“Charting Today’s Minsky Moment Dynamics”
“Wo stehen wir in den Märkten?” ist eine auch bei bto immer wiederkehrende Frage. Vor allem das mit dem Timing ist ja bekanntlich so eine Sache. Zero Hedge hatte eine recht gute Zusammenfassung in der letzten Woche und ich dachte mir, es passt mal wieder für eine Diskussion an dieser Stelle:
Zunächst die Erinnerung, dass die Volatilität an den Märkten überhaupt nicht zu den Risiken in der Welt passt:
- “(…) traders and market participants realized central banks have not only taken over the market, but have no intention of ever leaving as the alternative is a crash that wipes out 8 years of artificial “wealth effect” creation and puts the very concept of fractional reserve and central banking in jeopardy.” – bto: was natürlich stimmt. Der Preis für den Erhalt unseres Schuldenturmes ist eine gigantische Vermögenspreisblase.
- “On one hand, it is reassuring that Central Banks are cognizant of severity of the risk and are showing appropriate flexibility in adjusting their reaction functions to incorporate these realities.” – bto: Das stimmt sicherlich, wobei die Frage berechtigt ist, ob dies zu loben ist. Schließlich hat die Politik der Notenbanken uns auch in die Probleme geführt.
- “On the other hand, this is less good because it does not allow the market to reposition and, thus, normalize. By soliciting feedback from the markets, Central Banks are further encouraging bad behavior making things potentially worse by postponing the resolution further into the future.” – bto: Genauso ist es!
Wie die Politik der Zentralbanken gewirkt hat, kann man sehr schön an dieser Darstellung sehen, Assetpreise hoch, Realwirtschaft wenig bewegt:
- “In this environment, in which demographics + debt + disruption = deflation, “investors are looking for higher returns and money managers are pressured to deliver in an increasingly challenging environment as risk premia continue to compress across the board. The dilemma money managers are facing is either to engage in short term risky strategies or face redemptions.” – bto: Es wird klassisches Herdenverhalten gefordert und gefördert.
- “Since this forces current flawed monetary policy to persist and remain ‚transparent, predictable and overly accommodative‘, it further reinforces ‚bad behavior and focus on short term strategies with disregard to their long-term consequences‘.” – bto: was allerdings immer gilt. Nur wenige Assetmanager sind wirklich bereit, von der Meinung der Mehrheit abzuweichen.
- “In practical terms, this means that while markets appear to be locally stable, they ‚are effectively dancing on the edge of metastablity whereby practically any non-trivial shock can be destabilizing‘ as ‚people had abandoned any long-term agenda and have concentrated all the efforts on extracting as much as possible in the near term.‘ This goes back to what Kocic said back in June when he first defined the market’s ‚metastable‘ (dys)equilibrium, and predicted that eventually it would lead to ‚cataclysmic events.‘” – bto: Und der Auslöser für eine solche Entwicklung kann aus vielen Richtungen kommen.
- “(…) investor confusion, or rather schizophrenia, is the result of an ‚overhang of almost a decade of unprecedented stimulus and one-sided positioning‘ which has made ‚the market vulnerable to violent selloffs.‘” – bto: Ja, es kann noch lange so weitergehen. Oder eben nicht.
- “Generally, reduced uncertainty engenders higher levels of leverage which in turn leads to additional compression of risk premia and a buildup of risks. Ultimately the system becomes unstable and results in a crisis, which in turn forces the system to deleverage in a highly volatile manner. In a way, continued prosperity and stability in itself is destabilizing leading to riskier lending as the asset prices of collateral decline. This is the essence of Minsky’s take on financial markets.” – bto: Klartext: Geringe (wahrgenommene) Risiken führen zu mehr Schulden zum Zwecke der Spekulation, die wiederum zu noch geringeren wahrgenommenen Risiken führen und dann zu noch mehr Schulden … bis zu dem Punkt, an dem es knallt – dem Margin Call.
- “(…) how long can the Fed prevent the ‚Minsky moment‘ from asserting itself, sending volatility soaring and ending the current unstable state, ironically by injecting ever more of the one catalyst that unleash the next crisis: debt.” – bto: Die Fed wie die anderen Notenbanken befördern genau diese Entwicklung.
- “Ultimately the system becomes unstable and results in a crisis, which in turn forces the system to deleverage in a highly volatile manner. In a way, continued prosperity and stability in itself is destabilizing leading to riskier lending as the asset prices of collateral decline. This is the essence of Minsky’s take on financial markets.” – bto: So ist es.
- “In order to capture these dynamics, we describe the market behavior in terms of leverage and volatility (or risk premia), see the figure below. In this space, there are four quadrants corresponding to different regimes and the market trends with quasi-cyclical trajectories capturing the evolution of financial markets as they transition through different operating modes.“
- “The figure captures generalized trajectories of volatility and leverage as seen in the last 10-15 years. This approach is a conceptual relative to the Minsky’s idea of endogeneity of financial crises. (…) As the risk premia compress, leverage increases leading to higher levels of risk taking, which results in a crisis. The volatility spikes up while the system begins to deleverage. At some point the government steps in and for awhile there is an uncertainty about whether it would be able to contain the crisis without causing serious long-term side effects.”
- “We are currently in the lower half plane. As we transition from the lower right to the lower left quadrants, the policy unwind begins. During taper tantrum, the system faces a dilemma between forced deleveraging (e.g. unwind of the Fed balance sheet and disorderly bear steepener) or gradual deleveraging with uneventful exit and transition deeper into the lower left quadrant (this is denoted as the ‚Base case‘). This path requires some fine tuning as efforts are made not to overregulate the system and slip into a deflationary trap.” – bto: Und hier bin ich dann skeptisch. Es wird gar nicht funktionieren, ohne einen Rückfall in die deflationäre Grundtendenz zu verursachen.
