ついにブイターも語り始めたソブリン・デフォルトという第二波 ― 2009/01/24 01:15
ケネス・ロゴフとウィレム・ブイターの見解が一致してきました。
この二人は情報交換しているかもしれませんねー。
私がこの二人に注目している理由は、
数値背景がしっかりしていることと、
二人とも民間金融機関と密接な利害関係がないからです。
よって比較的自由にものが言える立場にあります。
民間金融機関系のエコノミストは立場上どうしても楽観的になってしまう。
これが現在の経済危機をより複雑にしています。
さて、ブイターブログのここに注目を！
The UK may not be the first EU member state to face a sovereign debt crisis. According to the rating agencies, the CDS rates and the 10-year sovereign spread over Bunds, the leading candidates for a sovereign solvency crisis are Greece, Spain, Portugal, Italy and Ireland.
ブイターはユーロ離脱によるユーロ圏解体にまで言及しています。
＜関連記事＞
The UK economy has shrunk for the second successive quarter meaning that the country is now technically in recession.（画像引用）
http://news.bbc.co.uk/2/hi/business/7789844.stm
英国が景気後退突入、第4四半期ＧＤＰは‐1.5％
http://jp.reuters.com/article/topNews/idJPJAPAN-36059520090123
10－12月の英ＧＤＰ：1.5％のマイナス成長－リセッション確認（３）
http://www.bloomberg.co.jp/apps/news?pid=90003009&sid=aZWCZJ4MKmjk&refer=jp_top_world_news
英国経済は予想以上の落ち込み、各国の協力必要＝財務相
http://jp.reuters.com/article/topNews/idJPJAPAN-36061120090123
▼Sovereign default in the eurozone and the breakup of the eurozone: Sloppy Thinking 101
http://blogs.ft.com/maverecon/2009/01/sovereign-default-in-the-eurozone-and-the-breakup-of-the-eurozone-sloppy-thinking-101/
Three issues are being linked in this passage. The emergence of high levels of sovereign default risk premium differentials between different eurozone member states, the external value of the euro and the likelihood of the eurozone breaking up. There is no self-evident link between these three issues. The first is neither necessary nor sufficient for the second or the third. More than that, the threat or reality of sovereign default by a eurozone member state is much more likely to reduce that country’s incentive to leave the eurozone than to increase it.
▼Can the UK government stop the UK banking system going down the snyrting without risking a sovereign debt crisis?
http://blogs.ft.com/maverecon/2009/01/can-the-uk-government-stop-the-uk-banking-system-going-down-the-snyrting-without-risking-a-sovereign-debt-crisis/
The total balance sheets of these banks about to around 440 per cent of annual UK GDP. The government seems to be well on its way towards guaranteeing most if not all of it. No one outside the banks (and perhaps even no-one inside them) has a good sense of the true value of what they hold on and off their books.
In view of this progressive socialisation of the balance sheet risk of the UK banks, it is not surprising that there has been some convergence between the CDS rates of the UK sovereign and of the UK banks whose balance sheets are guaranteed or insured to an ever-growing extent by the UK sovereign. I expect this convergence to continue, with the CDS rates of the banks falling and that of the UK sovereign rising. A similar pattern of converging sovereign and banking sector credit risk premia can be observed in other countries. As the banks become more secure, the government becomes less secure.
The UK may not be the first EU member state to face a sovereign debt crisis. According to the rating agencies, the CDS rates and the 10-year sovereign spread over Bunds, the leading candidates for a sovereign solvency crisis are Greece, Spain, Portugal, Italy and Ireland. Some of these countries are in fiscal trouble not because of their sovereign’s exposure to the banking sector but for other reasons, such as a long-standing inability to reduce a very high public debt to GDP ratio, coupled with the prospect of large cyclical deficits as the economy goes into a deep recession. Greece and Italy fall into that category.
Among the countries where the sovereign is highly exposed to the banking sector, Ireland may well be the next country where the ‘too large to rescue’ theory may be tested, although countries like the Netherlands, Belgium, Luxembourg, the UK and, outside the EU, Switzerland, are also potential candidates for the ‘too big to rescue’ (without external support) club. Ireland’s outstanding sovereign debt is low as a share of GDP (around 25 per cent) , but the exposure of the sovereign to its overgrown banking system is massive: the Irish state guaranteed the entire liability side of the banks’ balance sheets, except for the equity.
Irish 10-year sovereign debt spreads over Bunds stood at 198 basis points on January 16. We may get a test of Eurozone or even of EU fiscal solidarity before this crisis is over, as argued by Wolfgang Munchau. I believe that this crisis will certainly deepen EU-wide fiscal cooperation between national governments. It may even provide the spur for the creation of an embryonic proper supranational EU fiscal authority with independent revenue raising and borrowing powers.
But even if the UK is not the next European country to face a sovereign debt challenge, there is a non-negligible risk that before too long, the growing exposure of the British sovereign to the banking system (and especially to the foreign currency funding risk faced by the UK banking system), together with the 9 and 10 per cent of GDP general government fiscal deficits expected for the next couple of years, may prompt a loss of confidence by the global financial community in the British banks, currency and sovereign.
We may well witness the UK authorities going cap-in-hand to the IMF, the EU, the ECB and the fiscally super-solvent EU member states (if there are any left), prompted by a triple crisis (banking, sterling and sovereign debt), to request a bail out. I hope and trust that the UK authorities are in regular contact with the IMF, the US administration, Brussels, Frankfurt and the leading EU member countries to prepare for a possible internationally coordinated bail-out operation for the British banking system and sovereign.
▼「英銀は国有化」大合唱 野党や議会、ブラウン政権に圧力
http://www.business-i.jp/news/bb-page/news/200901230018a.nwc
元イングランド銀行（英中央銀行）の金融政策委員会メンバー、ウィレム・ブイター氏は、すべての主要な英銀の資産や債務を引き受ければ、ＧＤＰ（国内総生産）の４４０％に相当すると見積もっている。この見積もりは、英国国債の信用格付けが「ＡＡＡ」から下落する危険を示唆している。
▼〔外為マーケットアイ〕ユーロ115.80円付近、本邦機関投資家の買い
http://jp.reuters.com/article/jpSubMarketNews/idJPnTK023807020090122
米格付け会社スタンダード・アンド・プアーズ（Ｓ＆Ｐ）は２１日、ポルトガルの長期ソブリン格付けを「ＡＡマイナス」から「Ａプラス」に引き下げた。経済改革の進展の遅さと財政悪化が理由。ユーロ域内国の格下げはギリシャ、スペインに続きこの１週間で３カ国目。Ｓ＆Ｐはアイルランドについても「ネガティブ」ウォッチの対象としている。
▼米国・ドイツ国債のＣＤＳがワイド化、過去最高を更新＝ＣＭＡ
http://jp.reuters.com/article/businessNews/idJPJAPAN-36060720090123
［ロンドン ２３日 ロイター］ ＣＭＡデータビジョンによると、２３日のクレジット・デフォルト・スワップ（ＣＤＳ）市場で、米国債とドイツ国債のＣＤＳプレミアム（５年物）がワイド化し、過去最高を更新した。
米国債のＣＤＳプレミアムは７５．３ベーシスポイント（ｂｐ）と、前日のニューヨーク市場終盤の７４．９ｂｐから上昇。
ドイツ国債のＣＤＳプレミアムは６０．２ｂｐと、前日の５９ｂｐから上昇した。
Obama and Mackinder’s Paradox ― 2009/01/24 02:48
The genius of American power on the world stage has been the switch from geographical expansion to economic expansion as a mechanism to extend U.S. power and influence. Luis Martinez Montes asks if the Obama Administration will face a fateful choice as new powers — like Russia, India, Brazil and especially China — rise.
Obama and Mackinder’s Paradox (Part I)
http://www.theglobalist.com/StoryId.aspx?StoryId=7436
Obama and Mackinder’s Paradox (Part II)
http://www.theglobalist.com/StoryId.aspx?StoryId=7437
CDS report by Markit’s Gavan Nolan ― 2009/01/24 11:06
CDS update: “Credit and equity, at least in the banking sector, are no longer entwined”
Posted by FT Alphaville on Jan 23 19:18.
This CDS report was written by Markit’s Gavan Nolan
http://ftalphaville.ft.com/blog/2009/01/23/51610/cds-update-credit-and-equity-at-least-in-the-banking-sector-are-no-longer-entwined/
It will come as no great surprise, even to the those living in blissful ignorance of hardship, that the UK is in recession. But official confirmation came today, and the figures were even worse than expected. The UK contracted by 1.5% in the final quarter of 2008, following on from the 0.6% fall in the third-quarter. The 1.5% figure was the worst since the supply shock recession of 1980, and capped an awful week for Britain. Banks are in turmoil, with the government’s second bailout receiving an ice-cold reception from the markets.The implications for credit investors? It has become increasingly clear that credit and equity, at least in the banking sector, are no longer entwined. Equity investors have borne the brunt of the collapse in trust of UK banks. Stock prices in Barclays and Lloyds have declined by 50% this week, while RBOS has seen a 65% fall. Bank CDS spreads have widened significantly. But they are still in strong single A territory, and are some way off the record wide levels reached in September. Why the dichotomy? All of the government’s measures have been directed towards strengthening bank balance sheets so they can be in a position to lend. Bankruptcies are the last thing the authorities want. But the capital increases have come at the expense of stock holders in the form of equity dilution. Though bank spreads are set for more volatility until the structure of the industry becomes clearer, credit and equity in the banking sector look set to continue down diverging paths.
In the broader market, the stasis in banking has had damaging consequences. The Markit iTraxx Europe index has widened but it has outperformed the Markit iTraxx Crossover (see chart above). At first glance, the prevalence of financials in the main index would make this trend surprising. But the fundamentals of government support, as outlined above, limit any widening. Crossover, on the other hand, contains credits at the sharp end of the economy, most of which don’t have the benefit of state backing. About half of the names are trading upfront, indicating high near-term risk of default. Many of these names are facing funding problems, with the European high yield market all but closed (Fresenius, a strong BB credit, is the only name to have raised funds). The default of LyondellBasell has highlighted the dangers to investors and has caused an increase in protection buying on single names. Idiosyncratic risk is now receiving a lot of attention. The widening in the index has been more than matched by widening in single names (see chart below). Defaults are set to rise and fundamental analysis of business and financial risk will be rewarded.
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