A quienes llaman "insólito" el evento de rendimentos negativos en TIPS, Hamilton contesta que rendimientos negativos en el mercado de bonos del Tesoro es la regla, no la excepción. Si no se ha presentado antes para el caso de TIPS es probablemente porque los TIPS son instrumentos relativamente nuevos:
Although this appears to be the first time that newly issued TIPS have locked in a negative real return, that's because TIPS have only been offered to U.S. investors since 1997. You can get a longer time series by comparing the yield on a 6-month T-bill at any date with what the CPI inflation rate actually turned out to be over the subsequent 6 months for which investors held that bill, a magnitude sometimes described as the "ex-post real interest rate." That series is plotted below. We've actually been in a period for several years in which short-term loans to the government were a losing proposition in real terms, and the longer-term real yields such as the 5-year TIPS are only now coming down to join them. The recent era of negative real yields was briefly (if spectacularly) interrupted in the fall of 2008, when a sharp deflation in the CPI made short-term loans to the government an excellent deal for the lender in ex-post real terms.Nos recuerda de su opinión (que coincide con la de Krugman) en torno a Relajamiento Cuantitativo 2 (QE2): ayudará pero probablemente poco. Hamilton menciona QE2 en una discusión sobre rendimientos reales de TIPS negativos porque precisamente lo que está comprimiendo los rendimientos de los TIPS (inflando sus precios) es el que los inversionistas anticipen que el iminente QE2 cause tasas de inflación más altas a futuro. Me imagino que por eso Hamilton prevé alzas en los precios de las materias primas:
Negative ex-post real rates on short-term securities are thus nothing new. We saw them for much of this decade and for much of the 1970s. Although negative realized ex-post real rates do not establish that investors knew that they were in for a losing bargain in real terms, they persisted long enough in the 1970s that it's hard to believe that people were shocked by the continually repeated outcome. I think if TIPS had been offered at that time, we would have seen a negative real yield then, too.
Hamilton evita caer en el error de varios analistas señalado hoy por Krugman, de decir que, como QE2 puede conducir a precios de materias primas más altos y esto puede deprimir la demanda, QE2 podrá resultar contraproducente para el crecimiento.Even so, within those models, there's an incentive to buy and hold those goods that are storable. And in terms of the historical experience, episodes of negative real interest rates have usually been associated with rapidly rising commodity prices.
Krugman aclara que esto se dará sólo si los precios de las materias primas suben en términos reales:
En realidad, Krugman omite mencionar un escenario en el que los precios de materias primas no suben en términos reales mas sí en términos nominales frena el crecimiento. El escenario se da cuando las alzas en materias primas aceleran cambios en los índices de precios al consumidor tanto que el banco central se siente obligado a aplicar política monetaria restrictiva.Higher commodity prices will hurt the recovery only if they rise in real terms. And they’ll only rise in real terms if QE succeeds in increasing real demand. And this will happen only if, yes, QE2 is successful in helping economic recovery.
What this official is saying is a version of the classic freshman mistake: an increase in demand leads to higher prices, and higher prices make people buy less, so an increase in demand leads to lower sales.
El riesgo de este escenario es particularmente alto en economías emergentes cuyos bancos centrales han adoptado el régimen de política monetaria por objetivos de inflación.
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