Jump to content
House Price Crash Forum

Recommended Posts

Hi all. I'm looking to construct/research a developing hypotthesis of mine. Don't go away because you will find it interesting - nothing to do with negative interest rates or printy printy or demographics I promise. In fact I hope to shed some more light on HPI past and future. So its a good cause, and so Mods, please don't move this topic.

Here is what I'm after:

1) a chart of volumes in government bond markets from at 1960 onwards. Further back it goes to that date the better. Doesn't matter whether its UK, US, europe whatever. I don't care about prices, maturities or yields, just volumes. Needs to date back at least to the 80s.

2) a chart of actual inflation of land prices (i.e. not RPI or CPI) but actual absolute, non inflation adjusted land prices, ideally from the same zone as 1.

3) if you happen to have a chart of absolute daily share trading volumes over the same or longer period for the same zone as 1 and 2 that would be great (I have charts for NYSE but these may not correspond to whatever I get for 1 and 2).

Number 1 is what I am finding it most difficult to locate.

Billions of freshly minted scepticredits await any useful contributions!

Ta,

Scepticus

Share this post


Link to post
Share on other sites

Hi all. I'm looking to construct/research a developing hypotthesis of mine. Don't go away because you will find it interesting - nothing to do with negative interest rates or printy printy or demographics I promise. In fact I hope to shed some more light on HPI past and future. So its a good cause, and so Mods, please don't move this topic.

Here is what I'm after:

1) a chart of volumes in government bond markets from at 1960 onwards. Further back it goes to that date the better. Doesn't matter whether its UK, US, europe whatever. I don't care about prices, maturities or yields, just volumes. Needs to date back at least to the 80s.

2) a chart of actual inflation of land prices (i.e. not RPI or CPI) but actual absolute, non inflation adjusted land prices, ideally from the same zone as 1.

3) if you happen to have a chart of absolute daily share trading volumes over the same or longer period for the same zone as 1 and 2 that would be great (I have charts for NYSE but these may not correspond to whatever I get for 1 and 2).

Number 1 is what I am finding it most difficult to locate.

Billions of freshly minted scepticredits await any useful contributions!

Ta,

Scepticus

Not sure about the UK, but cite note 2 onthis wikipedia page references a broken link called

SIFMA 2009 Jan-Nov Average Daily Trading Volume. Accessed January 6, 2010.

Have you tried trawling through the sifa website?

If you do a focused google search I get 490 results for

government bond market volume site:sifma.org filetype:pdf

good luck :ph34r:

Share this post


Link to post
Share on other sites

Page 9 of this pdf has gilt market turnover from 95-05

Regarding the above, what I am interested in is not issuance by governments, but rather volume in the secondary market - i.e. trading volumes of already issued bonds.

But thanks for the SIFMA link, I'll sniff around that for a bit - it looks like a good source. I already found this PDF via your initial pointer:

http://www.fsa.gov.uk/pubs/discussion/dp05_05.pdf

from this link:

Trading volumes and liquidity characteristics

High overall trading value

2.15 There is a common perception of bonds as ‘buy and hold’ investments that are

seldom traded. While this is often so, it does not hold in all cases. Certain sectors

of the bond markets and certain issues are heavily traded. In general, government

bond markets are considerably more liquid and active than corporate bond

markets. This reflects not only the natural, ongoing investment interest in top

credit quality, but also the central role of government debt in liquidity

management and as prime collateral in financial markets. Some corporate bonds

are also actively traded, but not on the same scale as liquid government issues.

2.16 The table below provides data from ICMA’s bond trade reporting system,

TRAX, and gives an indication of the full scale of member firms’ European

bond trading activities.11

Source: ICMA

that is the kind of data I need, going back as far as possible.

Thanks for your help so far.

Share this post


Link to post
Share on other sites

I didn't find that on page 9 - did you mean issuance rather than turnover?

thx

On page 9, chart 2, chart title 'gilts market turnover'

I only skimmed it but the title definitely says turnover. The issuance chart is on page 8.

Share this post


Link to post
Share on other sites

Page 9 of this pdf has gilt market turnover from 95-05

ah yes, page 9 of the presentation, page 11 of the actual file! My mistake.

yes that is the data I need but need 30 years plus of it....

however having said that the graph is a single data point that does support my hypothesis. The turnover of UK gilts in 2004 of all maturities was nearly one billion pounds, which if memory serves was around twice the actual level of the UK public debt at the time.

anyone know what the UK national debt was in 2004, in pounds (not percent of GDP)?

Share this post


Link to post
Share on other sites

one of the things I am trying to understand with this effort is this:

TOTALSEC_Max_630_3781.png

obviously this is rather striking and it is easily dismissed as a ponzi scheme and bad bankstas etc and while there is that element to it, I believe there is much, much more to it than that and that the answer goes to the heart of HPI and future inflation/deflation so please keep the data coming.

I'll re-iterate that this is an entirely non partisan issue for me.

Share this post


Link to post
Share on other sites

one of the things I am trying to understand with this effort is this:

TOTALSEC_Max_630_3781.png

obviously this is rather striking and it is easily dismissed as a ponzi scheme and bad bankstas etc and while there is that element to it, I believe there is much, much more to it than that and that the answer goes to the heart of HPI and future inflation/deflation so please keep the data coming.

I'll re-iterate that this is an entirely non partisan issue for me.

This is part of the dis-intermediation process that began in the 70s, a natural reaction by banks as their role was increasingly becoming obsolete. A few books have been written about this, I wonder if Salomon Brothers wasn't the first to securitise loans.

Share this post


Link to post
Share on other sites

Image2.jpg

here is the FTSE, RPI adjusted.

basically, not gone anywhere (if we add in 2009 and 2010) since 1984 in RPI terms.

I wish to see how this factoid correlates with volumes in government debt markets.

Share this post


Link to post
Share on other sites

Typically the argument for this is that corporates could raise money drectly from the money markets more cheaply than thru' the banks. I suppose latterly the banks deposit taking and mortgage origination was also being bypassed by the securitisation process by the investment banks especially subprime that didn't meet Agency requirements.

And _w_ is right, Salomon Brother blazed the trail regarding issuance of mortgage backed bonds to investors round the globe. In fact the book "Liar's Poker" from the 80's documents this quite nicely. Michael Lewis also wrote recently "The Big Short" about the latest investment banking fraud that hadf its seeds sown in his book in the 80's. In fact he explicitly makes reference to the fact the investment banks missold bonds to the 'Japs' and 'Fritz' in the 80's and they were betting on government bailouts. Prescient.

OK. also relevant is how corporates hold money. what is microsoft's (or was it cisco's) current 'cash ' holdings?

I suggest it is (IIRC ffrom my recent 'where has all the money gone' thread - this data was supplied I think by poster 'godley'):

bank deposits

US and international government bonds

MBS, ABS

blue chip equities (common and preference)

what does that tell us about the real money supply?

Share this post


Link to post
Share on other sites

This is part of the dis-intermediation process that began in the 70s, a natural reaction by banks as their role was increasingly becoming obsolete. A few books have been written about this, I wonder if Salomon Brothers wasn't the first to securitise loans.

Why do you say that _w_?

I've been trying to figure out cause and effect in this mess and I've come to pretty much the same time period.

It was at this time that bond markets started insisting on inflation linked bonds, after being fed up of having their investment nicked by governments inflating their way out of trouble.

(We, Britain, were the first government to issue index linked gilts in 1981. Yup, it was the T lady)

Not wanting to admit the jig was up, inflation was redefined as 'monetary inflation' and geeky thing that we shouldn't worry our pretty little heads about, and the word inflation instead became used to describe price inflation for a basket of goods.

This meant the money supply could be expanded and the bond holders still robbed because the inflation linked bonds were actually 'index linked' to RPI or CPI. Unfortunately our wages are also linked to CPI. The systematic misreporting of inflation, (reliant on disinformation and confusion about what inflation actually is) explains the phenomena described in Elizabeth Warren's collapse of the middle class. How average families are getting poorer and poorer and tightly squeezed because their governments are deliberately lying about inflation.

We should have kept the gold standard....

Share this post


Link to post
Share on other sites

Interesting project.. not had much luck providing anything helpful I'm afraid.

As you say, looks like you're going to need somebody with access to professional data.

Might be worth a bump on Monday morning... :unsure:

Share this post


Link to post
Share on other sites

Interesting project.. not had much luck providing anything helpful I'm afraid.

As you say, looks like you're going to need somebody with access to professional data.

Might be worth a bump on Monday morning... :unsure:

Could also just put an FOI request in to the debt management office.

They will probably take 20 days to get back to you and try to fob you off, but if it is a long term project by the time you have 3 or 4 or 5 requests in for the data they usually give up and give it to you.

Sometimes FOI officers are very helpful and get you good data back very quickly but most of the time the above game is usually played.

Share this post


Link to post
Share on other sites

why?

I'm not too familiar with this but one thing I remember from the 80s was opening a money market account with a chequebook thus removing the need for a current account in a bank. Companies went directly to the bond market in greater numbers rather than borrow from banks.

This and a lot of other mechanism appeared that enabled savers to lend money directly to borrowers without the need for banks. I can think of other things such as increased competition from stock brokers as a result of 1980s deregulation processes, quite a lot happened at the time.

The banking business model was under threat from many sides and still is. As an aside this is possibly the main reason why the banks were so keen to find new and exotic revenue streams: their core business was either under threat or facing diminishing margins.

Share this post


Link to post
Share on other sites

Why do you say that _w_?

I've been trying to figure out cause and effect in this mess and I've come to pretty much the same time period.

It was at this time that bond markets started insisting on inflation linked bonds, after being fed up of having their investment nicked by governments inflating their way out of trouble.

(We, Britain, were the first government to issue index linked gilts in 1981. Yup, it was the T lady)

Not wanting to admit the jig was up, inflation was redefined as 'monetary inflation' and geeky thing that we shouldn't worry our pretty little heads about, and the word inflation instead became used to describe price inflation for a basket of goods.

This meant the money supply could be expanded and the bond holders still robbed because the inflation linked bonds were actually 'index linked' to RPI or CPI. Unfortunately our wages are also linked to CPI. The systematic misreporting of inflation, (reliant on disinformation and confusion about what inflation actually is) explains the phenomena described in Elizabeth Warren's collapse of the middle class. How average families are getting poorer and poorer and tightly squeezed because their governments are deliberately lying about inflation.

We should have kept the gold standard....

Who knows. It would probably have helped, although the Fed managed to inflate to the point of causing the 29 depression, all under a full gold standard...

When you have incompetent or corrupt sods in charge there isn't much you can do.

Share this post


Link to post
Share on other sites

I'm not too familiar with this but one thing I remember from the 80s was opening a money market account with a chequebook thus removing the need for a current account in a bank. Companies went directly to the bond market in greater numbers rather than borrow from banks.

This and a lot of other mechanism appeared that enabled savers to lend money directly to borrowers without the need for banks. I can think of other things such as increased competition from stock brokers as a result of 1980s deregulation processes, quite a lot happened at the time.

sounds like you are talking about a general, ubiquitous increase in liquidity and market depth at all levels and in the money, bond and equity markets . Would that be correct?

Share this post


Link to post
Share on other sites

I found this for gilts:

http://www.dmo.gov.uk/reportView.aspx?rptCode=D5L&rptName=63927080&reportpage=Gilts/Turnover

The yearly turnover for all gilts has risen from 1681 Bn in 1995 to 4,670 Bn by 2010. Interestingly the velocity of gilts (the turnover ratio) has remained roughly constant over this period.

The data pre-1995 I am still looking for.

Can you guess what it is yet?

Rolf+Harris.jpg

Share this post


Link to post
Share on other sites

ah yes, page 9 of the presentation, page 11 of the actual file! My mistake.

yes that is the data I need but need 30 years plus of it....

however having said that the graph is a single data point that does support my hypothesis. The turnover of UK gilts in 2004 of all maturities was nearly one billion pounds, which if memory serves was around twice the actual level of the UK public debt at the time.

anyone know what the UK national debt was in 2004, in pounds (not percent of GDP)?

	£ billion			       Public  General    Public        sector  government sector       net     gross      net       debt	debt1	   worth2	1974-75	52.1	59.4		1975-76	64.7	71.1		1976-77	73.6	84.1		1977-78	79.5	95.8		1978-79	88.6	104.4		1979-80	98.2	113.9		1980-81	113.8	128.0		1981-82	125.2	136.3		1982-83	132.5	146.4		1983-84	143.8	156.9		1984-85	157.2	168.5		1985-86	162.7	183.3		1986-87	167.8	192.7		1987-88	167.4	201.2	335.7	1988-89	153.9	195.4	396.5	1989-90	152.2	186.4	389.7	1990-91	151.3	189.7	350.3	1991-92	166.1	208.6	323.5	1992-93	201.9	257.1	254.8	1993-94	249.8	304.4	200.1	1994-95	290.0	343.8	206.1	1995-96	322.1	381.5	163.2	1996-97	347.2	404.4	142.3	1997-98	352.0	404.4	130.4	1998-99	350.7	403.2	129.9	1999-00	344.4	395.8	166.5	2000-01	311.1	384.5	229.8	2001-02	314.3	382.1	309.6	2002-03	346.0	401.3	312.2	2003-04	381.5	450.1	334.7	2004-05	422.1	487.6	351.2	2005-06	461.7	535.3	368.9	2006-07	497.8	577.9	394.1	2007-08	527.2	620.1	414.0	2008-09	616.9	800.1	317.4	2009-10	771.5	1003		

Share this post


Link to post
Share on other sites

I found this for gilts:

http://www.dmo.gov.uk/reportView.aspx?rptCode=D5L&rptName=63927080&reportpage=Gilts/Turnover

The yearly turnover for all gilts has risen from 1681 Bn in 1995 to 4,670 Bn by 2010. Interestingly the velocity of gilts (the turnover ratio) has remained roughly constant over this period.

The data pre-1995 I am still looking for.

Can you guess what it is yet?

Rolf+Harris.jpg

I was not able to guess, nor provide any of the requested data.

One thing I am learning about economics is adopting a patronising tone, talking about the unknown with perfect certainty, using long,

less used words and adopting a vaguely scientific tone will convince a lot of people.

I did find some sun spot data - could you put together a theory about why that explains the business cycle? The sophists of old claimed they could get a job interview for a physicians job in preference to the worlds finest physician.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

Loading...

  • Recently Browsing   0 members

    No registered users viewing this page.

  • 149 Brexit, House prices and Summer 2020

    1. 1. Including the effects Brexit, where do you think average UK house prices will be relative to now in June 2020?


      • down 5% +
      • down 2.5%
      • Even
      • up 2.5%
      • up 5%



×
×
  • Create New...

Important Information

We have placed cookies on your device to help make this website better. You can adjust your cookie settings, otherwise we'll assume you're okay to continue.