazione
I Sem
2004
19.1%
19.3%
20.1%
9.8%
II Sem
2004
14.5%
15.3%
15.2%
2.3%
Saldi
II Sem
2005
8.8%
7.9%
3.7%
3.9%
6.6%
9.0%
3.6%
2.8%
6.1%
0.6%
I Sem
2005
16.0%
16.2%
12.3%
24.3%
18.8%
18.6%
14.4%
8.1%
14.7%
6.3%
Source: UniCredit Research & Strategy, OECD
63
I Sem
2006
22,2%
22.3%
19.4%
15.4%
15.1%
22.4%
20.0%
14.0%
14.4%
8.7%
II Sem
2006
24.2%
23.8%
21.3%
18.2%
12.7%
26.4%
23.9%
18.4%
12.6%
8.6%
I Sem
2007
30.4%
31.0%
34.9%
34.5%
33.3%
37.3%
33.7%
33.5%
29.6%
19.1%
II Sem
2007
22.2%
21.1%
18.7%
14.8%
13.8%
23.5%
20.9%
16.4%
16.4%
6.6%
I Sem
2008
13.9%
14.5%
10.9%
12.6%
9.0%
16.4%
12.9%
13.1%
8.2%
7.3%
6 – esempio di elaborazione di
indicatori di sintesi
64
Come sintetizzare l’informazione disponibile?
1.
I molti dati disponibili a frequenza mensile non forniscono sempre
indicazioni concordi.
2.
Può essere utile anche come strumento di descrizione e comunicazione
disporre di indicatori coincidenti del ciclo economico.
3.
Sviluppo recente di metodologie che si fondano sull’utilizzo di large dataset.
4.
Applicazioni: CFNAI index
http://www.chicagofed.org/economic_research_and_data/cfnai.cfm
Eurocoin
http://www.cepr.org/data/EuroCOIN/latest/
Abbiamo elaborato per Germania Austria e Italia un indicatore simile al
CFNAI.
Vedi il documento allegato.
65
Germany economic activity index
2.5
2
1.5
1
0.5
0
-0.5
-1
-1.5
-2
-2.5
Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06
Source: UniCredit Research & Strategy, OECD
66
Jul-07
Feb-08
Italy economic activity index
1.5
1
0.5
0
-0.5
-1
-1.5
-2
Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06
67
Jul-07
Feb-08
United States
2005
2006
2007
2008
2009
2010
yoy % changes
GDP
Investment
Private Consumption
Export
Import
3.1
6.9
3.2
6.9
5.9
2.9
2.4
3.1
8.4
5.9
2.2
-2.9
2.9
7.9
2.0
1.5
-2.1
1.0
5.2
-1.2
2.3
1.4
2.4
4.4
3.3
2.8
3.5
2.8
5.6
5.3
Inflation
2.9
2.8
2.2
3.3
2.3
2.3
2005
2006
2007
2008
2009
2010
yoy % changes
GDP
Investment
Private Consumption
Export
Import
1.5
2.7
1.5
4.5
5.2
2.8
4.9
1.8
7.8
7.6
2.7
4.7
1.7
5.8
5.3
1.4
3.1
1.8
3.4
4.8
1.7
2.5
1.9
3.5
4.1
2.0
2.9
1.8
5.5
5.2
Inflation
2.2
2.2
2.0
2.5
2.0
2.0
Eurozone
68
Macroeconomic Scenario
Italy
2005
2006
2007
2008
2009
2010
0.1
-0.5
0.6
-0.5
0.5
1.9
2.3
1.5
5.3
4.3
1.7
3.1
1.9
2.1
2.4
1.0
2.8
1.2
1.2
2.4
1.3
1.6
1.7
2.6
2.9
1.5
2.0
1.2
4.6
3.0
Unemployment Rate (%)
2.2
7.7
2.2
6.8
2.0
6.0
2.4
5.7
2.0
5.5
1.9
5.4
Public Deficit % GDP (%)
4.2
4.4
2.1
1.8
1.5
1.5
yoy % changes
GDP
Investment
Private Consumption
Export
Import
Inflation
69