Bernanke sobre tasas de interés de largo plazo: resumen, gráficas y pasajes principales

Genevieve Signoret & Patrick Signoret

En un discurso el viernes 1 de marzo, el Presidente de la Reserva Federal Ben Bernanke defendió con más detalle y extensión que nunca antes su postura a favor de mantener bajas las tasas de interés de largo plazo. Resumiendo en tres renglones: (1) hay buenas razones por las que las tasas de interés de largo plazo actualmente son tan bajas; (2) aunque tener tasas bajas durante mucho tiempo crea riesgos de inestabilidad financiera, son riesgos manejables; y (3) permitir que las tasas suban de manera prematura correría el riesgo de descarrilar la recuperación y, paradójicamente, prolongar más todavía la era de tasas bajas.

Bernanke comienza observando que las tasas de interés de largo plazo han tendido a la baja no sólo en EE UU, sino también en otras economías desarrolladas:

 

¿Por qué son tan bajas las tasas de interés de largo plazo? Han caído sus tres componentes: (a) expectativas de inflación; (b) expectativas sobre la trayectoria de tasas de interés de corto plazo; (c) la prima por plazo (term premium). Énfasis nuestro (aquí y en todos los pasajes):

So, why are long-term interest rates currently so low? To help answer this question, it is useful to decompose longer-term yields into three components: one reflecting expected inflation over the term of the security; another capturing the expected path of short-term real, or inflation-adjusted, interest rates; and a residual component known as the term premium. Of course, none of these three components is observed directly, but there are standard ways of estimating them. Chart 2 displays one version of this decomposition of the 10-year U.S. Treasury yield based on a term structure model developed by Federal Reserve staff.

 

[…] All three components of the 10-year yield have declined since 2007. The decomposition attributes much of the decline in the yield since 2010 to a sharp fall in the term premium, but the expected short-term real rate component also moved down significantly.

(a) Expectativas de inflación.

The expected inflation component has drifted gradually downward for many years and has become quite stable.

The anchoring of long-term inflation expectations near 2 percent has been a key factor influencing long-term interest rates over recent years. It almost certainly helped mitigate the strong disinflationary pressures immediately following the crisis.

(b) Trayectoria esperada de tasas de interés de corto plazo.

 […] The expected path of short-term real interest rates is, of course, influenced by monetary policy, both the current stance of policy and market participants’ expectations of how policy will evolve. The stance of monetary policy at any given time, in turn, is driven largely by the economic outlook, the risks surrounding that outlook, and at times other factors, such as whether the zero lower bound on nominal interest rates is binding. In the current environment, both policymakers and market participants widely agree that supporting the U.S. economic recovery while keeping inflation close to 2 percent will likely require real short-term rates, currently negative, to remain low for some time. [The] expected average of the short-term real rate over the next 10 years has gradually declined to near zero over the past few years, in part reflecting downward revisions in expectations about the pace of the ongoing recovery and, hence, a pushing out of expectations regarding how long nominal short-term rates will remain low.

[…] Chart 3, which displays yields on inflation-indexed, long-term government bonds for the same five countries represented in chart 1, shows that expected real yields over the longer term are low in other advanced industrial economies as well.

 

(c) Prima por plazo (term premium).

 […] In general, the term premium is the extra return investors expect to obtain from holding long-term bonds as opposed to holding and rolling over a sequence of short-term securities over the same period. In part, the term premium compensates bondholders for interest rate risk–the risk of capital gains and losses that interest rate changes imply for the value of longer-term bonds. Two changes in the nature of this interest rate risk have probably contributed to a general downward movement of the term premium in recent years. First, the volatility of Treasury yields has declined, in part because short-term rates are pressed up against the zero lower bound and are expected to remain there for some time to come. Second, the correlation of bond prices and stock prices has become increasingly negative over time, implying that bonds have become more valuable as a hedge against risks from holding other assets.

Beyond interest rate risk, a number of other factors also affect the term premium in practice. For example, during periods of financial turmoil, the prices of longer-term Treasury securities are often driven up by so-called safe-haven demands of investors who place special value on the safety and liquidity of Treasury securities. Indeed, even during more placid periods, global demands for safe assets increase the value of Treasury securities.

Federal Reserve actions have also affected term premiums in recent years, most prominently through a series of Large-Scale Asset Purchase (LSAP) programs. […This] portion of the decline in the term premium might ultimately be attributed to the sluggish economic recovery, which prompted additional policy action from the Federal Reserve.

Un resumen de lo visto hasta el momento:

Let’s recap. Long-term interest rates are the sum of expected inflation, expected real short-term interest rates, and a term premium. Expected inflation has been low and stable, reflecting central bank mandates and credibility as well as considerable resource slack in the major industrial economies. Real interest rates are expected to remain low, reflecting the weakness of the recovery in advanced economies (and possibly some downgrading of longer-term growth prospects as well). This weakness, all else being equal, dictates that monetary policy must remain accommodative if it is to support the recovery and reduce disinflationary risks. Put another way, at the present time the major industrial economies apparently cannot sustain significantly higher real rates of return; in that respect, central banks–so long as they are meeting their price stability mandates–have little choice but to take actions that keep nominal long-term rates relatively low […] Finally, term premiums are low or negative, reflecting a host of factors, including central bank actions in support of economic recovery. Thus, while the current constellation of long-term rates across many advanced countries has few precedents, it is not puzzling: It follows naturally from the economic circumstances of these countries and the implications of these circumstances for the policies of their central banks.

¿Cómo evolucionarán las tasas de interés?

If, as the FOMC anticipates, the economic recovery continues at a moderate pace, with unemployment slowly declining and inflation expectations remaining near 2 percent, then long-term interest rates would be expected to rise gradually toward more normal levels over the next several years. This rise would occur as the market’s view of the expected date at which the Federal Reserve will begin the removal of policy accommodation draws nearer and then as accommodation is removed. Some normalization of the term premium might also contribute to a rise in long-term rates.

To illustrate possible paths, Chart 4 displays four different forecasts of the evolution of the 10-year Treasury yield over coming years.

Hay incertidumbre, por supuesto, y existe el riesgo de que las tasas sean mayores. Pero también de que sean menores.

[Note that], while the risk of an unexpected rise in interest rates has drawn much attention, the level of long-term interest rates also could prove to be lower than forecast. Indeed, by the measures shown in [chart 5], the upside and downside risks to the level of rates are roughly symmetric as of 2017.

Dos riesgos asociados a la trayectoria futura de las tasas de largo plazo: (1) que las tasas permanezcan bajas; (2) que no permanezcan bajas.

Commentators have raised two broad concerns surrounding the outlook for long-term rates. To oversimplify, the first risk is that rates will remain low, and the second is that they will not. In particular, in an environment of persistently low returns, incentives may grow for some investors to engage in an unsafe “reach for yield” either through excessive use of leverage or through other forms of risk-taking. […] Alternatively, we face a risk that longer-term rates will rise sharply at some point, imposing capital losses on holders of fixed-income instruments, including financial institutions. Of course, the two risks may very well be mutually reinforcing: Taking on duration risk is one way investors may reach for yield, and the losses resulting from a sharp rise in longer-term rates will be greater if investors have done so.

Son preocupaciones válidas, pero:

Long-term interest rates in the major industrial countries are low for good reason: Inflation is low and stable and, given expectations of weak growth, expected real short rates are low. Premature rate increases would carry a high risk of short-circuiting the recovery, possibly leading–ironically enough–to an even longer period of low long-term rates. Only a strong economy can deliver persistently high real returns to savers and investors, and the economies of the major industrial countries are still in the recovery phase.

¿Qué hace la Reserva Federal para mitigar los dos riesgos? Contra el riesgo de que tasas bajas pueden llevar a la toma excesiva de riesgo: (1) aumentar su supervisión a nivel macro y sistémico y (2) pruebas de estrés y requerimientos más estrictos de capital. Contra el riesgo de que las tasas suban abruptamente, causando pérdidas de capital a poseedores de instrumentos de renta fija: (3) mayor transparencia por parte de la Fed y (4) el uso de su balance para influenciar tasas de interés, vendiendo más o menos rápido sus bonos de largo plazo.

First, we have greatly increased our macroprudential oversight, with a particular focus on potential systemic vulnerabilities, including buildups of leverage and unstable funding patterns as well as interest rate risk.

[…] Second, recognizing that our monitoring of the financial sector will always be imperfect, we are using regulatory and supervisory tools to help ensure that financial institutions are sufficiently resilient to weather losses and periods of market turmoil arising from any source.

[…] Third, our approach to communicating and implementing monetary policy provides the Federal Reserve with new tools that could potentially be used to mitigate the risk of sharp increases in interest rates. […] By providing greater clarity concerning the likely course of the federal funds rate, FOMC communication should both make policy more effective and reduce the risk that market misperceptions of the Committee’s intentions would lead to unnecessary interest rate volatility.

[…] In addition, the Federal Reserve could, if necessary, use its balance sheet tools to mitigate the risk of a sharp rise in rates. For example, the Committee has indicated its intention to sell its agency securities gradually once conditions warrant. The Committee also noted, however, that the pace of sales could be adjusted up or down in response to material changes in either the economic outlook or financial conditions. In particular, adjustments to the pace or timing of asset sales could be used, under some circumstances, to dampen excessively sharp adjustments in longer-term interest rates.

Conclusión: elevar tasas de manera prematura podría ser contraproducente.

In light of the moderate pace of the recovery and the continued high level of economic slack, dialing back accommodation with the goal of deterring excessive risk-taking in some areas poses its own risks to growth, price stability, and, ultimately, financial stability. Indeed, as I noted, a premature removal of accommodation could, by slowing the economy, perversely serve to extend the period of low long-term rates.

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