Standpunkt - Lazard Asset Management

Standpunkt
Negative Leitzinsen – Ursachen und
Folgen
Mai 2016
Negative Leitzinsen – Ursachen und
Folgen
•
Das globale BIP-Wachstum ist in den letzten Jahrzehnten stetig gefallen; besonders Kontinental-
europa und Japan sind von Stagnation und Disinflation geplagt.
•
Seit der Finanzmarktkrise 2008 haben sich die Probleme verschärft. Wegen der hohen Verschuldung der meisten Länder und mangels struktureller Reformen hat die Geldpolitik die Rolle des einzigen Wachstumstreibers übernommen, häufig über unkonventionelle Geldpolitik wie quantitative Lockerung und direkte Marktinterventionen.
•
2012
und in den folgenden Jahren haben die Zentralbanken in Dänemark, Schweden, Japan,
Schweiz und der Eurozone schrittweise negative Einlagenzinsen eingeführt. Diese fünf
Zentralbanken belasten die Geschäftsbanken mit Gebühren, wenn sie Reserven bei der Zentralbank
halten.
•
ie Hauptmotivation für die unkonventionelle Geldpolitik war es, die bereits sehr großzügig versorD
gende Geldpolitik weiter zu lockern, um den Abwärtstrend in den Inflationserwartungen zu stoppen.
Die Zentralbanken wollen die Geschäftsbanken ermutigen (fast zwingen), ihre Kreditvergabe zu
erhöhen und die Bedingungen der Kreditvergabe weiter zu lockern.
•
s gibt fünf Transmissionskanäle, über die der monetäre Stimulus negativer Zinsen das Wachstum
E
erhöhen soll: den Kreditkanal, den Vermögenskanal, den Portfolio- und Risikomanagement-Kanal,
den Inflationierungskanal und den Wechselkursmechanismus.
•
Verschiedene Risiken und Nebenwirkungen könnten die positiven Effekte negativer Einlagenzinsen unterminieren, zumindest langfristig. Negative Zinsen erzeugen Fehlanreize für vernünftiges ökono-
misches Verhalten, ermöglichen den Politikern Reformverweigerung in der Wirtschafts- und Finanzpolitik, erzeugen Marktverwerfungen, Fehlbewertungen und Stabilitätsrisiken, erhöhen die Ungleichheit von Vermögen und Einkommen und gefährden bei einem Scheitern das Vertrauen in unabhängige Zentralbanken, die Politiker, die Marktwirtschaft und letztendlich die Demokratie.
•
Es ist noch zu früh, um wirkliche Schlüsse aus den Erfahrungen mit negativen Leitzinsen zu ziehen, aber die ersten Eindrücke lassen vermuten, dass die unkonventionelle Geldpolitik nicht sehr effizient ist und die Finanzmärkte stärker beeinflusst als die Realwirtschaft. Es ist nicht übertrieben zu vermuten, dass die Zentralbanken Gefahr laufen, mit ihrer Politik Assetpreisblasen zu erzeugen, insbesondere im Fixed Income-Bereich, da etwa 40 % aller Staatsanleihen von Euroland-Emittenten gegenwärtig mit negativen Renditen gepreist sind.
•
Der desaströse Nettoeffekt der negativen Zinsen auf die Ertragssituation von Altersvorsorgeein-
richtungen, Lebens- und Rentenversicherungen oder Geldmarktfonds ist ziemlich offensichtlich und gefährdet die Zukunft des gesamten Rentensystems. Der Nettoeffekt auf die Profitabilität der Banken ist nicht ganz so eindeutig, aber vermutlich ebenfalls negativ, zumal sich die Zins-
strukturkurven in Folge der unkonventionellen Geldpolitik verflacht haben. Dies könnte das Banken-
system weiter aushöhlen.
©2016. Herausgeber: Lazard Asset Management (Deutschland) GmbH, Neue Mainzer Straße 75, 60311 Frankfurt am Main, Deutschland (Selbstverlag). Alle Rechte vorbehalten. Bei
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o.g. Bestimmungen gegeben.
Negative Key Rates - Causes and
Implications
•
Global nominal GDP growth rates have come down dramatically over the last decades. Especially continental Europe and Japan have a serious stagnation and disinflation problem.
•
Since the financial markets crisis in 2008, the problems have become more severe. Due to the high indebtedness of most countries and the lack of will for structural reforms, monetary policy has taken over the lonely role of reviving growth, often via unconventional monetary policy like quantitative easing and direct market interventions.
•
Starting in 2012, the central banks of Denmark, Sweden, Japan, Switzerland and the Eurozone crossed the Rubicon and introduced negative deposit rates. These five central banks are now charging commercial banks for their reserves at the central bank.
•
The main motivation for these unconventional policy steps was to further ease the accommodative monetary policy stance to fight the downward pressure on inflation expectations. Central banks want to encourage commercial banks to increase their loan portfolios, boosted by a general easing of credit conditions.
•
There are five interconnected monetary channels via which the monetary stimulus aims to lift growth: the credit channel, the asset valuation channel, the portfolio balance and risk taking channel, the reflation channel and the exchange rate channel.
•
Several risks could make negative nominal interest rates counterproductive, at least in the long run. They may cause disincentives for prudent economic behavior, facilitate reform fatigue among politicians, could generate market distortions and financial stability risks, increase income and wealth inequality and endanger confidence in (independent) central banks, politicians, the market economy and democracy in general.
•
It is still too early to gauge the experience with negative rates, but the first impressions seem to suggest these policy decisions are not very effective and have more influence on the financial markets than on the real economy. It is not completely exaggerated to suppose that the central banks risk to generate asset price bubbles, mainly in fixed income markets, as about 40% of all government bonds in the Eurozone have a negative yield at the moment.
•
The disastrous net effect of low or negative rates on pension funds, money market funds or insurance companies owing to falling asset income is quite obvious, but the net effect of the new decisions on the profitability of the banks is also most likely negative, especially as the yield curves have flattened dramatically after the decisions. The net interest margin for Eurozone banks has come down steadily in all business segments, which may reduce the supply of credit and hamper the financial intermediation.
Lazard Asset Management
Negative Key Rates - Causes and Implications
In Japan, 10year nominal p.a. growth rates became negative for the
first time in 2006 and could not recover decisively since then. In
big parts of Europe, not more than 2% p.a. nominal growth over a
decade became the norm. Due to the over-debtedness of both the
private and the government sector in Japan and most European
countries, the central banks became the only institutions able to act
in order to generate an environment where these countries can grow
again, especially as the preparedness of politicians to reform and
deregulate has been undermined by the financial market crisis (see
exhibit 2).
Since reaching a top after WWII in the 1970ies, global nominal
growth rates have fallen steadily, decade by decade, as both real
growth and inflation came down dramatically. This long term trend
to economic stagnation combined with disinflation was visible
everywhere, but was the most pronounced in Japan and continental
Europe (see exhibit 1).
Exhibit 1: Nominal Growth Globally
10Y nominal GDP growth, p.a., rolling
16
16
14
14
Exhibit 2: Government Debt
Japan and Eurozone, Gross Government Indebtedness, in % GDP
12
12
0
10
10
100
50
8
22,9%
Portugal
6
6
89,8%
Italy
79,8%
Cyprus
4
4
2
2
0
0
52,7%
Spain
1960
1965
1970
1975
USA, last 2,9
Switzerland, last 2,1
1980
1985
UK, last 3
Japan, last -0,1
1990
1995
2000
France, last 2
Netherlands, last 2
2005
2010
2015
Germany
11,0%
Netherlands
As of 4 May 2016
Source: Thomson Reuters Datastream
67,6%
9,4%
Finland
62,4%
18,4%
0
86,2%
83,3%
61,3%
71,0%
Slovenia
Italy, last 0,79
108,7%
95,2%
48,6%
19,7%
132,6%
128,8%
96,8%
36,8%
Austria
178,4%
99,0%
36,5%
Ireland
250
106,3%
Belgium -8,1%
France
200
245,4%
109,8%
Greece
8
150
Japan
50
Gross Government Debt
100
150
200
250
Change since 1999
As of 4 May 2016
Politicians did not easily accept this “new normal” of low growth
and low inflation. With a combination of deregulation and releveraging of the world economy, they tried to refuel the “animal
spirits” of companies, entrepreneurs and investors since the 1980ies.
Governments felt more and more responsible for growth and
employment and did all they could to help the global economy to
grow.
Source: Thomson Reuters Datastream
Which Central Banks Did Introduce
Negative Rates?
Since the financial market crisis in 2008, monetary policy has
become hyper-expansionary everywhere to counter-balance the
effects of private deleveraging and the burden of high government
debt. Unconventional monetary policy and the expansion of central
bank balance sheets via quantitative easing has become the norm in
the USA, Japan, Europe and (with constraints) China in the post
crisis era (see exhibit 3).
The success of this economic growth policy, though, was limited
despite the “fall of the wall 1989” and all his positive consequences
for growth and inflation, and ended with the financial market crisis
in 2008. Since then, the world continued to lose its mojo, as there
was and currently still is a strong political pressure to re-regulate,
deleverage and to reduce government debt. This pressure is the most
pronounced in Japan and Europe, just in a time when the problems
with demographics start to hit these regions.
4
Standpunkt May 2016
What is the expected transmission
mechanism of negative key rates?
Exhibit 3: Central Bank Assets
in Mrd. E u
ro
Global Central Banks, Total Assets
Indexed (2003=100)
800
800
700
700
600
600
500
500
400
400
300
300
200
200
100
100
0
The main motivation for these decisions was to further ease the
already accommodative monetary policy stance to fight the growing
threat of deflation amid downward pressure on inflation expectations, to deter capital flows and to prevent local currencies from
appreciating.
The five central banks are now charging commercial banks for their
(excess) reserves at the central bank. Negative deposit rates should
provide some encouragement to banks to buy alternative assets and
to increase their loan portfolios, hence to put downward pressure on
yields and borrowing costs. This would be transmitted through the
economy by a general easing of credit conditions.2
In more detail, central banks mention five interconnected monetary
channels via which the monetary stimulus of negative rates aims to
lift (short-term) growth3:
0
2004
2006
FED
2008
ECB
BOJ
2010
2012
People’s Bank of China
2014
2016
SNB
As of 4 May 2016
• The credit channel: Negative interest rates shall deter saving, discourage banks from holding (excess) reserves and encourage borrowing.
Source: Thomson Reuters Datastream
• The asset valuation channel: Negative interest rates boost asset prices by reducing the discount rate on future cash flows from assets, making these more valuable.
However, although central banks reduced interest rates rapidly and
printed money as if there were no tomorrow, zero interest rates were
always widely perceived to be an effective lower bound. There were
limited experiences with negative key rates in a special situation by
the Swiss National Bank in the 1970s, but apart from that short
period the zero lower bound was regarded as some kind of Rubicon
that no-one wanted to pass.
• The portfolio balance and risk taking channel: Negative interest rates encourage investors to shift out of low risk assets into riskier and less liquid assets.
• The reflation channel: Negative interest rates are planned to ward off the risk of debt deflation by boosting inflation expectations.
This has changed in July 2012 when the Danish central bank introduced negative deposit rates (currently the most important key rate)
for the first time, followed later by the central banks of Switzerland,
Sweden, Japan and the Eurozone, with money market rates following suit into negative territory (see exhibit 4).1
• The exchange rate channel: Negative interest rates change financial market flows, thus depreciate the currency to boost net exports, growth, employment and inflation.
Exhibit 4: Money Market Rates
What are theoretical side effects of
negative keyrates?
3M Money Market Rates
6
6
5
5
4
4
3
3
2
2
1
1
0
0
There are several different risks that could make negative nominals
interest rates counterproductive, at least in the long run.
1. Disincentives: The interest rate is the price of capital in the economy. With interest rates on artificially low or negative levels, the price mechanism loses its function. If borrowing becomes a free lunch, it generates incentives for corporations, other ins-
titutions and especially the government to borrow too much. Therefore, the borrowers get a disincentive for fiscal discipline and rational, prudent economic behaviour.
2. Reform fatigue: The unlimited help of central banks for every-
one undermines the pressure on governments, banks and compa-
nies to focus on structural reforms, balance sheet consolidation and efficiency. Therefore, decisions on real economic policy challenges are delayed, the real growth potential, productivity and capital investments weakened.
-1
-1
2000
2002
Sweden, last -0,4
Denmark, last -0,17
2004
2006
2008
2010
Eurozone, last -0,18
Switzerland, last -0,7294
2012
2014
2016
Japan, last -0,24
As of 4 May 2016
Source: Thomson Reuters Datastream
5
Lazard Asset Management
3. Market distortion: Central bank money and interventions have become the main drivers of capital markets returns that dominate fundamentals in setting market valuations. This destroys the risk management aspect of financial markets, increases the risk of bubbles and may cause the crowding out of real economy investments in favor of pure (momentum driven) financial market investments.
In general it seems that the transmission of negative policy rates
works to some extent and the technical, infrastructure and operational problems have remained limited.6 Growth of currency in
circulation has picked up a bit, but cash hoarding per se has not
been observed, yet. This may be a sign that the ultimate effective
lower bound has not been reached, yet. This view is confirmed by
the fact that the gold price was also boosted a bit by negative interest
rates, but is still far away from discounting real stress, disaster or a
borderline situation.
4. Financial Stability Risks: Negative interest rates destroy not only the business models of financial institutions like insurance companies, money markets funds, asset management firms, banks and companies’ pension funds, but undermine the pension systems of entire countries. In a low return / high costs and regulation world, all these institutions are unable to meet their obligations or reach their long term net return targets. This disruption implies substantial risks to the solvability of these institutions and finally financial stability, especially as the effects of demographic shifts endanger the financial system anyway.
However, looking at the real economy, on growth, inflation, current
account balances, employment or productivity, we can state that
monetary policy had a limited effect in the last years, as real numbers
did only change modestly, since the central banks introduced these
unconventional policy steps.
Growth and inflation continued to remain low globally, as the reflationary impulse of the policy measures was mainly counter-balanced
by the strong effect of collapsing oil and commodity prices. Inflation
remained low and was neither replaced by rising inflation nor did we
experience deflation, and inflation expectations continued to slide at
least in the Eurozone (see exhibit 5).
5. Inequality: Many empirical studies suggest that negative interest rates increase income and wealth inequality in the society. Most households will lose from the shrinking returns on their savings, as the main losers of unorthodox monetary policy are small savers, pensioners and life insurance policy holders. The winners are the most highly indebted economic institutions like governments or a limited number of companies, but also many ultra-rich that may use the service of sophisticated asset managers to realize capital gains in financial markets, private equity, private debt, infrastructure projects, real assets or in real estate.4
Exhibit 5: Global Inflation Expectations
Inflation Linked Swap, 10Y
6. Loss of Confidence: Central Banks are perceived as having taken over responsibility for the whole economy and the stability of the political and societal system, especially in the Eurozone and Japan. If the unconventional monetary policy fails or cannot fulfill all the promises in terms of growth, employment or wealth, the outcome could not only destroy the central banks’ credibility, but undermine confidence in the market economy and democra
cy in general.
Real Life Experience with Negative
Interest Rates
4,0
4,0
3,5
3,5
3,0
3,0
2,5
2,5
2,0
2,0
1,5
1,5
1,0
1,0
0,5
0,5
2007
2008
USD
2009
EUR
2010
2011
2012
2013
2014
2015
GBP
As of 4 May 2016
It is still early days in terms of gauging the experience with negative rates, and more time may be needed to make a full assessment.
It may be the case that the duration of negative rates may matter,
as the change of behavior or financial innovations to react to such
structural changes normally take an extended period of time.
Source: Thomson Reuters Datastream
When we look at the financial markets, the influence of unconventional monetary policy has been much clearer and more
pronounced. Since 2009, most asset classes have been in a permanently rising trend and it is not completely exaggerated to suppose
that the central banks at least risk generating multiple asset price
bubbles, obviously mainly in all fixed income markets. The current
valuation can be easier explained by monetary policy decisions than
by fundamentals, as about 40% of all government bonds in the
Eurozone have a negative yield at the moment (see exhibit 6 and 7)
However, at least until now, both the positive and the negative
effects of artificially low or negative interest rates have been more
limited than expected in advance.5 As with quantitative easing of
central banks in general, it is difficult to separate the effects of monetary policy from all the other input factors in the global economy. In
contrast to physics or other sciences, it is not possible to test models
or ideas via experiments and we do not know what would have
happened if monetary policy would have acted differently.
6
Standpunkt May 2016
Exhibit 6: Performance of Asset Classes
Exhibit 8: Steepness of the Yield Curve of the Eurozone
Performance of Asset Classes
German 2Y Schatz Yields and Yield Curve Steepness
since 01/01/2009, in EUR, %
-50
0
50
100
150
200
3,0
10
250
227,7%
ML Euro HY
S&P 500
222,7%
2,5
164,9 %
MSCI World
FTSE Global Core Infrastructure
8
156,3%
148,9 %
BofA ML EM Corporate Plus
2,0
143,4%
EMBI Global Div
Global Cat Bonds
116,9 %
Nikkei
115,3%
112,5%
MSCI EM
6
95,5%
85,9
%
85,8%
UK 10Y Govt
85,7%
Italy 10Y Govt
80,6%
Spain 10Y Govt
76,3%
Gold
73,5%
Silver
1,5
1,0
4
0,5
68,1%
France 10Y Govt
Steepness
2Y Schatz Yield
106,4%
DA X
Copper
MSCI EMU
59,9 %
GBI-EM Global Div
2
59,0%
iBoxx Euro Corp
0,0
58,4%
Germany 10Y Govt
57,9 %
US 10Y Govt
53,5%
Barclays Global Aggregate
46,2%
iBoxx Euro Govt
43,7%
iBoxx Euro Covered
Germany 5Y Bobl
31,6%
Japan 10Y Govt
31,2%
-0,5
0
19,1%
Brent
-1,0
9,2%
Germany 2Y Schatz
Euro Trade Weighted
7,0%
Citigroup 3M Money Market TR
3,9 %
-2
1990
-4,8%
CRB Commodities
-50
0
50
100
150
200
1992
1994
1996
1998
2Y Schatz Yield, last -0,488
250
2000
2002
2004
2006
Steepness 5Y-2Y, last 0,093
As of 4 May 2016
As of 4 May 2016
Source: Thomson Reuters Datastream
Source: Thomson Reuters Datastream
2008
2010
2012
2014
2016
Steepness 10Y-2Y, last 0,685
Negative Interest Rates and the
Financial Sector
Exhibit 7: Share of Negative Yielding Eurozone Government
Bonds
Bonds with negative yields in the iBoxx EUR Sovereigns
in % of the index
40
40
35
35
30
30
25
25
20
20
15
15
10
10
5
5
0
0
One of the discussion points is the importance of negative key
rates on the profitability of the financial sector. While the negative
consequences of low rates on pension funds, money market funds or
insurance companies owing to falling asset income is quite obvious,
the consequences for banks are more complicated. However, the
price development of bank stocks globally in the last years seems to
suggest that unconventional monetary policy at least did not solve
the banks’ problems since the financial market crisis (see exhibit 9).
Exhibit 9: Relative Performance of Bank Stocks
Bank Stocks: Relative Performance to the Regional Index
2014
2015
2016
As of 26 April 2016
110
110
100
100
90
90
80
80
70
70
60
60
50
50
40
40
Source: Thomson Reuters Datastream
What we also can observe is that the efficiency of these unconventional monetary policy decisions has come down dramatically over
time. The introduction of negative interest rates as the preliminary
last step of these decisions did not move currencies very much and
the effect of the shape of the yield curve as an indicator of a reflationary impulse did not exist at all. In the contrary, since the ECB
and others have introduced negative interest rates, the currencies
have stabilized and the yield curve has flattened (see exhibit 8).
2008
2009
2010
2011
2012
MSCI EUROPE COML BANKS $ - RI/MSCI EUROPE U$ - RI
S&P500 BANKS - RI/S&P 500 COMPOSITE - RI
JAPAN-DS Banks/JAPAN-DS Market
As of 4 May 2016
Source: Thomson Reuters Datastream
7
2013
2014
2015
Lazard Asset Management
On the one side, negative deposit rates impose a cost on banks with
excess reserves, thus they erode the bank profitability by narrowing
banks’ net interest rate margins. As banks are (until now) unwilling
to pass through negative deposit rates to their (retail) customers to
avoid the erosion of their customer base and to protect profits (only
large deposits from firms and institutional investors are extensively
paying negative interest rates), the gap between commercial banks’
lending and deposit rates is shrinking.7
Exhibit 10: Euro Area Margin Survey
Additionally, the yield curves have flattened in the last years (i.e.
term premiums came down) despite all the easing measures. Central
bank asset purchases have depressed yields at the long end. As a consequence, banks earn less on long term loans relative to their short
term funding, but also extra returns available from taking on riskier
assets have fallen. The result is that the margins of standard banking
maturity transformation have been compressed, making it more
difficult to rebuild their capital positions from earnings. The ECB’s
new TLTROs at potentially negative rates may be intended to offset
the erosion of bank net interest margins in the Eurozone, but will
only partially counterbalance the problem.8
80
80
60
60
40
40
20
20
0
0
-20
-40
-20
2004
2006
2008
2010
2012
2014
LOAN SVY: NET EFFECT OF MARGIN ON AVERAGE CREDIT TO FIRMS : Euro Zone
LOAN SVY: NET EFFECT - AVERAGE HOUSING CREDIT & MARGINS : Euro Zone
2016
-40
As of 4 May 2016
Source: Thomson Reuters Datastream
To defend profitability, the banks may choose to borrow less from
the central bank, in order to lower excess reserves and avoid the negative deposit rates. This could put upwards pressure on rates on the
interbank and bond markets, offsetting the stimulating impact of the
negative deposit rates. The banks could try to defend their margins
by increasing their lending interest rates, for example for mortgage
loans. They also could see negative rates as incentive to shrink, not
grow. Banks may be encouraged to look for opportunities overseas
rather inside their home markets.
Summary and Outlook
Global nominal GDP growth rates have come down dramatically
over the last decades, as both real GDP growth and inflation manifested a clear downtrend. Neither fiscal, nor economic or monetary
policy was able to stop this trend despite many efforts that have
been made. Especially continental Europe and Japan have been confronted with a serious stagnation and disinflation problem.
On the other, more positive side, banks can realize capital gains on
the sale of their government bonds to central banks and bolster their
capital position and their capacity to extend loans.
Since the financial markets crisis in 2008, the problems have become
even more severe. Due to the high indebtedness of most countries
and the lack of will for structural reforms, monetary policy has taken
over the lonely role of reviving growth. Unconventional monetary
policy like quantitative easing and direct market interventions have
become the norm in the last years.
The net effect of ultra-low or negative key rates is not completely
clear, but the BIS and the ECB’s Euro Era bank lending survey show
that the net interest margin for Eurozone banks has come down
steadily in all business segments, which may reduce the supply of
credit and hamper the financial intermediation (see exhibit 10).
Starting in 2012, the central banks of Denmark, Sweden, Japan,
Switzerland and the Eurozone even crossed the Rubicon and introduced negative deposit rates for the first time in history (with the
exception of Switzerland in the 1970s in a very special situation).
These five central banks are now charging commercial banks for
their reserves at the central bank.
The main motivation for these unconventional policy steps was to
further ease the accommodative monetary policy stance to fight the
downward pressure on inflation expectations by deterring capital
flows and by weakening the local currencies. Central banks want
to encourage commercial banks to increase their loan portfolios,
boosted by a general easing of credit conditions.
8
Standpunkt May 2016
Central banks mention five interconnected monetary channels via
which the monetary stimulus aims to lift growth: the credit channel,
the asset valuation channel, the portfolio balance and risk taking
channel, the reflation channel and the exchange rate channel.
Weitere Lazard Publikationen
Central banks must be aware that several risks could make negative
nominal interest rates counterproductive, at least in the long run.
This unconventional monetary policy may cause disincentives for
prudent economic behavior, facilitate reform fatigue among politicians, could generate market distortions and financial stability risks,
increase income and wealth inequality and endanger confidence in
central banks, politicians and democracy in general.
Standpunkt Juli 2012
Hintergrund Juni 2012
„Aktieninvestments als Inflationsschutz, Teil 2”
„Inflationsindexierte Anleihen”
Hintergrund September 2012
„Investieren in Infrastruktur – Lazard Global Listed Infrastructure”
Standpunkt Juni 2013
It is still too early to gauge the experience with negative rates, but
the first impressions seem to suggest these policy decisions are not
very effective and have more influence on the financial markets than
on the real economy. It is not completely exaggerated to suppose
that the central banks at least risk to generate multiple asset price
bubbles, obviously mainly in fixed income markets, as about 40% of
all government bonds in the Eurozone have a negative yield at the
moment.
„Boulevard der Dämmerung – ein Zwischenbericht zur Entwicklung
der Europäischen Währungsunion”
Hintergrund August 2013
„Emerging Markets Corporate Bonds”
Hintergrund September 2013
„Globale Renten, Währungsmanagement und Benchmarks”
The disastrous net effect of low or negative rates on pension funds,
money market funds or insurance companies owing to falling asset
income is quite obvious, but the net effect of the new decisions on
the profitability of the banks is also most likely negative, especially
as the yield curves have flattened dramatically after the decisions.
The net interest margin for Eurozone banks has come down steadily
in all business segments, which may reduce the supply of credit and
hamper the financial intermediation.
Standpunkt November 2013
„Investmentrestriktionen, Risikobudgets und Anlageerfolg”
Standpunkt März 2014
„Kapitalanlagen im Zeitalter des Euro”
Standpunkt Mai 2014
„Warum Emerging Markets Debt Investments?”
Verfasser: Werner Krämer
Tel: 069 / 50606–140
Hintergrund Juni 2014
„Alternative Indizes im Asset Management?”
Standpunkt August 2014
Literaturverzeichnis
„Kollateralschäden - über die unerwünschten Nebenwirkungen
hyperexpansiver Geldpolitik?”
M. Bech / A. Malkhozov: How have central banks implemented negative policy rates,
BIS Quarterly Review, March 2016, S. 31-45.
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Hintergrund März 2015
World Bank: Negative Interest Rates in Europe, World Bank Global Economic Outlook,
June 2015, p. 13-25.
2
„Smart Beta – Alter Wein in neuen Schläuchen?”
H. Hannoun: Ultra-low or negative interest rates: what they mean for financial stability
and growth, BIS Euro Finance High Level Seminar, Riga, 22.4.2015.
3
Hintergrund April 2015
K. Adam / P. Tzamourani: Distributional consequences of asset price inflation in the euro
area, Deutsche Bundesbank Discussion Paper, no. 27/2015.
4
„Indexbenchmarks für Emerging Markets Debt”
O. Adler: Negative interest rates one year on, Credit Suisse, Investment Strategy &
Research, Monitor Switzerland, December 2015.
5
Hintergrund Mai 2015
H. Jackson: The International Experience with Negative Policy Rates, Bank of Canada
Staff Discussion Paper, 2015-13.
6
„New Kids of the Bank – CoCo-Anleihen”
C. M. Jensen / M. Spange: Interest Rate Pass-Through and the Demand for Cash at
Negative Interest Rates, Danmark National Bank Monetary Review, Q2-2015, S. 1-12.
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Hintergrund August 2015
N. Andrews: No relief for European banks, GavekalResearch Daily Paper, April 12, 2016.
„Vom Charme aktiven Portfolio Managements”
Hintergrund März 2016
„Tracking Error und Active Share – Alles aktiv oder was? ”
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