L'insostenibile leggerezza dei Bund tedeschi nell'area Euro

Aliano, M.

;Lo Cascio, M.

2013-01-01

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Abstract

Both the economic literature and the International Organizations Report’s on the sovereign debts yield’s in the Euro Area do not seem to have covered the issue on the asset allocation specific ground. This paper attempts to fill this gap with naïve quantitative analyses and scenario’s projections, focusing on the four major Eurozone countries (Germany, Italy, France and Spain). The approaches adopted are centered on the interactions between short-term behaviors (CAPM type models for a hypothetical fund investments in sovereign bonds) and medium- long behaviors linked to the macro fundamentals (debt and deficit on GDP). To some extent, the results fit better than obtained from current models (consensus models): portfolio time-varying Beta’s captures the divergent behaviors of the rates between Germany, Italy, France and Spain coupled with the impact of single countries macro-fundamentals. The various scenarios prospects covering the end of 2013 and the beginning of the 2014 exclude a realignment of South Countries spreads without a substantial increase of German rates (roughly speaking, the same rates of the Treasury Bills). Furthermore, 200 basis points spread between Italian Bond and benchmark Deutschland Bond is foreseeable only by (literature’s counterintuitive) measures to comprise Germany debt and deficit, similar to those adopted by Italy and Spain, and in progress in France. In all et all and finally, the results suggest a focus on the risks due to the effect of a dramatic reduction German bonds price, i.e. the risks that the asset purchases of German bonds (today a sort of safe haven and insurance for the other bonds of the euro area) may to shrink due to some shock/expectations changes of a big international investor and subsequent domino effects.