miércoles, noviembre 19, 2008

La Triple Crisis de la Economía Norteamericana

Dominique Strauss-Kahn (DSK), el conquistador Director Ejecutivo del FMI se ha disculpado caballerosamente ante el mundo, su fiel staff y su tercera esposa, por la romántica noche que pasó en enero con una profesional senior de la institución en el paradisíaco ressort alpino de Davos. Ocho meses después reconoció públicamente que ese “incidente” fue un “error de juicio”, lo que aceptaron, tanto su liberal mujer, como el estudio de abogados externo del Fondo que investigó el asunto, dada la sospecha de nepotismo. Con lo que no perdió, ni la cama de su casa, ni el escritorio de su oficina, a diferencia del tristemente célebre presidente del Banco Mundial que fuera desaforado el año pasado por una hazaña donjuanesca algo más larga y truculenta.

Sin embargo, me temo que DSK tendrá que disculparse nuevamente ante el mundo por otro error de juicio, este sí ya serio, al afirmar desde París después de la reunión del G-7, que “gracias a las decisiones que se acaban de adoptar, el pico de la crisis ha quedado atrás; eso es lo que veremos en los próximos días” (Reuters, octubre 13). Por supuesto que, desde entonces en adelante, durante estas últimas cinco semanas sucedió todo lo contrario: el Dow Jones ha caído 10% (y -42% desde su máximo alcanzado en agosto del año pasado); la tasa de desempleo norteamericana ha llegado al 6,5% y las ventas al por menor cayeron 2,8% el mes de octubre; por la recesión (en el tercer trimestre de este año la economía decreció -0,3%), que va afectando a gran parte del orbe, se redujeron aún más los precios de los principales metales (cobre, -26%; zinc, -5%; plomo, -17%, plata, -16%; y hasta el oro en -13%) y, entre otras calamidades, hasta el del petróleo (-29%), a pesar de que la OPEP ha recortado su producción diaria en 1,5 millones de barriles.

De ahí que, quienes sigan considerando que esta crisis ha tocado fondo y que se disipará en doce o dieciocho meses no tardarán de desilusionarse, por más que los gobiernos estén interviniendo decididamente en la economía para recuperar la confianza de empresarios y consumidores. Pero asumamos que efectivamente dentro de un año se haya logrado este objetivo. ¿Sería el fin de la turbulencia global? A nuestro entender será recién ese el momento en que se detecten los problemas de fondo de la economía mundial y, en especial, de la norteamericana. Porque no debemos olvidar que –entre las faldas de las precarias condiciones financieras- se encuentran agazapados dos fenómenos estructurales adicionales, que no han merecido la debida atención.

El primero hace referencia a los tremendos desequilibrios macroeconómicos de la economía norteamericana, los que tendrán que ser afrontados una vez resuelto el entuerto financiero. Porque EEUU se ha acostumbrado a vivir bastante más allá de sus posibilidades reales, generando fenomenales brechas, las que fueron financiadas por el resto del mundo. En efecto, por una parte, las familias han gastado en exceso, a tal punto que, de ahorrar un 13% de su ingreso personal disponible en 1982, ha ido descendiendo al 2% en el último trienio, tasa que evidentemente corresponde a los estratos de altos ingresos, que fueran bendecidos por la reducción de los impuestos a la renta desde las épocas de Reagan. La gran mayoría se sobreendeudó, tanto por la ilusión del ‘efecto riqueza’ que significaba el aumento de los precios de sus viviendas, como por el abundante crédito disponible a tasas de interés reales irrisorias. Incluso la deuda de las empresas no financieras aumentó en 700% en ese lapso. De otra parte, el gasto y la inversión del gobierno federal también se expandieron a tasas irresponsablemente aceleradas, a tal punto que el déficit fiscal, que se dio todos los años desde 2002, ya se acerca al 5% del PBI. El año próximo llegaría al 7%, como consecuencia de las diversas medidas de salvataje y ‘estatización’ que implica el ‘Plan Paulsen’ y demás. La deuda pública bruta de EEUU ha llegado al 65% de su PBI y es evidente que el 2009 aumentará en 5 a 10 puntos porcentuales. Gracias a ese alegremente despreocupado gasto privado y público, las importaciones de bienes aumentaron a velocidades de Fórmula 1, sin una contrapartida exportadora aceptable, con lo que el déficit de la Balanza Comercial se duplicó entre el trienio 2000-02 y el 2006-08, pasando de US$ 400.000 millones anuales a 800.000’ o 6% de su PBI, estimado en 14 biillones para este año.

En pocas palabras, una vez que se hayan curado las heridas de la mal llamada ‘burbuja hipotecaria’, cuando se haya restablecido espuriamente la confianza de los agentes económicos, el gobierno norteamericano tendrá que afrontar desequilibrios aún mayores: la falta de ahorro doméstico y el déficit externo que lo agobia, con lo que se iniciaría una nueva ronda de ajustes, que también pondrá en aprietos al resto de economías globalizadas. Ciertamente que para felicidad de los organismos internacionales, que nuevamente tendrán trabajo y para los economistas que gozan con el estudio de las crisis; pero para infortunio de la mayoría de la población mundial.

Pero con ello entramos al tema central de la tríada nefasta que afronta EEUU en lo económico. Aparte de la crisis financiera y los desequilibrios macroeconómicos mencionados, el problema de fondo radica en la falta de alicientes para la inversión productiva de largo plazo. Consideramos que el origen último de la debacle norteamericana y la de sus socios radica precisamente en la osteoporosis productiva que las aqueja, a falta de innovaciones tecnológicas sustanciales que permitan transitar por una nueva onda larga de acumulación y crecimiento. En efecto, ¿Sobre qué bases productivas se podría sustentar una recuperación de la inversión y del crecimiento económico de largo plazo en los países ‘desarrollados’, de los que tanto seguimos dependiendo? ¿Sería la industria de automóviles, del acero, de la energía, de las telecomunicaciones y similares, cuando bien sabemos que están en franco declive? Ahí es donde radica el quid del problema estructural de las economías de mercado contemporáneas, pero que para entenderlo nos obliga a remitirnos a las bases sobre las cuales se desarrolla inexorablemente el capitalismo y que motoriza las inversiones sostenidas a gran escala, provenientes de los ‘espíritus animales’ de los empresarios y de las condiciones materiales e institucionales de producción.

Personalmente creíamos que se iba a iniciar una nueva onda larga en 1992 y que efectivamente comenzó a plasmarse en la burbuja tecnológica del ‘dot.com’, pero que resultó ilusa cuando explotó en el año 2001. Y es que parecía que vendría propulsada por diversas innovaciones revolucionarias (informática, telecomunicaciones, biotecnología, robótica, energía atómica y similares), las que no llegaron a cuajar y que probablemente –en una década, en el mejor de los casos– permitirían el inicio de un renovado ciclo expansivo de recuperación y auge de varias décadas en el mundo altamente industrializado. Esto coincide con el paradigma de las ‘ondas largas’ del capitalismo (Kondratieff-Schumpeter-Mandel) y de acuerdo al cual el sistema –desde la Revolución Industrial– ha progresado en forma oscilante por extendidos ciclos de entre 40 y 60 años de duración, cada uno de los cuales se sustentó en una serie de ‘innovaciones’, tales como la de los ferrocarriles y los vapores, la de la electricidad y los automóviles, etc.. Una compleja combinación de éstas (nuevas tecnologías, productos, materias primas, fuentes de energía, mercados y similares), apoyada por sustanciales créditos, despertaban los ‘espíritus animales’ del empresariado y daban lugar a una manada de inversiones que llevaron a la bonanza macroeconómica por un periodo de veinte a treinta años, momento a partir del cual languidecían por unos 20 a 30 años como consecuencia de la sobreproducción y la caída de la tasa promedio de ganancia. Esperemos, pues, que otras innovaciones de esa magnitud puedan llevarse a cabo sobre la base del surgimiento de manadas de jóvenes empresarios schumpeterianos para poder resucitar la alicaída economía mundial.

2 comentarios:

Marco Varea dijo...

Estimado Jurgen, Mi cuñado Alberto A. envio esto. Gracias a el ya tengo tu blog. Tres comentarios: i)Como siempre tus articulos son muy buenos; ii) El Fondo no se imagino ni le vio a la actual crisis internacional; iii) este articulo de Martin Wolf del Financial del miercoles ratifica en cierta forma tu hipotesis sobre los ciclos de Kondratieff. Lo copio a continuacion. Saludos, Marco
Why fairly valued stock markets are an opportunity
By Martin Wolf

Published: November 26 2008 02:00 | Last updated: November 26 2008 02:00

We have bad news and good news. The bad news is that the world economy is teetering on the brink of what may well be the most damaging slowdown since the second world war. Policymakers around the world - particularly in the inordinately complacent surplus countries - do not begin to understand what this may mean. The good news is that, after an extended period of overvaluation, stock markets are, at last, attractively priced. This should have enticing implications for investors and even for audacious governments.

How does one measure fundamental value? The chart shows two such measures - "Q" and the "cyclically adjusted price earnings ratio" (Cape).

The first of these measures derives from the work of the late James Tobin, a Nobel laureate economist. Q is the ratio of the value of an individual stock (or of the stock market as a whole) to net assets, at replacement cost. Tobin initially proposed this ratio as a way of explaining investment. Andrew Smithers of London-based Smithers & Co, from whom I have obtained the data, realised that Q could be turned round, to value the stock market, instead: high Q then forecasts not so much an investment surge as a stock market fall, and vice versa. If the stock market values the net worth of a company at far more than it costs to re-create its assets, either assets should expand or the market valuation should fall. In practice, argues Mr Smithers, it is more likely that the market is wrong than the investment decisions of companies.

The second of these measures has been used, in particular, by Robert Shiller of Yale University. The denominator is a 10-year moving average of earnings, in real terms. The purpose of this adjustment is to eliminate the cyclical effects on earnings that make price/earnings ratios look low at cyclical peaks, when earnings exceed sustainable levels. At times of rapidly increasing leverage, such as the 2000s, cyclically unadjusted earnings are likely to prove particularly meaningless because they are intensely vulnerable to changes in economic conditions. Leverage, after all, works both ways.

These two indicators should, if properly measured, give much the same result. The chart, which measures Q and Cape, relative to their long-run averages for the US, shows that they do.

What, then, does it show? I would focus on five principal conclusions.

First, valuations show pronounced long-term cycles. They are not a "random walk". But these cycles are so long that it is nigh on impossible for investors to bet successfully against them: they will run out of money before momentum-driven markets change their mind. This is why markets may be inefficient and yet private investors cannot easily make money betting against them.

Second, the market has seen three peaks since 1920: 1929, 1965 and, biggest of all, 1999 (on the Cape). Prolonged bear markets followed in all cases. Peaks were, in other words, bad times to "buy and hold" - the recommended strategy in the 1990s.

Third, the market has also seen two bear market troughs since 1920: 1932 and 1981. These were excellent times to buy stocks. It helps if purchasers are patient: the period from trough to subsequent peak was 33 years and 18 years, respectively.

Fourth, the US stock market has been in a bear market since 2000, with two downward legs, 2000-2002 and 2007 until now. In the first leg, corporate investment remained weak, as stock prices collapsed. In the second leg, the credit and housing bubbles - partly explained by the Federal Reserve's response to that investment weakness - imploded. This story is normal: bear markets usually coincide with periods of recession (see chart).

Finally, today's valuations are considerably below average for the first time since 1988, on the Cape, and 1991, on Q. This does not mean they could not fall far further and, in bad conditions, they are even likely to do so. But, unless one expects another Great Depression and world war, history suggests valuations should not remain below current levels for more than, say, 15 years or so. That may not sound very enticing. But it is a different story from what people like Prof Shiller and Mr Smithers argued back in 1999, when history suggested one might never see such valuations again. Rational people would buy now, not then. Rational people, alas, are rare. As Warren Buffett has argued, buy when "Mr Market" is scared, not when he is bold.

The average valuation of the US stock market corresponds to a real return of 6½-7 per cent, which implies an "equity risk premium" - a margin of return over risk-free government bonds - of about 4 percentage points. This has long seemed high. During the great bull market of the 1990s, some even argued that no such premium was justified. But if one has to ask why equity holders should be risk-averse, one need only look at history. For mortals (rather than immortal institutions), the risk of being caught in a bear market (that is, a period of below average valuations) for 15 years, as happened from 1973 to 1988, is scary. Anybody retiring today knows this.

Directly comparable data are unavailable for other markets. But data on ratios of stock market valuation to gross domestic product for the world, the European Union and the UK, since 1980, have a similar pattern to those of the US. Correlation across markets is so close that what applies to the US should apply to the rest. Japan is different, however. The valuation peak there was in 1990.

I draw four implications. The first is that investors with long time horizons (the relatively young, or institutions) are, for the first time in almost two decades, confronting attractive, although not sensationally attractive, market valuations. The second is that there are, nevertheless, formidable pressures for further falls in valuations, as leveraged players continue to be forced to offload assets at bargain prices. The third is that bottom-fishing investors may at last start to supply some of the equity capital that companies - particularly financial companies - need, once a floor on asset prices is at last set.

Finally, governments might sensibly act as stabilising speculators, as John Muellbauer of Oxford university and Michael Spence, the Nobel laureate from Stanford University, suggested in yesterday's Financial Times and on the economists' forum , respectively. Governments have the deep pockets and the time horizon that is needed. They can offload what they buy when markets have recovered. To the extent that the collapse of markets is self-feeding, such actions should also stabilise the economy. Given the unprecedented actions taken in recent months, this no longer seems a policy step too far.

martin.wolf@ft.com

Marco Varea dijo...

Jurgen, mi cuniado Alberto A. me envio este articulo y gracias a el, ya tengo tu blog. Dos comentarios: i) El FMI no le olio, no se imagino y por supuesto no le vio venir a la crisis del subprime y sus desencadenamientos; ii) este articulo del Martin Wolf del Financial Times del miercoles 26 de alguna forma ratifica tu hipotesis de los ciclos de kondratieff. Lo copio a continuacion para tu interes. Recomendable ver la version original para los graficos. Saludos, Marco

Why fairly valued stock markets are an opportunity
By Martin Wolf

Published: November 26 2008 02:00 | Last updated: November 26 2008 02:00

We have bad news and good news. The bad news is that the world economy is teetering on the brink of what may well be the most damaging slowdown since the second world war. Policymakers around the world - particularly in the inordinately complacent surplus countries - do not begin to understand what this may mean. The good news is that, after an extended period of overvaluation, stock markets are, at last, attractively priced. This should have enticing implications for investors and even for audacious governments.

How does one measure fundamental value? The chart shows two such measures - "Q" and the "cyclically adjusted price earnings ratio" (Cape).

The first of these measures derives from the work of the late James Tobin, a Nobel laureate economist. Q is the ratio of the value of an individual stock (or of the stock market as a whole) to net assets, at replacement cost. Tobin initially proposed this ratio as a way of explaining investment. Andrew Smithers of London-based Smithers & Co, from whom I have obtained the data, realised that Q could be turned round, to value the stock market, instead: high Q then forecasts not so much an investment surge as a stock market fall, and vice versa. If the stock market values the net worth of a company at far more than it costs to re-create its assets, either assets should expand or the market valuation should fall. In practice, argues Mr Smithers, it is more likely that the market is wrong than the investment decisions of companies.

The second of these measures has been used, in particular, by Robert Shiller of Yale University. The denominator is a 10-year moving average of earnings, in real terms. The purpose of this adjustment is to eliminate the cyclical effects on earnings that make price/earnings ratios look low at cyclical peaks, when earnings exceed sustainable levels. At times of rapidly increasing leverage, such as the 2000s, cyclically unadjusted earnings are likely to prove particularly meaningless because they are intensely vulnerable to changes in economic conditions. Leverage, after all, works both ways.

These two indicators should, if properly measured, give much the same result. The chart, which measures Q and Cape, relative to their long-run averages for the US, shows that they do.

What, then, does it show? I would focus on five principal conclusions.

First, valuations show pronounced long-term cycles. They are not a "random walk". But these cycles are so long that it is nigh on impossible for investors to bet successfully against them: they will run out of money before momentum-driven markets change their mind. This is why markets may be inefficient and yet private investors cannot easily make money betting against them.

Second, the market has seen three peaks since 1920: 1929, 1965 and, biggest of all, 1999 (on the Cape). Prolonged bear markets followed in all cases. Peaks were, in other words, bad times to "buy and hold" - the recommended strategy in the 1990s.

Third, the market has also seen two bear market troughs since 1920: 1932 and 1981. These were excellent times to buy stocks. It helps if purchasers are patient: the period from trough to subsequent peak was 33 years and 18 years, respectively.

Fourth, the US stock market has been in a bear market since 2000, with two downward legs, 2000-2002 and 2007 until now. In the first leg, corporate investment remained weak, as stock prices collapsed. In the second leg, the credit and housing bubbles - partly explained by the Federal Reserve's response to that investment weakness - imploded. This story is normal: bear markets usually coincide with periods of recession (see chart).

Finally, today's valuations are considerably below average for the first time since 1988, on the Cape, and 1991, on Q. This does not mean they could not fall far further and, in bad conditions, they are even likely to do so. But, unless one expects another Great Depression and world war, history suggests valuations should not remain below current levels for more than, say, 15 years or so. That may not sound very enticing. But it is a different story from what people like Prof Shiller and Mr Smithers argued back in 1999, when history suggested one might never see such valuations again. Rational people would buy now, not then. Rational people, alas, are rare. As Warren Buffett has argued, buy when "Mr Market" is scared, not when he is bold.

The average valuation of the US stock market corresponds to a real return of 6½-7 per cent, which implies an "equity risk premium" - a margin of return over risk-free government bonds - of about 4 percentage points. This has long seemed high. During the great bull market of the 1990s, some even argued that no such premium was justified. But if one has to ask why equity holders should be risk-averse, one need only look at history. For mortals (rather than immortal institutions), the risk of being caught in a bear market (that is, a period of below average valuations) for 15 years, as happened from 1973 to 1988, is scary. Anybody retiring today knows this.

Directly comparable data are unavailable for other markets. But data on ratios of stock market valuation to gross domestic product for the world, the European Union and the UK, since 1980, have a similar pattern to those of the US. Correlation across markets is so close that what applies to the US should apply to the rest. Japan is different, however. The valuation peak there was in 1990.

I draw four implications. The first is that investors with long time horizons (the relatively young, or institutions) are, for the first time in almost two decades, confronting attractive, although not sensationally attractive, market valuations. The second is that there are, nevertheless, formidable pressures for further falls in valuations, as leveraged players continue to be forced to offload assets at bargain prices. The third is that bottom-fishing investors may at last start to supply some of the equity capital that companies - particularly financial companies - need, once a floor on asset prices is at last set.

Finally, governments might sensibly act as stabilising speculators, as John Muellbauer of Oxford university and Michael Spence, the Nobel laureate from Stanford University, suggested in yesterday's Financial Times and on the economists' forum , respectively. Governments have the deep pockets and the time horizon that is needed. They can offload what they buy when markets have recovered. To the extent that the collapse of markets is self-feeding, such actions should also stabilise the economy. Given the unprecedented actions taken in recent months, this no longer seems a policy step too far.

martin.wolf@ft.com