关闭

关闭

关闭

封号提示

内容

首页 An in depth look at deleveragings by Ray Dalio(B…

An in depth look at deleveragings by Ray Dalio(Bridgewater).pdf

An in depth look at deleveraging…

Alfa 2012-10-05 评分 0 浏览量 0 0 0 0 暂无简介 简介 举报

简介:本文档为《An in depth look at deleveragings by Ray Dalio(Bridgewater)pdf》,可适用于经济金融领域,主题内容包含BridgewaterAssociates,LPAnInDepthLookatDeleveragingsRayDalioFebruaryThepur符等。

BridgewaterAssociates,LPAnInDepthLookatDeleveragingsRayDalioFebruaryThepurposeofthispaperistoshowthecompositionsofpastdeleveragingsand,throughthisprocess,toconveyindepth,howthedeleveragingprocessworksThedeleveragingprocessreducesdebtincomeratiosWhendebtburdensbecometoolarge,deleveragingsmusthappenThesedeleveragingscanbewellmanagedorbadlymanagedSomehavebeenveryugly(causinggreateconomicpain,socialupheavalandsometimeswars,whilefailingtobringdownthedebtincomeratio),whileothershavebeenquitebeautiful(causingorderlyadjustmentstohealthyproductionconsumptionbalancesindebtincomeratios)Inthisstudy,wearegoingtoreviewthemechanicsofdeleveragingsbyshowinghowanumberofpastdeleveragingstranspiredinordertoconveythatsomeareuglyandsomearebeautifulWhatyouwillseeisthatbeautifuldeleveragingsarewellbalancedanduglyonesarebadlyimbalancedThedifferencesbetweenhowdeleveragingsareresolveddependontheamountsandpacesof)debtreduction,)austerity,)transferringwealthfromthehavestothehavenotsand)debtmonetizationWhatwearesayingisthatbeautifulonesbalancethesewellanduglyonesdon’tandwhatwewillshowbelowishowBeforeweexaminethese,wewillreviewthetypicaldeleveragingprocessTheTypicalDeleveragingProcessTypically,deleveragingsarebadlymanagedbecausetheycomealongaboutonceineverylifetimeandpolicymakershaven'tstudiedthemAsaresult,theyusuallysetpolicieslikeblindmentryingtocookonahotstove,throughapainfultrialanderrorprocessinwhichthepainoftheirmistakesdrivesthemawayfromthebadmovestowardtherightmovesSinceeveryoneeventuallygetsthroughthedeleveragingprocess,theonlyquestionishowmuchpaintheyendureintheprocessBecausetherehavebeenmanydeleveragingsthroughouthistorytolearnfrom,andbecausetheeconomicmachineisarelativelysimplething,alotofpaincanbeavoidediftheyunderstandhowthisprocessworksandhowithasplayedoutinpasttimesThatisthepurposeofthisstudyAspreviouslyexplained,thedifferencesbetweendeleveragingsdependontheamountsandpacesof)debtreduction,)austerity,)transferringwealthfromthehavestothehavenots,and)debtmonetizationEachoneofthesefourpathsreducesdebtincomeratios,buttheyhavedifferenteffectsoninflationandgrowthDebtreduction(ie,defaultsandrestructurings)andausterityarebothdeflationaryanddepressingwhiledebtmonetizationisinflationaryandstimulativeUglydeleveragingsgettheseoutofbalancewhilebeautifulonesproperlybalancethemInotherwords,thekeyisingettingthemixrightTypically,inresponsetoadebtcrisisthegoingtothesefourstepstakesplaceinthefollowingorder:)Atfirst,problemsservicingdebtandtheassociatedfalloffindebtgrowthcauseaneconomiccontractioninwhichthedebtincomeratiosriseatthesametimeaseconomicactivityandfinancialassetpricesfallWewillcallthisphasean“uglydeflationarydeleveraging”Debtreduction(ie,defaultsandrestructurings)andausteritywithoutmaterialdebtmonetizationcharacterizethisphaseDuringthisperiod,thefallinprivatesectorcreditgrowthandthetightnessofliquidityleadtodeclinesindemandforgoods,servicesandfinancialassetsThefinancialbubbleburstswhenthereisnotenoughmoneytoservicethedebtanddebtdefaultsandrestructuringshitpeople,especiallyleveragedlenders(banks),likeanavalanchethatcausesfearsThesejustifiedfearsfeedonthemselvesandleadtoaliquiditycrisisAsaresult,policymakersfindthemselvesinamadscrambletocontainthedefaultsbeforetheyspinoutofcontrolThispathtoreducingdebtburdens(ie,debtdefaultsandrestructurings)mustbelimitedbecauseitwouldotherwiseleadtoaselfreinforcingdownwardspiralinwhichdefaultsandrestructuringscanbesodamagingtoconfidencethat,ifletgo,theymightpreventfaithandrecoveriesfromgerminatingforyearsDefaultsandrestructuringscannotbetoolargeortoofastbecauseoneman'sdebtsareanotherman'sassets,sothewealtheffectofcuttingthevalueoftheseassetsaggressivelycanbedevastatingonthedemandsforgoods,servicesandinvestmentassetsSinceinordertoreducedebtservicepaymentstosustainablelevelstheamountofwritedownmustequalwhatisrequiredsothedebtorwillbeabletopay(eg,let'ssayit’sless),awritedownwillreducethecreditor'sassetvaluebythatamount(eg)Whilesoundslikealot,sincemanyentitiesareleveraged,theimpactsontheirnetworthscanbemuchgreaterForexample,thecreditorwhoisleveraged:wouldexperienceadeclineinhisnetworthSincebanksaretypicallyleveragedaboutor:,thatpictureisobviouslydevastatingforthemThisisusuallyapparentfromtheoutsetofthedeleveragingsSincethedevastatingforcefulnessofthewaveofdefaultsthatoccursinadeleveragingisapparentfromtheoutset,policymakersaretypicallyimmediatelymotivatedtocontaintherateofdefaults,thoughtheytypicallydon'tknowthebestwaystodothatInreactiontotheshockofthedebtcrisis,policymakerstypicallytryausteritybecausethat'stheobviousthingtodoSinceitisdifficultforthedebtortoborrowmore,andsinceit’sclearthathealreadyhastoomuchdebt,it’sobviousthathehastocuthisspendingtobringitbackinlinewithhisincomeTheproblemisthatoneman'sspendingisanotherman'sincome,sowhenspendingiscut,incomesarealsocut,soittakesanawfullotofpainfulspendingcutstomakesignificantreductionstodebtincomeratiosNormallypolicymakersplayaroundwiththispathforacoupleofyears,getburnedbytheresults,andeventuallyrealizethatmoremustbedonebecausethedeflationaryanddepressingeffectsofbothdebtreductionandausterityaretoopainfulThatleadsthemtogotothenextphaseinwhich“printingmoney”playsabiggerroleWedon’tmeantoconveythatdebtreductionsandausteritydon’tplaybeneficialrolesinthedeleveragingprocessbecausetheydo–justnotbigenoughrolestomakemuchofadifferenceandwithtoopainfulresultsunlessbalancedwith“printingmoneymonetization”)InthesecondphaseofthetypicaldeleveragingthedebtincomeratiosdeclineatthesametimeaseconomicactivityandfinancialassetpricesimproveThishappensbecausethereisenough“printingofmoneydebtmonetization”tobringthenominalgrowthrateabovethenominalinterestrateandacurrencydevaluationtooffsetthedeflationaryforcesThiscreatesa“beautifuldeleveraging”Thebestwayofnegatingthedeflationarydepressionisforthecentralbanktoprovideadequateliquidityandcreditsupportand,dependingondifferentkeyentities’needforcapital,forthecentralgovernmenttoprovidethattooThistakestheformofthecentralbankbothlendingagainstawiderrangeofcollateral(bothlowerqualityandlongermaturity)andbuying(monetizing)lowerqualityandorlongertermdebtThisproducesreliefand,ifdoneintherightamounts,allowsadeleveragingtooccurwithpositivegrowthTherightamountsarethosethata)neutralizewhatwouldotherwisebeadeflationarycreditmarketcollapseandb)getthenominalgrowthratemarginallyabovethenominalinterestratetotolerablyspreadoutthedeleveragingprocessAtsuchtimesofreflation,thereistypicallycurrencyweakness,especiallyagainstgold,butthiswillnotproduceunacceptablyhighinflationbecausethereflationissimplynegatingthedeflationHistoryhasshownthatthosewhohavedoneitquicklyandwell(liketheUSin)havederivedmuchbetterresultsthanthosewhodiditlate(liketheUSin)However,thereissuchathingasabusiveuseofstimulantsBecausestimulantsworksowellrelativetothealternatives,thereisarealriskthattheycanbeabused,causingan“uglyinflationarydeleveraging”)Whenthereistoomuch“printingofmoneymonetization”andtoosevereacurrencydevaluation(whicharereflationary)relativetotheamountsoftheotherthreealternatives“uglyinflationarydeleveragings”canoccurWhenthesehappena)theyeitheroccurquicklyincountriesthatdon’thavereservecurrencies,thathavesignificantforeigncurrencydenominateddebtsandinwhichtheinflationrateismeasuredintheirrapidlydepreciatinglocalcurrency,andb)theycanoccurslowlyandlateinthedeleveragingprocessofreservecurrencycountries,afteralongtimeandalotofstimulationthatisusedtoreverseadeflationarydeleveragingBytheway,transfersofwealthfromthehavetothehavenotstypicallyoccurinmanyforms(eg,increasedtaxesonthewealthy,financialsupportprogramssuchasthosethe"rich”Europeancountriesareprovidingtotheoverlyindebtedones,etc)throughouttheprocess,buttheyrarelyoccurinamountsthatcontributemeaningfullytothedeleveraging(unlessthereare"revolutions")Nowlet'stakealookatsomepastdeleveragingssowecanseethesethingshappeningPastDeleveragingsWhiletherearedozensofdeleveragingsthatwecouldhavepicked,wechosesix–)theUSinthes,)theUKinthe'sand's,)Japanoverthepasttwodecades,)theUSnow,)Spainnowand)theWeimarRepublicinthes–becausetheyarebothimportantanddifferentininterestingwaysAsyouwillsee,whiletheyaredifferentbecausetheamountsandpacesofthefourpathstodeleveragingweredifferent,“theeconomicmachines”thatdrovetheoutcomeswerebasicallythesameWearegoingtobeginbylookingatthefirstfiveandthenturnourattentiontotheWeimarRepublic’sinflationarydeleveragingWewillbreakthesedownintothreegroups,whichwewillcall:)“uglydeflationarydeleveragings”(whichoccurredbeforeenoughmoneywas“printed”anddeflationarycontractionsexistedandwhennominalinterestrateswereabovenominalgrowthrates),)“beautifuldeleveragings”(thoseinwhichenough“printing”occurredtobalancethedeflationaryforcesofdebtreductionandausterityinamannerinwhichthereispositivegrowth,afallingdebtincomeratioandnominalGDPgrowthabovenominalinterestrates),and)“uglyinflationarydeleveragings”(inwhichthe“printing”islargerelativetothedeflationaryforcesandnominalgrowththroughmonetaryinflationandinterestratesareinaselfreinforcingupwardspiral)TheUglyDeflationaryDeleveragings(ie,whentheeconomywasbadwhilethedebtincomeratiorose)Asshownbelow,inallofthesecases,a)moneyprintingwaslimited,b)nominalgrowthwasbelownominalrates,c)thecurrencywasgenerallystrong,andd)thedebtincomeratiosrosebecauseofthecombinationofinterestpaymentcostsandnominalincomesfallingorstagnatingMonetaryPolicyinDeleveragingsUSDepression:Japan:PresentUS:JulyFeb(PreQE)Spain:PresentNominalGDPGrowthGov'tBondYieldNominalGDPGrowthGDPDeflatorRealGov'tBondYield,AvgMGrowthGDP,AvgAnn*CentralBankAssetPurchasesLending,yrDur,Ann*FXvPriceofGold(meansrallyvgold),AnnFXvUSD(TWIforUSA),AnnTotalDebtlevelasGDP:StartingPointTotalDebtlevelasGDP:EndingPointChangeinTotalDebt(GDP)ChangeinTotalDebt(GDP),Ann*ForESP,showingECBlendingtoESP,notdurationadjustedSources:GlobalFinancialDataBWEstimatesThefollowingchartsattributethechangesindebtGDPMorespecifically,ablackdotconveysthetotalannualizedchangeindebtGDPEachbarbreaksuptheattributionofthischangeintothefollowingpieces:changesinGDP(ie,income)andchangesinthenominalvalueofthedebtstockIncomechangesarebrokeninto()realincomechangesand()inflationAdeclineinrealGDPshowsupasapositivecontributiontodebtGDPintheshadedregion,whileanincreaseininflationshowsupasanegativecontributionChangesinnominaldebtlevelsarebrokeninto()defaults,()theamountofnewborrowingrequiredjusttomakeinterestpayments,and()whateverincreasesordecreasesinborrowingthatoccurbeyondthatSo,defaultsshowupasnegatives,whileinterestpaymentsshowupaspositivesandnewborrowingbeyondinterestpaymentsaspositivesornegatives(dependingonwhethernewdebtwascreatedorpaiddown)PeriodsWhereDebtGDPRose:AttributionofChangeinDebtBurdens(Annual)USDepression:Japan:PresentUS:JulyFeb(PreQE)SpainChangeinDebtGDPRealGrowthInflationInterestPaymentsNewBorrowAboveIntPaymentsDefaultsTotalChangeinDebtTheBeautifulDeleveragings(ie,whentheeconomywasgrowinginabalancedwaywiththedebtincomeratiodeclining)Asshownbelow,inallofthesecases,moneyprintingandcurrencydevaluationsweresizable,nominalgrowthrateswerepushedabovenominalinterestratesandthedebtincomeratiosfellDuringthereflationperiods,arecoveryinnominalincomeslessenedthedebtincomeburdensNaturally,incasesinwhichthedownturnsthatprecededtheseperiodswereverydeep(eg,intheUS)thereboundsweregreaterMonetaryPolicyinDeleveragingsUSReflation:UK:US:MarchPresent(PostQE)NominalGDPGrowthGov'tBondYieldNominalGDPGrowthGDPDeflatorRealGov'tBondYield,AvgMGrowthGDP,AvgAnnCentralBankAssetPurchasesLending,yrDur,AnnFXvPriceofGold(meansrallyvgold),AnnFXvUSD(TWIforUSA),AnnTotalDebtlevelasGDP:StartingPointTotalDebtlevelasGDP:EndingPointChangeinTotalDebt(GDP)ChangeinTotalDebt(GDP),Ann*ForESP,ECBlendingtoESPandECBpurchasesofESPassetsisshownSources:GlobalFinancialDataBWEstimatesThechartthatfollowsshowstheratesandcompositionsofthereductionsinthedebtincomeratiosThedotsshowthechangeinthedebtincomeratiosandthebarsshowtheattributionofthesourcesofthesereductionsPeriodsWhereDebtGDPDeclined:AttributionofChangeinDebtBurdens(Annual)USReflation:UK:US:MarchPresent(PostQE)ChangeinDebtGDPRealGrowthInflationInterestPaymentsNewBorrowAboveIntPaymentsDefaultsTotalChangeinDebtNote:IntheUSnominalgrowthhasoutpacednominalgovernmentbondyields,buthasbeenabitbelowaggregateinterestratespaidintheeconomy(giventhecreditspreadcomponentofprivatesectordebtandthatthefallinbondyieldstodayflowsthroughwithalagtotherateborneintheeconomy)Asaresult,theincreaseindebtGDPfrominterestpaymentshasbeenabithigherthanthereductionfromnominalincomes(realinflation),butthetrajectoryisforaggregateeconomywideinterestratestofallbelownominalgrowthTheUglyInflationaryDeleveraging(ie,whentheeconomywasbadatthesametimeastherewashyperinflationthatwipedoutthedebts)Whileyoucangettheroughbigpictureofthedynamicfromthenumbersbelow,whichsummarizethehyperinflationoftheWeimarRepublic,theexplanationthatwillfollowlaterwillmakethispictureclearerThisdynamicisbasicallythesameasthoseinotherinflationarydeleveragingssuchasthoseinLatinAmericainthesWeimarRepublic:MonetaryPolicyChginFXvGoldOverPeriodTotalChginMOverPeriodTrillionAttributionofChangeinDebtGDPStartingTotalGovtObligationsGDPOfWhich:WWIReparationsOtherGovtDebtChangeinTotalGovtObligationsGDPOfWhich:WWIReparations(DefaultedOn)*OtherGovtDebt(Inflatedaway)*ThereparationswerereducedfrombilliongoldmarksatthestartoftothatspringAftertheReichstoppedpayingreparationsinthesummerof,thedebtswererestructuredmultipletimes–toin,andthenbasicallywipedoutinTheattributionofthehyperinflationanddefaultinreducingthedebtisshownbelow:WeimarRepublic:ChangeinDebtGDPInflationDefaultsTotalChangeinDebtACloserLookatEachUnitedStatesDepressionandReflation,Asexplained,theUSGreatDeleveraginginthestranspiredintwophases–adeflationarydepressionfromthrough,andareflationarydeleveragingfromtoThechartsbelowshowdebtlevelsagainstnominalGDPgrowthyearoveryear(leftchart)andagainstthetotalreturnofstocks(rightchart)DebtlevelsasofGDPareontherightaxisofeachchartThelineshowswheretherewasasignificantamountof“moneyprinting”Thefirstphaseislabeled()andthesecondphaseislabeled()Duringthefirstphase(the“uglydeflationarydepression”phase),incomeandcreditcollapsed,withnominalgrowthratesfallingsignificantlybelownominalinterestrates,andtheeconomycontractedwhilethedebtincomeratioroseAsshown,itfollowedthestockmarketbubbleburstinginSeptemberAsaresultofthatprivatesectordeleveraging,incomescollapsed,tothepointthattheyweredecliningbynearlyperyearattheendofBecauseofthefallinincomes,debtGDProsefromroughlytoofGDP(asshownontheleft)Throughthistimestocksfellbymorethan(asshownontheright)ThisfirstphaseendedandthesecondphasebeganwhenthemoneyprintingstartedinMarchFDRbrokethepegtogoldandthedollarfellfromdollarsouncetooverthecourseoftheyearThisreflationalsoledtorisingeconomicactivity,andnominalgrowthtobeabovenominalinterestratesiswhenitendedinresponsetotheFedturningrestrictivewhichcauseda“re”cession(whichiswhenthetermwasinvented)USANGDPYYUSADebtGDP()()USAEquitiesTRIndexUSADebtGDP()()Sources:GlobalFinancialDataBWEstimatesInMarchof',theFedeasedbydevaluingthedollaragainstgoldandkeptinterestrateslowformanyyearsMostoftheadditionalbalancesheetexpansionwastobuygoldtokeepthevalueofthedollardepressedWhiletheFedmademoneyeasythroughlowra

用户评论(0)

0/200

精彩专题

上传我的资料

每篇奖励 +1积分

资料评分:

/31
1下载券 下载 加入VIP, 送下载券

意见
反馈

立即扫码关注

爱问共享资料微信公众号

返回
顶部

举报
资料