1 analisi congiunturale pavia, 18 marzo 2008. 2 indice 1 lo scenario macroeconomico globale 2...

1

Analisi congiunturaleAnalisi congiunturale

Pavia, 18 Marzo 2008

2

Indice

• 1 Lo scenario macroeconomico globale

• 2 Central bank watching

• 3 Short term analysis, daily news e analisi dei dati

(preview e review)

• 4 Focus sull’economia italiana

• 5 Indicatori di sintesi

3

• A brief sketch of a market economist work

7

1 – La crisi del settore finanziario

8

Characteristics Instruments Classes

ABCP (Asset Backed Commercial Paper)Short term instruments backed by the cash flow or other assets such as credit cards, car loans, consumer, mortgage, loans, receivables

ABS (Asset Backed Security) in a narrower sense

Consumer ABS (Credit card, Auto Loans, Consumer Loans, Student loans) or Corporate ABS (Small business loans, Trade receivables, Whole business, Equipment Leases)

MBS (Mortgage Backed Securities)

a. Mortgage type (RMBS - Residential Mortgage Backed Security, CMBS - Commercial Mortgage Backed Security)

b. Tranching: i) Pass-through mortage-backed security: the new bond maintains the same financial characteristics of the pool of mortgages. ii) Collateralised Mortgage Obligation (CMO), different notes linked to the tranching of the portfolio

Securitisations against a pool of heterogeneous debt, which can have a variety of complex structures

CDO (Collateralised Debt Obligation)

CDO are generally classified according to:a. the Management of collateralb.the Stucture of the credit c. the Aim of the transactiond. the Composition of the underlying portfolio

a. Static CDO (collateral is defined at begin of CDO) and Managed CDO (active management of the collateral)

b. Cash flow CDO (no market value test) or Market value CDO (assets are marked to market periodically)

c. Balance sheet CDO (to transfer the risk of asset) and Arbitrage CDO (value creation through redefinition of the collateral in tranches)

d. Cash CDO (CLO (loans), CBO (corporate bonds), CDOs of ABS, CDOs of CDOs

SY

NTH

ETIC

TR

AN

SA

CTIO

N

Securitisation that enable banks to hold their loan portfolio on their balance sheet while simultaneously securitising the credit risk in their loan portfolios

Synthetic CDOComposition of the underlying portfolio: CDS single name, indeces of CDS (I traxx, CDX), CDO-squared where the majority of collateral is

tranches of other CDOs, CDOn

ABS in a wider sense CDO

(* ) the different asset classes described in the table are classified in categories that, by all means, do not include the full range

Source:UniCredit Research & Strategy

Securitisation of assets or pool of homogeneus assets which have generally simply structure

TR

UE S

ALE T

RA

NS

AC

TIO

N

Basic types of securitized instruments (* )

9

ArrangerSets up the structure of the

assets portfolio and negotiates the transaction terms

ABS Investors

Rating AgenciesShould evaluate the risk embedded in the asset

securitized and provide the credit rating for the ABS

Bank/ Credit market Capital Market

risk

liquidity

Senior

Mezzanine

J unior

Senior

Mezzanine

J unior

SPVLegal owner of the

portfolio sold by the originator

OriginatorOwner of the loan being

securitized

SPVLegal owner of the

portfolio sold by the originator


securitized


securitized


securitized

12

0

10

20

30

40

50

60

70

80

90

100

04/01/07 15/02/07 29/03/07 10/05/07 21/06/07 02/08/07 13/09/07 25/10/07 06/12/07 17/01/08

Spread 3-month Euribor and 3-month Eoniaswap rates

13

0

10

20

30

40

50

60

70

80

90

100

04/01/07 15/02/07 29/03/07 10/05/07 21/06/07 02/08/07 13/09/07 25/10/07 06/12/07 17/01/08 28/02/08

Spread 3-month Euribor and 3-month Eoniaswap rates

14

40

50

60

70

80

90

100

110

120

130

2-Jul-07 14-Aug-07 26-Sep-07 8-Nov-07 21-Dec-07 2-Feb-08 16-Mar-08

70

90

110

130

150

170

190

210

230

Euro Area, Spread Bank (A+/A) - Government Bond 10 years, L sc.

United States, Spread Bank (AA) - Government Bond 10 years, R sc.

06-Jul-0785 bp

06-Jul-0751 bp

23-Jan-0899 bp

23-Jan-08199 bp

17

2 – Central bank watching

18

il comunicato (statement) della Fed:

Release Date: January 22, 2008

The Federal Open Market Committee has decided to lower its target for the federal funds rate 75 basis points to 3-1/2 percent.

The Committee took this action in view of a weakening of the economic outlook and increasing downside risks to growth. While strains in short-term funding markets have eased somewhat, broader financial market conditions have continued to deteriorate and credit has tightened further for some businesses and households. Moreover, incoming information indicates a deepening of the housing contraction as well as some softening in labor markets.

The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to monitor inflation developments carefully.

Appreciable downside risks to growth remain. The Committee will continue to assess the effects of financial and other developments on economic prospects and will act in a timely manner as needed to address those risks.

Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice Chairman; Charles L. Evans; Thomas M. Hoenig; Donald L. Kohn; Randall S. Kroszner; Eric S. Rosengren; and Kevin M. Warsh. Voting against was William Poole, who did not believe that current conditions justified policy action before the regularly scheduled meeting next week. Absent and not voting was Frederic S. Mishkin.

19

il comunicato (statement) della Fed:

Release Date: January 30, 2008

The Federal Open Market Committee decided today to lower its target for the federal funds rate 50 basis points to 3 percent.

Financial markets remain under considerable stress, and credit has tightened further for some businesses and households. Moreover, recent information indicates a deepening of the housing contraction as well as some softening in labor markets.

The Committee expects inflation to moderate in coming quarters, but it will be necessary to continue to monitor inflation developments carefully.

Today’s policy action, combined with those taken earlier, should help to promote moderate growth over time and to mitigate the risks to economic activity. However, downside risks to growth remain. The Committee will continue to assess the effects of financial and other developments on economic prospects and will act in a timely manner as needed to address those risks.

Voting for the FOMC monetary policy action were: Ben S. Bernanke, Chairman; Timothy F. Geithner, Vice Chairman; Donald L. Kohn; Randall S. Kroszner; Frederic S. Mishkin; Sandra Pianalto; Charles I. Plosser; Gary H. Stern; and Kevin M. Warsh. Voting against was Richard W. Fisher, who preferred no change in the target for the federal funds rate at this meeting.

20

L’introductory statement della ECB:

…Incoming macroeconomic data point to moderating but ongoing real GDP growth. Yet the level of uncertainty resulting from the turmoil in financial markets remains high. Against this background we emphasize that maintaining price stability in the medium term is our primary objective in accordance with our mandate.

Indeed the firm anchoring of medium to longer term inflation expectations is of the highest priority to the governing council.

21

0

1

2

3

4

5

6

24/01/2006 30/05/2006 03/10/2006 06/02/2007 12/06/2007 16/10/2007 19/02/2008

US Fed Funds

EU refi

24

2

2.5

3

3.5

4

4.5

5

5.5

14/03/2007 26/05/2007 07/08/2007 19/10/2007 31/12/2007 13/03/2008

2.4

2.9

3.4

3.9

4.4

4.9

5.4

Futures 3M $ Jun 08

Futures 3M € Jun 08, r.s.

25

2 – L’economia americana

26

http://www.federalreserve.gov/fomc/#calendars

Calendar, statement and minutes of FOMC meetings

http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm

National accounts statistics

http://www.federalreserve.gov/fomc/beigebook/2008/default.htm

Beige book is the report prepared by Fed’s districts

27

The housing sector

Housing starts

950

1150

1350

1550

1750

1950

2150

gen-96 nov-97 set-99 lug-01 mag-03 mar-05 gen-07

30Source: UniCredit Research & Strategy, OECD

40

45

50

55

60

65

70

gen-99 ott-99 lug-00 apr-01 gen-02 ott-02 lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08

ISM non manufacturing

ISM manufacturing


-2%

0%

2%

4%

6%

8%

10%

12%

giu-96 set-97 dic-98 mar-00 giu-01 set-02 dic-03 mar-05 giu-06 set-07

RETAIL SALES yoy

RETAIL SALESEX.AUTO yoy

33

Mercato del lavoro

Employment

97.5

98

98.5

99

99.5

100

100.5

-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12

Average past 5 recessions

Current

34

Industrial output

Industrial production

95

96

97

98

99

100

101

-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12


Current

35

Industrial output

Personal income less transfer

96.5

97

97.5

98

98.5

99

99.5

100

100.5

-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12


Current

36

Industrial output

Personal expenditures

96.5

97

97.5

98

98.5

99

99.5

100

100.5

101

-12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12


Current

37

The housing sector

750

1250

1750

2250

gen-

59

gen-

61

gen-

63

gen-

65

gen-

67

gen-

69

gen-

71

gen-

73

gen-

75

gen-

77

gen-

79

gen-

81

gen-

83

gen-

85

gen-

87

gen-

89

gen-

91

gen-

93

gen-

95

gen-

97

gen-

99

gen-

01

gen-

03

gen-

05

gen-

07

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Housing startsRecessions

38

I cicli economici US

Duration in Months of US recessions

Average, peacetime cycles Contraction Expansion

1854-1991 (26 cycles) 19 291854-1919 (14 cycles) 22 241919-1945 (5 cycles) 20 261945-1991 (7 cycles) 11 43

April 1960(I I ) February 1961 (I ) 10 24December 1969(IV) November 1970 (IV) 11 106November 1973(IV) March 1975 (I ) 16 36J anuary 1980(I) J uly 1980 (I I I ) 6 58J uly 1981(I I I ) November 1982 (IV) 16 12

J uly 1990(I I I ) March 1991(I) 8 92March 2001(I) November 2001 (IV) 8 120

39

1982 -1.91991 -0.22001 0.8

PERIOD % var y/y

Q1 1982 -1.6Q2 1982 0.5Q3 1982 -0.4Q4 1982 0.1Q4 1990 -0.8Q1 1991 -0.5Q2 1991 0.6Q3 1991 0.5Q4 1991 0.5Q1 2001 -0.1Q2 2001 0.3Q3 2001 -0.4Q4 2001 0.4

Q4 2007 0.1

PERIOD % var q/q

40

MEASURES OF PRICE STICKINESS IN THE EURO AREA AND THE US

Statistics Euro area USFrequency 15.1 24.8Average duration (months) 13 6.7Median duration (months) 10.6 4.6

PPI Frequency 20 n.aFrequency 15.9 20.8Average duration (months) 10.8 8.3

NKPC Average duration (months) 13.5-19.2 7.2-8.4Internet prices Frequency 95.5 94.7

Source: L.J. Alvarez et al., "Sticky prices in the euro area: a summary of new micro ecidence", BDE (2005)

Euro area US0.904 0.84510.5 6.5

CPI

Surveys

Estimates of the θ coefficient (NKPC)Implied average duration (quarters)

41

E in Europa?

42

20

30

40

50

60

70

80

90

100

110

18/03/2005 17/03/2006 16/03/2007 14/03/2008

London Brent crude oil index

43

Eurozone Germany France Italy1996 1.0 1.1 0.71997 2.6 1.8 2.2 1.91998 2.8 2.0 3.5 1.41999 3.0 2.0 3.3 1.92000 3.8 3.2 3.9 3.62001 1.9 1.2 1.9 1.82002 0.9 0.0 1.0 0.52003 0.8 -0.2 1.1 0.02004 2.1 1.1 2.5 1.52005 1.6 0.8 1.7 0.62006 2.8 2.9 2.0 1.8

2007 2.6 2.5 1.9 1.5

Media 1996-2007 2.3 1.5 2.2 1.4Media 1996-2001 2.8 1.9 2.7 1.9Media 2001-2007 1.8 1.2 1.7 1.0

44


80

85

90

95

100

105

110

115

gen-91 mag-92 set-93 gen-95 mag-96 set-97 gen-99 mag-00 set-01 gen-03 mag-04 set-05 gen-07

IFO - "Current situation" component

IFO - "Expectations" component

IFO - confidence index

45

80

85

90

95

100

105

110

115

gen-99 ott-99 lug-00 apr-01 gen-02 ott-02 lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08

0.75

0.85

0.95

1.05

1.15

1.25

1.35

1.45

1.55

REER vs 44(lhs)

Euro/USD (rhs)

46


INDUSTRIAL PRODUCTION -0.31 0.29 0.15

EXPORT -0.36 0.72 0.60 0.65

EU ITALY GERMANY FRANCE

0.25

RECORD HIGH (today) 1.58FEBRUARY 2008 MONTHLY MEAN 1.47

47


Indice della produzione industriale (2006=100)

96

98

100

102

104

106

108

110

112

114

gen-06 apr-06 lug-06 ott-06 gen-07 apr-07 lug-07 ott-07 gen-08

Italia GermaniaFranciaEurozona

48


0.00

0.20

0.40

0.60

0.80

1.00

1.20

gen-99 feb-00 mar-01 apr-02 mag-03 giu-04 lug-05 ago-06 set-07

-1.50

-1.00

-0.50

0.00

0.50

1.00Eurocoin

CFNAI - Chicago Fed Nationa Activity Index

49


0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2

Eurozone private consumption Var. % y/y

Var. % q/q ann. 5 period centered moving average

2001 Q4

50


6.5

7

7.5

8

8.5

9

9.5

10

10.5

11

Q1 1996 Q2 1998 Q3 2000 Q4 2002 Q1 2005 Q2 2007

1

1.5

2

2.5

3

3.5

Unemployment rateCompensation Var. % y/y

51


Consumer spending, bn €

860

880

900

920

940

960

980

1000

2000Q1 2001Q2 2002Q3 2003Q4 2005Q1 2006Q2 2007Q3

SimulatedActual

52


-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

1996Q1 1997Q2 1998Q3 1999Q4 2001Q1 2002Q2 2003Q3 2004Q4 2006Q1 2007Q2

Productivity growth

Compensation growht

53


Real disposable income, var.% y/y

0

0.5

1

1.5

2

2.5

3

3.5

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

54

4 – L’economia italiana

55

I più recenti dati di contabilità nazionale

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

2001 2002 2003 2004 2005 2006 2007

GDP

Private consumption

GFCF

Export

Import

56

New data

Italy 2005 2006 2007yoy % changesGDP 0.6 1.8 1.5Investment 0.7 2.5 1.2Private Consumption 0.9 1.1 1.4Export 1.0 6.2 5.0Import 2.2 5.9 4.4

Old data

Italy 2005 2006 2007yoy % changesGDP 0.1 1.9 1.7Investment -0.5 2.3 3.1

Private Consumption 0.6 1.5 1.9Export -0.5 5.3 2.1Import 0.5 4.3 2.4

57

0

2

4

6

8

10

12

Q3 1993 Q3 1995 Q3 1997 Q3 1999 Q3 2001 Q3 2003 Q3 2005 Q3 2007

-3

-2

-1

0

1

2

3

Unemployment rate

Employment (var. % y/y), Rsc

58


Indice della produzione industriale (2006=100)

96

98

100

102

104

106

108

110

112

114

gen-06 apr-06 lug-06 ott-06 gen-07 apr-07 lug-07 ott-07 gen-08

Italia GermaniaFranciaEurozona

59

Un punto di vista originale: la survey

Unicredit Confapi

Nelle tabelle e grafici che seguono sono riportati i risultati in termini di saldo, cioè della differenza percentuale tra imprese che rispondono “migliora” e quelle che rispondono “peggiora” sia sulle condizioni correnti che su quelle future.

L’impressione è che vi sia meno pessimismo di quanto emerga dai dati macroeconomici.

60

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

lug-03 apr-04 gen-05 ott-05 lug-06 apr-07 gen-08

-0.05

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35Activity IndicatorConfapi - produzione

61

-25%

-10%

5%

20%

35%

II Sem2003

I Sem 2004

II Sem 2004

I Sem 2005

II Sem 2005

I Sem 2006

II Sem 2006

I Sem 2007

II Sem 2007

I Sem 2008

Livello della produzione

Livello degli ordini

Livello del fatturato

Variazione utile lordo


Saldi II Sem

2003I Sem 2004

II Sem 2004

I Sem 2005

II Sem 2005

I Sem 2006

II Sem 2006

I Sem 2007

II Sem 2007

Livello della produzione 6.9% 11.8% 10.40% -0.10% 12.1% 26.8% 31.5% 27.8% 16.4%Livello degli ordini 5.2% 12.1% 8.30% -6.40% 11.8% 27.2% 28.0% 25.8% 14.8%Ordini Italia 0.0% 6.2% 5.60% -5.90% 6.8% 21.3% 24.3% 20.9% 9.9%Ordini UE -6.8% 4.9% 4.70% -3.30% 3.8% 18.6% 22.7% 17.7% 10.5%Ordini extra UE -9.4% 7.3% -3.40% -0.30% 4.4% 15.0% 16.2% 14.2% 4.2%Livello del fatturato 8.1% 14.3% 15.10% 1.30% 12.5% 26.3% 30.9% 28.4% 20.6%Fatturato Italia 2.9% 9.3% 11.80% -3.30% 9.2% 23.7% 27.0% 25.2% 15.5%Fatturato UE -3.7% 6.9% 8.00% -0.30% 4.4% 19.4% 24.3% 18.1% 13.2%Fatturato extra UE -6.9% 4.9% 0.50% -1.00% 3.2% 15.4% 20.2% 14.0% 7.0%Ore lavoro straordinario - - - -19.10% -10.3% -1.9% 4.7% 0.7% -5.6%Occupazione 0.0% 3.8% 2.20% -2.30% 0.0% 9.3% 9.4% 9.8% 7.34%Variazione utile lordo - - -6.1% -22.9% -9.1% -6.5% 6.2% -4.6% -6.6%

Saldi


Saldi I Sem

2004II Sem 2004

I Sem 2005

II Sem 2005

I Sem 2006

II Sem 2006

I Sem 2007

II Sem 2007

I Sem 2008

Produzione attesa 19.1% 14.5% 16.0% 8.8% 22,2% 24.2% 30.4% 22.2% 13.9%Ordini attesi 19.3% 15.3% 16.2% 7.9% 22.3% 23.8% 31.0% 21.1% 14.5%Ordini attesi Italia - - 12.3% 3.7% 19.4% 21.3% 34.9% 18.7% 10.9%Ordini attesi UE - - 24.3% 3.9% 15.4% 18.2% 34.5% 14.8% 12.6%Ordini attesi extra UE - - 18.8% 6.6% 15.1% 12.7% 33.3% 13.8% 9.0%Fatturato atteso 20.1% 15.2% 18.6% 9.0% 22.4% 26.4% 37.3% 23.5% 16.4%Fatturato atteso Italia - - 14.4% 3.6% 20.0% 23.9% 33.7% 20.9% 12.9%Fatturato atteso UE - - 8.1% 2.8% 14.0% 18.4% 33.5% 16.4% 13.1%Fatturato atteso extra UE - - 14.7% 6.1% 14.4% 12.6% 29.6% 16.4% 8.2%Tendenze dell'occupazione 9.8% 2.3% 6.3% 0.6% 8.7% 8.6% 19.1% 6.6% 7.3%

Saldi

64

6 – esempio di elaborazione di indicatori di sintesi

65

Come sintetizzare l’informazione disponibile?1. I molti dati disponibili a frequenza mensile non forniscono sempre indicazioni

concordi.

2. Può essere utile anche come strumento di descrizione e comunicazione disporre di indicatori coincidenti del ciclo economico.

3. Sviluppo recente di metodologie che si fondano sull’utilizzo di large dataset.

4. Applicazioni: CFNAI index http://www.chicagofed.org/economic_research_and_data/cfnai.cfm

Eurocoin http://www.cepr.org/data/EuroCOIN/latest/

Abbiamo elaborato per Germania Austria e Italia un indicatore simile al CFNAI.

Vedi il documento allegato.


Germany economic activity index

-2.5

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06 Jul-07 Feb-08

67

Italy economic activity index

-2

-1.5

-1

-0.5

0

0.5

1

1.5

Feb-01 Sep-01 Apr-02 Nov-02 Jun-03 Jan-04 Aug-04 Mar-05 Oct-05 May-06 Dec-06 Jul-07 Feb-08

68

United States 2005 2006 2007 2008 2009 2010yoy % changesGDP 3.1 2.9 2.2 1.5 2.3 2.8Investment 6.9 2.4 -2.9 -2.1 1.4 3.5Private Consumption 3.2 3.1 2.9 1.0 2.4 2.8Export 6.9 8.4 7.9 5.2 4.4 5.6Import 5.9 5.9 2.0 -1.2 3.3 5.3

Inflation 2.9 2.8 2.2 3.3 2.3 2.3

Eurozone 2005 2006 2007 2008 2009 2010yoy % changesGDP 1.5 2.8 2.7 1.4 1.7 2.0Investment 2.7 4.9 4.7 3.1 2.5 2.9Private Consumption 1.5 1.8 1.7 1.8 1.9 1.8Export 4.5 7.8 5.8 3.4 3.5 5.5Import 5.2 7.6 5.3 4.8 4.1 5.2

Inflation 2.2 2.2 2.0 2.5 2.0 2.0

69

Macroeconomic Scenario

Italy 2005 2006 2007 2008 2009 2010yoy % changesGDP 0.1 1.9 1.7 1.0 1.3 1.5Investment -0.5 2.3 3.1 2.8 1.6 2.0Private Consumption 0.6 1.5 1.9 1.2 1.7 1.2Export -0.5 5.3 2.1 1.2 2.6 4.6Import 0.5 4.3 2.4 2.4 2.9 3.0

Inflation 2.2 2.2 2.0 2.4 2.0 1.9

Unemployment Rate (%) 7.7 6.8 6.0 5.7 5.5 5.4

Public Deficit % GDP (%) 4.2 4.4 2.1 1.8 1.5 1.5

1 analisi congiunturale pavia, 18 marzo 2008. 2 indice 1 lo scenario macroeconomico globale 2...

Documents

oecd slide

sintesi slide

lavoro slide

cicli economici us slide

industrial output slide

housing sector slide

leconomia italiana slide

leconomia americana