QE3, une politique accommodante jusqu’à mi-2015, des estimations de croissance revues en hausse, la Fed a multiplié les annonces pour affirmer son soutien à l’économie américaine, provoquant une vive réaction sur les marchés financiers (matières premières, actions émergentes, or ou devises). Voici quelques réactions et commentaires d’économistes suite à ces annonces (ce papier sera mis à jour au cours de la journée).
Bank of America Merrill Lynch
« The FOMC’s announcement yesterday went beyond the dovish expectations of most investors. Not only did the Fed commit to open-ended quantitative easing, but it left vague the criteria by which it would continue QE, only stating the reliance on whether the “outlook for the labor market… improve[s] substantially”. There were numerous signs in the statement that the Fed would subordinate its treatment of the inflation mandate in favor of increasing the focus on the full-employment mandate. Finally, it appears that the Fed’s implied reaction function linking the first rate hike with the unemployment rate has changed substantially, leading one to conclude that its tolerance for inflation risk has increased. As a result, we believe the rally in inflation products such as TIPS will continue. »
« The FOMC has set the agenda that is liable to drive markets in the coming weeks, with euro market uncertainty reduced during this period after a week of relatively benign outcomes. The open-ended strategy to asset purchases that the Fed has adopted provides them with flexibility that may prove particularly useful into year-end if the threat of the fiscal cliff continues to loom; but Chairman Bernanke acknowledged that FOMC tools are unlikely to be strong enough to offset the negative economic impact if no fiscal deal is concluded.
Initial outright and curve moves were not especially violent, with the 5y sector naturally outperforming on the news given that the only new purchases for now will be in agency MBS, but we see it notable that the sharpest rally in the rates sphere was in TIPS real yields, with CPI swaps also rising almost as much as bond breakevens. This likely stems from the changed language in the statement that appeared to reduce Fed conditionality, even though the extension to reference a mid-2015 timeframe was of no surprise. The phrase, « the committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable length of time after the economic recovery strengthens. » implies a changed FOMC reaction function that may be more sensitive to growth and employment than rises in inflation over the coming years. »
« The big question now is how much impact these new measures will have on the economy. Indeed, the transmission mechanism of monetary policy has been impaired by the present low rates and the disruption in the mortgage market. Mr Bernanke thinks the new measures will help the economy in lowering mortgage rates, supporting asset prices and inducing economic agents to spend and invest. New forecasts by the FOMC include this positive impact, as growth forecasts have been slightly upgraded for 2013 and beyond (Figure 2). Nevertheless, Bernanke also acknowledged the Fed would be quite powerless if this fiscal cliff was allowed to take effect in 2013. Our view is that unconventional easing policies have diminishing economic returns, but still have some positive effect through slightly improved financial conditions. »
Nomura (recherche taux)
« With a central bank that‟s absorbing a significant amount of duration (roughly 1.4x QE2‟s pace) and one that has now introduced QE alongside communication language and an ongoing twist program, we do not expect an exact repeat of the 2010 rate sell-off post QE2 (hint, hint, the Jackson Hole speech was an early read that the Chairman has learned from the mistakes of using a blunt QE). Price action post the statement suggests that some investors were setting up for such a down trade. That soon reversed and rates did finish lower on the day across the curve, except 30s. Given the flexibility that the Fed now has in terms of pace, time and choice of securities (i.e., even after twist ends the Fed can reintroduce UST buying at will with this structure) we feel unlikely that rates will sell off meaningfully from here. Therefore, the range will get tighter and a backup in rates would only come sometime after the economy starts to improve substantially. We move back to neutral and would recommend dip buying for now. »
« For those that might have been disappointed by the FOMC’s failure to announce additional purchases of Treasury securities we suggest patience. The FOMC will have two additional employment reports in hand by the time of the December 11-12 meeting. If, as we suspect, payroll gains remain lukewarm in September and October, the FOMC could use the last meeting of 2012 to announce a Treasury purchase program that would commence once the current “twist” programme lapsed. »