tisdag 26 april 2011

Slutet på QE2 ett non-event

Några (positiva) tankar från Deutsche bank angående slutet på QE2. Kort säger de att QE2 inte pressade upp ekonomin eller börsen och att borttagandet av QE2 därför inte heller betyder något. Herr Koo (Wholy Grail of Macro, mars 2008) skulle definitivt hålla med.
The rebound in risk assets around the announcement of QE2 last year has led to much apprehension around its imminent end in June
Any judgment on the implications of the end of QE2 depends on what one gauges were its impacts in the first place. In our reading, QE2 did not alter the trajectory of the economic recovery and its removal should not either. QE2 arguably increased risk appetite but the equity rally reflected short covering rather than new inflows; it did prompt flows out of the dollar and into oil & commodities. Current investor positioning is supportive of equities; negative for rates & oil, leaving them more vulnerable. Gradual rate rises should continue to encourage asset reallocation to equities, while a spike in rates should have a temporary impact.

Fundamentals since QE2: unchanged recovery trajectory

The rebound in US equities was strongly correlated (87%) with macro data surprises, suggesting the driver was the continued recovery rather than an increase in risk appetite per se.

The Fed's purchases of Treasuries appear simply to have reduced banks holdings and increased their cash holdings commensurately. The equity rally reflected the covering of underweights across equity investors (mutual, long-short and macro hedge funds). Equity inflows came only with a long lag once rates rose.

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