What will the next crisis look like?

Posted on 29. Mar, 2010 by Jean Jacques Ohana in Weekly Focus

The « Black Swan » theory, introduced by Nassim Taleb, contends that market disruptions arise in a totally unpredictable manner, independently of the players’ behaviour. Yet, most market disruptions are endogenous to the financial system, the final dislocation representing a phase transition of an unstable system from a state of expansion to a state of implosion.
The financial [...]

Deciphering sugar roller coasters

Posted on 27. Mar, 2010 by Jean Jacques Ohana in Weekly Focus

Sugar prices have gone through highly turbulent times since 2009 as illustrated by the chart below:

After a sharp rise in 2009 and Jan 2010, the sweeter reached 30 cents /lb (gaining 25% in the last six months of 2009), before collapsing to 17 cents /lb, (32% loss since February 2010).
At the end of 2009, several [...]

The breakdown of oil to gas relationship

Posted on 22. Mar, 2010 by Steve Ohana in Weekly Focus

From 1998 to Jan 2009, oil and natural gas long term prices have moved more or less in tandem. Heating oil and natural gas are indeed substitutes in electricity generation and certain industrial uses, which induces fuel switching and price correlation in the short or medium terms. Yet, since January 2009, natural gas prices have [...]

Contribution dans Capital

Posted on 19. Mar, 2010 by Riskelia in Presse, Weekly Focus

Jean-Jacques Ohana était interrogé dans une enquête de Marie Charrel pour le magazine Capital.
“Où s’arrêtera l’incroyable envolée de l’or ?”

Does oil respond to speculation or fundamentals?

Posted on 17. Mar, 2010 by Steve Ohana in Weekly Focus

The energy complex seems to go through a highly interesting new period accumulating several bullish signs. From the beginning of 2009 onwards, the oil curve has been flattening consistently, meaning that the harm inflicted by the contango to long investors has considerably decreased over time as exhibited in the chart below:

Sources : Bloomberg, Riskelia’s estimates, the [...]

Deciphering the G10 sovereign debt crisis: a macroeconomic perspective

Posted on 14. Mar, 2010 by Jean Jacques Ohana in Weekly Focus

When a country runs a current account deficit, the private sector and the public sector cannot deleverage at the same time. Let us explain this simple fact.
There is an economic equilibrium relating current account balance, budget balance and private sector balance:
Private Balance + Budget Balance = Current Account Balance
where we denote Private Balance = Private [...]

Do we need to prevent CDS trading on Government debt?

Posted on 10. Mar, 2010 by Jean Jacques Ohana in Weekly Focus

Is speculation on government bonds Credit Default Swaps (CDS) responsible for the crisis on G10 sovereign debt?
In virtue of market efficiency theory, the tenants of a CDS free market assert that CDS give the right signal on the anticipated default probability, hence contribute to informed investment and “optimal” resource allocation.
Actually, the question deserves to be [...]

Euro’s fall or dollar’s rise?

Posted on 06. Mar, 2010 by Jean Jacques Ohana in Weekly Focus

The EUR dropped from 1.50 USD to 1.36 USD in two months. Many reasons have been invoked to explain the demise of the euro: governance failure within the euro zone, failure to set up credible assistance measures to help countries with worrying public debt burdens such as Greece, Portugal and Spain.

Value of one euro in [...]