tag:blogger.com,1999:blog-34323687.post4297584903842420809..comments2024-03-29T03:19:56.674+00:00Comments on Macro Man: Feelin' groovy?Macro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger12125tag:blogger.com,1999:blog-34323687.post-52047321336609954732007-12-12T10:39:00.000+00:002007-12-12T10:39:00.000+00:00Andrea, implied vols are a component of my and mos...Andrea, implied vols are a component of my and most other people's indicators. They are quite useful, but obviously do not tell the whole story.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-9787097355136689112007-12-11T13:18:00.000+00:002007-12-11T13:18:00.000+00:00MM, I guess you're triggered in when your "risk av...MM, I guess you're triggered in when your "risk aversion barometer" is pointing towards a low level (i.e. high propensity to take on positions in risky assets), and out when the viceversa is true. Is that right? Would you get to the same results by just using options' implied volatility?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-29195674050349163572007-12-11T11:15:00.000+00:002007-12-11T11:15:00.000+00:00Andrea, there is an indicator that I use (propriet...Andrea, there is an indicator that I use (proprietary, but very similar to measures of risk aversion published by investment banks)to trigger me in and out of the carry basket.<BR/><BR/>I realize now I forgot to mention it in the text, but yeah it was implemented first thing yesterday.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-38778522639655889722007-12-11T10:22:00.000+00:002007-12-11T10:22:00.000+00:00Actually, I was THE bank - 3.00% was the teaser ra...Actually, I was THE bank - 3.00% was the teaser rate then applied to employees back in 1999, but somehow they never changed that even after I left the bank, three years later. The rate was pegged to the discount rate then applied by Italian Central Bank (2.50%), plus a 0.50% spread. Anyway, I should be paying a fixed 6.00% right now (not too bad, if compared to US subprime and near prime current standards).<BR/> <BR/>How about the latest olive crop in Spain, Charles? Here in Tuscany has been somewhat of a mess, with many plants infected by some sort of a bug and major producers are therefore said to be increasingly importing oil from Spain, Turkey, Greece and Tunisia. Anyway, all these US and British guys have still a long way to go before really appreciating the taste of just squeezed olive oil...Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-89897802403005180342007-12-11T09:41:00.000+00:002007-12-11T09:41:00.000+00:00Maybe the bank took pity on you when they saw the ...Maybe the bank took pity on you when they saw the kitchen you were going to inflict on the missus.Charles Butlerhttps://www.blogger.com/profile/00486529931043507880noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-91668692836310377522007-12-11T09:33:00.000+00:002007-12-11T09:33:00.000+00:00Hi MM,I see that your FX carry trade basket was tr...Hi MM,<BR/><BR/>I see that your FX carry trade basket was triggered once again last week. I know you have a simple quant model for that. Would you like to explain the rationale of your model? I mean, when is it triggered?<BR/><BR/>My guesses for next CB's moves: FED down 0.25% and NB up 0.25% (please consider that I'm an FX paper trader, not a pro. But I guess my 10 yr 3.00% fixed rate mortgage ending on May 2009 would be considered the teasiest of teaser rates...)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-65280207459779961282007-12-11T08:08:00.000+00:002007-12-11T08:08:00.000+00:00Anonymous, I have no real idea what Iran does, to ...Anonymous, I have no real idea what Iran does, to be honest.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-58684055340223178042007-12-10T19:13:00.000+00:002007-12-10T19:13:00.000+00:00MM:Sort of on topic, if you include the last quest...MM:<BR/><BR/>Sort of on topic, if you include the last question. Do you know if maintaining the Iranian Rial peg to USD requires them to purchase USD or Treasuries and/or keep USD reserves despite their protests to the contrary?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-31451369519558076752007-12-10T15:54:00.000+00:002007-12-10T15:54:00.000+00:00Good question, Jin. Right now I think one of the ...Good question, Jin. Right now I think one of the most interesting macro themese out there is potential fracturing of the "Bretton Woods II" system as a result of inflationary developments in the pegging countries. <BR/><BR/>Given that China and the Middle East (and Russia) run more explicit pegs than those other regions, and have had a larger rise in inflation as a result, that's naturally where a lot of my attention tends to be focused. <BR/><BR/>China has always been of interest here since I started the blog, given its footprint on the global economy and financial markets, whereas the GCC focus has really only come about over the past few months, when the Fed started cutting rates and the regional CBs have had to decide whether or not to follow.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-10295584197684648362007-12-10T15:28:00.000+00:002007-12-10T15:28:00.000+00:00Good article. Just a sidenote which might be off t...Good article. Just a sidenote which might be off topic. Recently there were many posts here focus on China and Mideast. I assume that it is becasue your real investment work has something to do with the two economies. Have you planned to look at other opportunities, i.e., India, south america, eastern europe...?Unknownhttps://www.blogger.com/profile/11371193332017369600noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-50033588649553925172007-12-10T13:46:00.000+00:002007-12-10T13:46:00.000+00:00Prophets, will have a butcher's. I suspect the Fe...Prophets, will have a butcher's. I suspect the Fed will take comfort from the recent decline in oil and other industrial commodity prices, such as those depicted in the post. They may also tell themselves that inflation didn't peak until late 2001 during the last cycle, so waiting for inflation to roll over may be too cautious.<BR/><BR/>Not saying that I necessarily agree with that, but it is pretty easy to at least defer inflation concerns in the name of heading off economic tail risk...at least in the short term.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-36145935666938285822007-12-10T13:07:00.000+00:002007-12-10T13:07:00.000+00:00MM:Couple interesting articles on inflation:Price ...MM:<BR/><BR/>Couple interesting articles on inflation:<BR/><BR/>Price Measure Says Rate Can't Fall as Traders Expect<BR/>http://www.bloomberg.com/apps/news?pid=20601068&sid=ag7ED_3LAF.8&refer=economy<BR/><BR/><BR/>A Contrarian's Take on the World<BR/>http://online.barrons.com/article/SB119707190308617763.html?mod=b_hps_9_0001_b_this_weeks_magazine_home_leftprophetshttps://www.blogger.com/profile/16688051502761732148noreply@blogger.com