Sunday, May 9, 2010

Following the Greek Crisis

Here are a few links to help you follow the Greek Crisis:

To see what the market thinks of Greece's ability to pay back it's loans, you can use the change in interest rates on Greek governments bonds.  If you look at the chart, it's bad news.  All from Bloomberg:

Two-year bonds
Five-year bonds
Ten-year bonds

To check on "contagion", the only free site that I have found that follows government bonds worldwide is CMA Datavision.  At this link there are three lists.  The 1st list is comprised of countries with the highest probability of default.  The 2nd group is comprised of countries whose CDS spread (a measure of the probability of default and bankruptcy) are shrinking.  This is good for those countries.  The 3rd group is comporised of countries whose CDS spreads are increasing.  This is bad.  Unfortunately, it doesn't give history or list every country every time it is updated (I think twice a day).

CMA Datavision, Sovereign Debt Credit Spreads

Bloomberg lists the rates for a few major countries around the world, but it leaves much to be desired.  That link is here:

Gilts, Bunds, and other Government Bond rates

To see the effects in the United States, you can check out a few links as well.  The market price of risk is the VIX.  Traditionally, the VIX runs about 15-20 in a calm market.  On Friday, May 7th, the VIX hit 40, which is not good.  It hit 80 back in the 2008 panic.  It will soar during a market panic, and is a good indicator as to the nervousness of professional traders.


To see if American banks might be in trouble you can check out the TED spread.  This is a measure of the credit risk seen within American banks.  If banks are going to melt down this measure will spike.  It was running in the teens and has now jumped to 30 bps.  During the last market panic this number his 300, I think, so don't sweat this little jump too much just yet.

TED Spread

For the economy as a whole, I love Consumer Metrics Institute.  They measure internet purchases, which seem to have an uncanny ability to predict future GDP reports.  Right now, their data suggests a double dip recession.  The 2Q GDP report (out August ~25th) may show negative growth.

Consumer Metrics Institute

That's all for now.  If anyone has any good links or a request for a link, let me know.  I have a few more, but I suspect that none of you would want to get that deep into the data.


Abhishek said...

This fund has been apparently set up to save the PIGS. This might provide a short term relief but the long standing structural problems of the “Club Med” members still stand.Providing more liquidity and lending to the solvency and productivity problems of the PIGS cannot help.The Euro and and the Asian markets are up on the news of the Fund . The markets would have shown a dead cat bounce anyway after the fall of the last week. However the EU leaders would have been better served by drawing out a roadmap whereby their structural problems could have been solved

Brian Shelley said...

I tend to agree. I think this is just another band-aid. The side effects won't become obvious for a while.