Jim Bullard has actually thrown a great paper out there for all of us to think about (http://research.stlouisfed.org/econ/bullard/pdf/SevenFacesFinalJul28.pdf). The simple premise is that using “extended period” style language creates unintended negative consequences...
Yes I’m making a jocular to reference to Johan van der smut, aka Goldmember - but the real accident here has to do with GC1 chart I have attached. We have broken the 100 day MA and the 200 day is VERY close by. One of the central themes of the Depressionistas (a...
I remember the days when non agency mortgage desks used to hedge their interest rate exposure. Then the crisis hit and instead of thinking about red packs they were busy deciding whether to discount cash flows at 8%, 15% or 25%. It was easy to understand why non...
A catchy headline huh? Sorry to all the doomsayers, it’s not the crash you were hoping for! This crash will be in implied vols! Attached are 3 charts - 5y5y USD implied swaption vol, 1 mth EURUSD FX implied vol and the VIX. Two things are apparent from these charts –...
While the initial reaction to Ben’s testimony generated a few hick-ups, we are following a standard, albeit somewhat delayed, market response – stronger risk assets and lower expected short rates. Spoos are up about a percent and FFM1 are up 3bps since the testimony...
I remember when we all used to brace ourselves for HH testimony (aka the semiannual monetary policy report to congress). The wording was always cryptic and confusing – and everyone sat on the edge of their seat trying to figure out what the maestro was really saying....
I remember when we all used to brace ourselves for HH testimony (aka the semiannual monetary policy report to congress). The wording was always cryptic and confusing – and everyone sat on the edge of their seat trying to figure out what the maestro was really saying. If the word “somewhat” was inserted in the […]
