Yesterday somebody posted the following chart over at The Business Insider:
The accompanying comment was as follows:
So nothing crazy has happend recently. Especially relative to the US. The difference and the quotient of those spreads over the last year looks like a nice realization of a mean-reverting process:
OMG, I can't wait to sell this finding to a stat arb hedge fund!
* without Luxembourg and Malta (no BBerg quote)
The accompanying comment was as follows:
"As a schizophrenic world quickly lost its dollar-hating-euro-love, look how quickly Credit Default Swap (CDS) spreads for European nations exploded upwards. All it took was roughly a month, as exemplified by the spike for Greece. This Greek financial crisis was all it took to end talk of the euro as a replacement for the U.S. dollar".Now here is what you see when you look at the US CDS spread and the GDP weighted CDS spreads of the eurozone countries* since the Lehman collapse:
So nothing crazy has happend recently. Especially relative to the US. The difference and the quotient of those spreads over the last year looks like a nice realization of a mean-reverting process:
OMG, I can't wait to sell this finding to a stat arb hedge fund!
* without Luxembourg and Malta (no BBerg quote)
Mahalanobis - am 2010-01-08 20:40 - Rubrik: Finance
stxx meinte am 15. Jan, 22:39:
Yes, there are problems surrounding Greece with its dependence of the banking system on cheap ECB repo rates for Greek government debt. Unfortunately, with downgrades, those bonds are not eligible any more and this leads to the funding problem. But the comparison to the US is puzzling me. California is struggeling severely to balance their budget and I would say that California to the US (and to the world) is more relevant than Greece to the EU. Bear in mind that California is the 7th largest economy on earth if it was a stand-alone. The market seems to be ignorant towards this argument.
