Depuis quelques jours, les investisseurs ont repris le chemin des actifs risqués (dans des proportions parfois suprenants – ex les matières premières). On a beaucoup parlé du sommet de l’UE. Mais il semble surtout que ce qui motive le plus les investisseurs, c’est l’engagement plus formel des autorités monétaires. Aujourd’hui, c’est au tour de la BCE de faire des annonces. Le minimum attendu est une baisse de 25 points de base des taux directeurs… mais pas seulement.

« The strong expectation in markets is that the ECB will do a refit cut and some reduction in deposit rates, but if this is all they do we think investors will walk away disappointed and sell the euro.

Our economists are expecting the ECB to cut the refi rate by 25 bps and move the deposit rate down to 10bps.The Bloomberg consensus has 46 forecasters expecting a refi move to 75bps, 5 to 50bps and 11 staying flat at 100bps. Of the forecasts time-stamped after the summit 30 expect a move to 75bps, 1 to 50bps and 6 for the ECB to stay flat. Money market rates have come down both since the Summit and over the last month but the moves have been modest, reflecting the low effective overnight EONIA rate (around 34bps) that have been in place for some months (Figure 1). So while the BBG forecasts may point to a slightly more hawkish post-Summit distribution of outcomes, we would go with the market pricing that points to some further easing.

The tightening of euro zone GDP-weighted average CDS (SOVCDS) and run-up in euro zone bank stocks (SX&E) also point to a continuation of the post-Summit optimism (Figure 2). If anything, the EUR is lagging the tightening of CDS and the bank stock gains.

With effective rates trading well below the policy rate it is very difficult to gauge exactly what the market is expecting from the ECB. Clearly the cut to 75bps is a strong consensus view and there probably is some deposit rate cut also expected. In practice these would amount to little more than showing the flag – were the euro zone’s sovereign debt issues solvable via policy rate cuts, those would have been put in place long ago. »

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