Posts Tagged ‘dolar


Fun & Finance: capítulo 11, Cupón PBI en moneda extranjera

En el episodio #11, Juan Manuel continúa con su explicación del universo del Cupón atado al PBI. En esta ocasión, le cuenta a Gaston sobre su análisis ad hoc de los Cupones en moneda extranjera.

En HD siempre es mejor



Para acompañar el video, Juan Manuel preparo en su blog este post.











Gráfico du Jour: SDRs… quién lo hubiera dicho

(Fuente: UBS, via FT Alphaville)


Gráfico du Jour: Impacto del USA QE2

(Fuente: Forex Blog)


Video: La mejor explicación sobre “Quantitative Easing”

(Fuente: Credit Writedowns, via Felix Salmon)


UPDATE: Un transcript con Econbrowser como interlocutor invitado.


Gráfico du Jour: Monedas vs. Oro

(Fuente: Pacifica Partners, via Forex Blog)


Paper: Monedas y retornos

Countercyclical Currency Risk Premia

Currency excess returns are predictable, more than stock returns, and about as much as bond returns. The average forward discount of the dollar against developed market currencies is the best predictor of average foreign currency excess returns earned by U.S. investors on a long position in a large basket of foreign currencies and a short position in the dollar. The predicted excess returns on baskets of foreign currency are strongly counter-cyclical because they inherit the cyclical properties of the average forward discount. This counter-cyclical dollar risk premium compensates U.S. investors for taking on U.S.-specific risk in foreign exchange markets by shorting the dollar. Macroeconomic variables such as the rate of U.S. industrial production growth increase the predictability of average foreign currency excess returns even when controlling for the forward discount.

Link al Paper


Tabla du Jour: Big Mac Index

(Fuente: The Economist)


Escasez de dolares…

Stephen Cecchetti, del BIS, en su presentación para un congreso organizado por la Fed de San Francisco, brindo los motivos de la escasez y la razón por la renovación de las lineas swap

As I suggested at the outset, the recent crisis has brought the costs of international financial integration into greater relief. The US financial sector created a wide range of securities and sold them to banks and investors around the world. In some cases, the underwriting was bad and risks were improperly appraised. But even when this was not the case, currency mismatches were created on the balance sheets of non-US holders of the dollar-denominated assets. These assets were financed by a combination of wholesale borrowing, where a non-US bank would simply borrow dollars from a bank that had them, and foreign exchange swap arrangements, where the bank would swap its domestic currency liabilities into dollars. Importantly, both of these funding mechanisms – borrowing and swaps – are short term whereas the dollar assets held by the banks are long term.
How big is this problem? My colleagues at the BIS have used the international banking statistics to separate banks into those with more dollar assets than dollar liabilities, labelled long dollar”, and those with fewer dollar assets than liabilities, labelled short dollar.2 Graph 2 shows these two groups not only for dollars, but for other currencies as well. I would like to focus your attention on the red line at the top of the graph’s left-hand panel. What this line means is that the banks – these are Canadian, Dutch, German, Swiss, UK and Japanese banks – require an estimated aggregate of $1.2 trillion (net) in US dollars. During the crisis, because of disruptions to these markets, these obligations ultimately could only be met through international FX swap arrangements among central banks. And, critically, over the last three years this number has not fallen! If you were wondering why the swap arrangements had to be reinstated on 9 May, now you know.


Recuperación Global

ING tiene una informativa presentación sobre el tema: Global Recovery -0r just respite?


(NdeR: crédito para el FT, ya que el informe se encuentra alojado en su servidor, para acceso publico)


Pair Trading, Dolar-Euro

FT Alphaville tiene un post dedicado a los modelos quants (pair trading aplicado al tipo de cambio euro/dolar) y a su impacto -via trading– en la zona euro.

(…) Funds trading the Euro-US dollar (EURUSD) typically use a pair trading technique pinched from equities trading models. The currencies model buys EURUSD on a statistical dip below the level of EURUSD implied by the 2-year swap spread. In other words, it assumes a mean reversion between the swap spread and the currency pair. (…) a start it’s been forcing the EURUSD to trade within a very specific range (…) Plus, the swap spread hasn’t decreased by very much since Germany continues to do reasonably well — or at least better than Greece and its porcine brethren.

El articulo cita palabras team de monedas del BNP Paribas, con respecto a este tema

EURUSD is currently traded by four main classes of investors:1. Importers/exporters who have had a non-negligible impact in keeping EURUSD from moving lower 2. Macro hedge funds which had expressed their bearish credit view on EMU via EURUSD bearish positions 3. Systematic funds who trade EURUSD in deviation to the 2 year EURUSD swap spread 4. Central Bank and Sovereign Wealth Funds which have generally under-invested in EUR and likely USD and behave as a mix of macro and systematic funds. The net impact of this activity has been to temporarily block the downward path of EURUSD, a tragedy for EMU as it has accelerated the next wave of the sovereign crisis and triggered the Greece rescue package.

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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December 2020



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