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1.Ruolo e funzionamento dei mercati finanziari 2.Equilibrio e efficienza dei mercati 3.I tassi corporate 4.Tassi a lunga nella zona-Euro e negli USA 5.Aspettative.

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Presentation on theme: "1.Ruolo e funzionamento dei mercati finanziari 2.Equilibrio e efficienza dei mercati 3.I tassi corporate 4.Tassi a lunga nella zona-Euro e negli USA 5.Aspettative."— Presentation transcript:

1 1.Ruolo e funzionamento dei mercati finanziari 2.Equilibrio e efficienza dei mercati 3.I tassi corporate 4.Tassi a lunga nella zona-Euro e negli USA 5.Aspettative e comunicati della Banca Centrale 6.Il mercato del future sull'euribor e la BCE 7.Bolle e mode (Camerer) 8.La caduta dei prezzi azionari di fine millennio 9.Bolle finanziarie e psicologia umana 10.Effetto delle aspettative eterogenee

2 E t [P t+1 + D t+1 ] P t 1 + E t [r t ] Supponiamo per semplicità che dividendo e tasso siano nulli E t [P t+1 + D t+1 ] P t = E t [P t+1 ] 1 + E t [r t ]

3 P t = E t [P t+1 ] P t – P t-1 = E t [P t+1 ] – P t-1 P t = E t [P t+1 ] – P t-1 Da che cosa dipendono le aspettative dei vari individui h, E t,h [P t+1 ], la cui media ponderata corrisponde a E t [P t+1 ] ???

4 Una soluzione semplice è supporre che esistano due categorie di individui e ciascuna categoria basi le sue previsioni su un tipo di modello diverso da quello dellaltra categoria Perché questo è importante?

5 Andamento del Dow Jones

6 Variazioni del Dow Jone

7 Istogramma delle variazioni del Dow Jones

8 Problemi della mancata considerazione delleterogeneità delle aspettative The empirical literature demonstrates that very often the macroeconomics fundamentals are not able to explain the large and persistent movements of some economic variables such as securities prices or exchange rates.

9 Problemi della mancata considerazione delleterogeneità delle aspettative The empirical literature demonstrates that very often the macroeconomics fundamentals are not able to explain the large and persistent movements of some economic variables such as securities prices or exchange rates.

10 Principali casi di eterogeneità nelle aspettative (1) rational and irrational agents (De Long et al. 1990, 1991), (2) informed versus uninformed agents (Genotte and Leland, 1990; Lyons, 1991), (3) chartists versus fundamentalists (Frankel and Froot, 1988; De Grauwe, 1993) (4) sophisticated versus naive agents (Day and Huang, 1990).

11 La % delle varie classi the proportion of each class of agents fluctuates due to mimetic contagion phenomena. The probability of switching from one group to the other can be formalize as a stochastic process of random meetings (Kirman, 1993; Topol, 1991) or can be grounded on microeconomic foundations (Orlean, 1995, Lux, 1995,1998, Laurent, 1995).

12 La difficoltà di conoscere come funzione il mondo Indeed, the literature on bounded rationality [= razionalità limitata] has put forward two important criticisms. It is unrealistic to assume that agents know the economic model; it seems more reasonable to assume that their expectations are based on time series observations. It has been shown that, in several economic areas,naïve forecasting tends to give more accurate predictions than forecasts based on models even if it cannot as a rule predict turning point. The agents also need to have perfect knowledge about the beliefs of all the other agents in the economy to coordinate their actions on the same RE [RE=sigla per aspettative razionali]

13 Cambio dollaro/euro 1 Gen.2006 30 Giu. 2006

14 Challenging the RE [=aspettative razionali] hypothesis leads to two questions. The first question is how we should model expectations given the fact that it is hard to observe or obtain information about [other] individual expectations in real markets. The second question is whether heterogeneity in expectations does contribute to excess price volatility as that observed in stock market or exchange rate. In other words, the question is whether agents are able to learn and coordinate on a RE equilibrium in a heterogeneous world.

15 on which criteria we could distinguish between both groups of agents. Evidence from survey data shows that: at short horizons, respondents tend to forecast by extrapolating recent trends while at long horizons they tend to forecast a return to a long-run equilibrium. Con quali criteri si possono distinguere le diverse classi di agenti

16 Therefore, they associated the longer-term expectations, which are consistently stabilizing, with the fundamentalists, and the short-term forecasts, which seem to have a destabilizing nature, with the chartists.

17 The behaviour of both groups can be explained in two ways: First, both groups behave in different manner because they have different information sets. Therefore, each agent is acting rationally subject to certain constraints. Even when agents have the same information set they may act differently. This may be the case because either they draw a different set of inferences from the same information set or they have different goals, including different attitudes to contending with risk or uncertainty.

18 Aspettativa dei fondamentalisti sul prezzo futuro: Fundamentalists look for fundamental determinants of the price. They calculate an equilibrium price p * consistent with these fundamentals, and expect that the current price will gradually move towards its equilibrium value: p ^f t = p t-1 + f(p * - p t-1 ) (p ^f t - p t-1 ) = f(p * - p t-1 ) Ma: (p ^f t - p t-1 ) Δp ^f t (variazione attesa del prezzo per i fondamentalisti), da cui: Δp ^f t = f(p * - p t-1 )

19 Aspettative dei chartisti sul prezzo futuro Chartists base their forecasts on technical analysis, which is mainly a study of past prices to detect patterns that can be projected in the future. They use various extrapolative models that can be summarised under the following general formulation: p ^c t = φ (p t-1, p t-2, …) Ovvero: Δ p ^c t = Φ(p t-1, p t-2, …)

20 Aspettive medie del mercato The change in the price expected by the market can be written as a weighted average of the two groups expectations: p ^ t = α t p ^f t + (1- α t ) p ^c t Ovvero, in termini di variazione (il prezzo passato lo conoscono tutti): Δp ^ t = α t Δp ^f t + (1- α t ) Δp ^c t ( α è il peso sei fondamentalisti)

21 Come varia la % α t ? If α is constant over time, this means that the weight of the two groups remains the same However, much evidence supports the possibility of switching: Once the weighting is admitted to be able to vary, it remains to explain how it could change. Several strategies have been adopted.

22 Come modellare α t The first strategy consists of stochastic switching. The second strategy is based on endogenous switching. Several cases are possible.

23 1.Portfolio managers are considered to be the only persons who actually buy and sell on the market. They form their expectations as a weight average of chartists and fundamentalists. Therefore, they update the weights over time according to whether the fundamentalists or the chartists have recently been doing the better forecasting. 2.The second case is derived from Frankel and Froot (1990a) and from the empirical observation that the relative weight of the two groups depends on the forecasting horizons. For shorter forecasting horizons, more weight is placed on chartists while the opposite is true for longer forecasting horizons. 3.When the price deviates from the equilibrium value (in one sense or the other), the two groups of fundamentalists and chartists are numerically different so their excess demand is not nil and then they influence the price.

24 Nel terzo caso quindi: Their weight is thus an increasing function of the deviation of the price from its equilibrium value: α t = 1/[(1 + (p t-1 - p * ) 2

25 ESEMPIO DI Simulazione per il cambio s Expectations formation Fundamentalists forecast: E f,t (s t+1 ) = - ψ(s t – s * t ) Chartists forecast E c,t (s t+1 ) = βΣ T i=0 α is t-i

26 The role of transaction Costs (per i fondamentalisti) If s t - s * t < C then E f,t (s t+1 ) = 0 If s t - s * t > C then fundamentalists forecast rule applies Attenzione: C può essere interpretato non solo come un costo di transazione ma anche come un intervallo di incertezza in cui giace il fondamentale

27 Quindi: E f,t (s t+1 ) = - ψ(s t – s * t ) se abs[- ψ(s t – s * t )]>C altrimenti E f,t (s t+1 ) =0

28 Numero chartisti e fondamentalisti nel tempo Learning the forecasting rules Number of chartists and fundamentalists is endogenous Probabilities of switching Pp fc t = ….. (probability of switching from fundamentalists to chartists) Pp cf t = ….. (probability of switching from chartists to fundamentalists) Probabilities of switching are determined by relative utilities of chartists and fundamentalists

29 Stima Simulazione Deduzione Induzione Abduzione

30 Risultato delle simulazioni Fondamentale poco variabile (da +2 a -4 circa) Fondamentale molto variabile (da +35 a -25 circa)

31 Fat tails exchange rate returns exhibit fat tails compared to the normal distribution. This has been observed first by Mandelbrot for prices of commodities. Our model mimicks this empirical regularity We also find excess kurtosis, which is declining with time aggregation This has also been found in reality Thus exchange rate movements in normal times are small Once in a while there is turbulence in the market Our model generates this dynamics.

32 PPP-dynamics (= valore di equlibrio del fondamentale) is a strong force Thus, the relation between exchange rate and fundamentals dominates; there is little complexity When shocks are small, exchange rates are mostly within transactions cost band PPP-dynamics (= valore di equlibrio del fondamentale) is weak force Chartist behaviour becomes important because link between exchange rate and fundamental is weak The interaction between fundamentalist and chartist forecasts creates strong non-linearity and thus complexity These features of the dynamics of exchange rates have been confirmed empirically

33 When there are few chartists (a lot of fundis), –profitability of chartism is low; –profitability of fundamentalism is high When number of chartists increase relative to number of fundis –Profitability of chartism increases exponentially –Profitability of fundamentalism collapses

34 There seems to be a self-fullfilling evolutionary dynamics An invasion by chartists creates noise around the fundamental; Noise is what chartists thrive on. Thus the invasion creates the conditions that makes chartism profitable, reinforcing the attraction. Chartists create informational environment which makes it rational to use chartists rules. This does not lead to corner solution, though, because risk also increases when chartists become more numerous.

35 (Al diminuire della % di fondamentalisti il prezzo diventa più slegato dal fondamantale)

36 (Al crescere del costo di transazione il prezzo si allontana maggiormente dal fondamentale) -20 -10 0 10 20 30 102030405060708090100110 PREZZOFONDAMENTALE Costo = 0 -20 -10 0 10 20 30 102030405060708090100110 costo = 40 % fondamentalisti = 50%, b=0.8

37 (Nel lungo periodo il prezzo diventa meno slegato dal fondamentale)


39 1.Ruolo e funzionamento dei mercati finanziari 2.Equilibrio e efficienza dei mercati 3.I tassi corporate 4.Tassi a lunga nella zona-Euro e negli USA 5.Aspettative e comunicati della Banca Centrale 6.Il mercato del future sull'euribor e la BCE 7.Bolle e mode (Camerer) 8.La caduta dei prezzi azionari di fine millennio 9.Bolle finanziarie e psicologia umana 10.Effetto delle aspettative eterogenee





























































100 THE FEDS EXIT STRATEGY The Feds exit is still in its infancy. Chairman Bernanke first outlined the major components of its strategy in his July 2009 Congressional testimony, followed by a speech in October 2009 and further testimonies in February and March 2010. So by now we have a pretty good picture of the Feds planned exit strategy.



103 Acquisto di titoli di stato e altri titoli non bancari

104 Prestiti alle banche e ad altre istituzioni, etc.

105 Acquisto di titoli a lunga e vendita dello stesso importo di titoli a breve bancari

106 Passaggio dalla riserve bancarie libere ai depositi a tempo Depositi a tempo


108 1.In designing its [extraordinary liquidity] facilities, [the Fed] incorporated features… aimed at encouraging borrowers to reduce their use of the facilities as financial conditions returned to normal 2.normalizing the terms of regular discount window loans 3.passively redeeming agency debt and MBS as they mature or are repaid. 4.increasing the interest on reserves 5.offer to depository institutions term deposits, which…could not be counted as reserves 6.reducing the quantity of reserves via reverse repurchase agreements 7.redeeming or selling securities in conventional open-market operations.

109 Bernanke (2010a) noted that the federal funds rate could for a time become a less reliable indicator than usual of conditions in short-term money markets, so that instead it is possible that the Federal Reserve could for a time use the interest rate paid on reserves…as a guide to its policy stance

110 As the Fed has noted repeatedly, its special liquidity facilities were designed to be unattractive in normal times, and Item 1 is by now almost complete. The Feds two commercial paper facilities (one designed to save the money market mutual funds) outlived their usefulness, saw their usage drop to zero, and were officially closed on February 1, 2010. The same was true of the lending facility for primary dealers, the Term Securities Lending Facility, and the extraordinary swap arrangements with foreign central banks. The TAF and the MBS purchase program had been recently completed at that time, and the TALF was slated to follow suit at the end of June 2010.

111 Item 2 on this list (raising the discount rate) is necessary to supplement Item 1 (making borrowing less attractive), and the Fed began doing so with a surprise intermeeting move on February 18, 2010.

112 Note, however, that all these adjustments in liquidity facilities will still leave the Feds balance sheet with the Bear Stearns and AIG assets and huge volumes of MBS and government-sponsored enterprise debt. Now that new purchases have stopped, the stocks of these two asset classes will gradually dwindle (Item 3 on the list). But unless there are aggressive open market sales, it will be a long time before the Feds balance sheet resembles the status quo ante.

113 Items 6 and 7 on Bernankes list, which are two types of conventional contractionary open market operations, achieved either by reverse repurchases (repos) (and thus temporary) or by outright sales (and thus permanent). Transactions such as these have long been familiar to anyone who pays attention to monetary policy, as are their normal effects on interest rates.

114 However, there is a key distinction between Items 1 and 3 (lending facilities), on the one hand, and Items 6 and 7 (open market operations), on the other, when it comes to degree of difficulty. Quantitative easing under Item 1, in particular, wears off naturally on the markets own rhythm: These special liquidity facilities fall into disuse as and when the markets no longer need them. From the point of view of the central bank, this is ideal because the exit is perfectly timed, almost by definition.

115 Items 6 and 7 are different. The FOMC will have to decide on the pace of its open market sales, just as it does in any tightening cycle. But this time, both the volume and the variety of assets to be sold will probably be huge. Feds decision making will be more difficult, and more consequential, than usual because of the enormous scale of the tightening. If the Fed tightens too quickly, it may stunt or even abort the recovery. If it waits too long, inflation may gather steam.

116 Once the Feds policy rates are lifted off zero, short-term interest rates will presumably be the Feds main guidepost once againmore or less as in the past.

117 This discussion leads naturally to Item 5 on Bernankes list, the novel plan to offer banks new types of accounts which are roughly analogous to certificates of deposit. That is, instead of just having a checking account at the Fed, as at present, banks will be offered the option of buying various certificates of deposit (CDs) as well. But heres the wrinkle: Unlike their checking account balances at the Fed, the CDs will not count as official reserves. Thus, when a bank transfers money from its checking account to its saving account, bank reserves will simply vanish.

118 The potential utility of this new instrument to a central bank wanting to drain reserves is evident, and the Fed has announced its intention to auction off fixed volumes of CDs of various maturities, probably ranging from one to six months. Such auctions would give it perfect control over the quantities but leave the corresponding interest rates to be determined by the market. These CDs cannot be withdrawn before maturity, they do not constitute reserves, and they cannot serve as clearing balances. As a consequence, the new CDs may have to bear interest rates higher than those on Treasury bills.

119 The instrument that Bernanke and the Fed seem to view as most central to their exit strategy: the interest rate paid on bank reserves. Fed officials seem to view paying interest on reserves as something akin to the magic bullet. The Feds quantitative easing operations have created a veritable mountain of excess reserves which U.S. banks are currently holding voluntarily, despite the paltry rates paid by the Fed.

120 Now that reserves earn interest, say at rate z, which the Fed sets, banks probably will not want to reduce their reserves all the way back to zero. Instead, excess reserves now compete with other very short-term safe assets, such as T-bills, in banks asset portfolios So excess reserve holdings will not need to fall all the way back to zero. Rather, the Feds looming task will be to reduce the supply of excess reserves at the same pace that banks reduce their demands for them.

121 There is, however, an alternative view that argues that the large apparent overhang of excess reserves is nothing to worry about. Banks will not supply federal funds to the marketplace at a rate below z because they can always earn z by depositing those funds with the Fed. Once the relevant market interest rate (r) falls to the interest rate paid on reserves (z), the demand for excess reserves becomes infinitely elastic (horizontal) at an opportunity cost of zero (r – z = 0), [Fig.6]

122 Tasso riserve Tasso sconto Domanda di fondi sul mercato

123 The idea of establishing either an interest rate floor, as depicted in Figure 6, or an interest rate corridor, as depicted in Figure 7, may become the Feds new operating procedure. The corridor system starts with the floor (just explained) and adds a ceiling above which the funds rate cannot go.

124 That ceiling is the Feds discount rate, d, because no bank will pay more than d to borrow federal funds in the marketplace if it can borrow at rate d from the Fed. The Feds policymakers can then set the upper and lower bounds of the corridor (d and z) and let the funds rate float whether freely or managedbetween these two limits. Under such a system, the lower bound the rate paid on reserves, zcould easily become the Feds active policy instrument, with the discount rate set mechanically, say, 100 basis points or so higher.

125 If the federal funds rate were free to float within the corridor, rather than remaining stuck at the floor or ceiling, the Fed could use it as a valuable information variable. If the funds rate traded up too rapidly, that might indicate the Fed was withdrawing reserves too quickly, creating more scarcity than it wants. If funds traded down too far, that might indicate that reserves were too abundantthat is, the Fed was withdrawing them too slowly.




129 FINE

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