Recession Risk: forex and financial cycle help Yield Curve

Quali sono i lead indicator per un rischio recessione? I dati sul pil sono solo una constatazione ex-post della situazione, mentre l’inversione della pendenza della curva dei rendimenti è sempre stata considerata come un anticipatore di guai a livello macro. E’ ancora così, dopo gli eccessi da debito a livello globale che hanno istituzionalizzato una trappola della liquidità globale e tassi negativi come normalità? La Yiel Curve è solo un indizio:

  1. Fed S.Louise: “Does the recent flattening of the yield curve portend recession? Not necessarily. The flattening of the real yield curve may simply reflect the fact that real consumption growth is not expected to accelerate or decelerate from the present growth rate of about 1 percent year over year. On the other hand, a 1 percent growth rate is substantially lower than the U.S. historical average of 2 percent. Because of this, the risk that a negative shock (of comparable magnitude to past shocks) sends the economy into technical recession is increased. While the exact date at which the shock arrives is itself unpredictable, the likelihood of recession is higher relative to a high-real-interest-rate, high-growth economy.” 
  2. BIS: “Business cycles may not die of old age (Rudebusch (2016)), but if financial booms develop, they become more fragile. This is the case in both advanced economies and EMEs. Moreover, given that financial cycles build up slowly, the corresponding proxies provide information about recession risk even at a three-year horizon. And when we run a horse race against the term spread – the indicator most widely used to assess recession risk – we find that they outperform the term spread in both in-sample and out-of-sample exercises. The debt service ratio is particular effective in this aspect. These results suggest that financial cycle proxies may be another indicator that could be useful to policymakers, professional forecasters and market participants more generally”
  3. Swiss National Bank “The Swiss franc remains vulnerable to changes in risk sentiment on the international financial markets. It strengthened moderately, by 2.5%, in the second half of the year (cf. chart 4). This appreciation is primarily due to the period between August and mid-September, when concerns about emerging markets – and possible consequences for Europe’s finance sector – caused a renewed spike in risk premia on European financial securities. From mid-September, the Swiss franc depreciated again slightly, particularly against the US dollar which has become more attractive to investors due to the greater interest rate advantage. Furthermore, emerging market currencies stabilised noticeably. Overall, developments on the foreign exchange markets show that the situation remains fragile and that the Swiss franc continues to serve as a safe haven in times of heightened uncertainty. Thomas Jordan also referred to this phenomenon in his remarks on exchange rates.”
  4. Dollaro/Yen e Euro/Dollaro: con gli effetti dei vari QE il cambio Dollaro/Yen è tornato ai livelli pre crisi di 125 per poi congestionare e chiudersi in un cuneo pericoloso (dovuto a rientro da Qe?); il cambio Euro/Dollaro, dopo aver testato il canale superiore per la quarta volta, rischia una veloce ed intensa discesa (come successo in passato per 3 volte) andando sotto i minimi di 1,05 e testando la parità tornando ai livelli del dicembre 2002


I mercati sono imprevedibili, ma i segnali di inversione di un megatrend non mancano. Attendere comunque sempre le conferme e mai anticipare, solo strutturare strategie da usare nei vari scenari ipotizzati

Guido Gennaccari