Jens Nordvig Profile picture
PhD Economist & Founder @ExanteData Formerly Goldman Sachs, Nomura & Bridgewater. Partial analysis ex ante beats full understanding ex post! Bio on link:
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Jan 18 6 tweets 2 min read
US fixed income markets remain on the move. On the day, the 5-10Y part of the curve is moving the most (9-10bp).

But over the last month (21 trading days), the 2-year move is very dramatic, up >30bp, and the biggest move since the Global Financial Crisis (2009). Image The 5Y move over the last month has also been big…and in a similarly high percentile of the historical distribution of monthly changes. But we have seen moves of this size more recently (in 2016 and in 2013) Image
Jan 16 4 tweets 1 min read
There is lots of focus on the tapering/QT pending in 2022. But the reality is, a fair deal of tapering already occurred in 2021

(look at how the chart tapers off in final months of 2021). Image This chart looks at new liquidity flow in all of G10, using constant exchange rates to avoid currency effects impacting all the numbers.

There is broad-based tapering in motion (it is not just a US process).
Jan 13 6 tweets 2 min read
Media is starting to catch up with the Omicron narrative (the peak in London was around Christmas)

(Thread, I guess) Earlier this week, I tweeted around the descent in London, which is already pronounced

Jan 7 12 tweets 4 min read
The most 'interesting' thing about the Omicron wave is how fast it is moving, and how under-recorded it is.

Today, we got London serology data, suggesting nearly 10% of the entire London population had COVID during the Christmas week! This is from the official weekly UK ONS infection/serology survey, using a random sample of the population

If 8-10% of the population is infected per week, clearly a wave will not last that many weeks.

ons.gov.uk/peoplepopulati…
Jan 5 10 tweets 3 min read
The Omicron wave in South Africa has been short (about a one-month ascend). WHAT ABOUT LONDON? (which has been an early hotspot outside SA)

Case data by specimen date (blue line) is encouraging.

= THREAD Holidays create noise in testing & case reporting. Hence, it is useful to look at the data not by publishing date (which can be lagged, especially around holidays), but by specimen date (when the test was actually taken).

The specimen line above shows a peak around Dec 23.
Jan 4 6 tweets 2 min read
Yesterday, I did thread on South Africa omicron trends (drawing on some of the data we have been crunching since Nov).

South Africa is important, as it was the original omicron epicenter, and a leading indicator.

London (given travel connections to SA) should also be leading. This is the reason why London is so globally relevant (for Omicron trends) and I will do a full thread on case dynamics there later in the day.

But the punch line about this wave is similar to the SA punch line. ICU use is not rising with cases.
Jan 3 6 tweets 2 min read
I have been tracking all the global Omicron related data I could get my hands on since Nov. But I have not tweeted much about it since the polarized debate can be a bit tiring. But the evidence is accumulating & I will now show some of the data we have been monitoring

= THREAD The chart above simply shows cases in Gauteng. They started to accelerate mid-Nov, and had peaked by mid-Dec. It was a one-month wave, while previous waves were much longer. The more infectious Omicron variant moved very quickly, and it was over quickly too.
Nov 23, 2021 12 tweets 3 min read
Since I have gotten a million requests for interviews about the TRY today, I am writing down a few basic points here, that attempts to summarize the situation in the most basic way...journalists: feel free to quote. 1/ The Turkish lira has been weakening steadily since 2013 (the famous taper tantrum). Even before today's 10% decline it had lost 80% of its value vs the USD over the period. The new thing is the amazing speed of the depreciation.
Oct 20, 2021 13 tweets 4 min read
It is exactly a month since Evergrande was the only thing anybody could talk about.

Hence, it is a good time to recap market dynamics since Sep 20.

Where is the contagion sticking, and where have we recovered (many places, but not all)

THREAD Image First, the Chines currency has substantially OUTPERFORMED over the past month. While the EUR and the JPY are down 2-4% vs the USD, the CNY is up around 1% against the USD.

This fits with how they want their currency to behave 'reserve currency like'.

Oct 19, 2021 5 tweets 2 min read
Since the Fed is in play, understanding what they are saying matters more than normal

But it is not always easy

(if anybody can help me out with today's Waller comments, I would appreciate it..) Waller was pretty clear is the his central case is a decent gap between end of taper and rates lift-off:
Oct 17, 2021 6 tweets 1 min read
There is a lot of debate about these various measures of inflation expectations. And it is worth thinking hard about their signaling value, including what is the process behind generating the forecasts

(I used to submit them...) It seems to me, that the key point is, that there may be a break in the process for making such forecasts.
- From simply using the target as the anchor, as opposed to a model.
- To having your econ view potentially override the target
Oct 17, 2021 13 tweets 4 min read
This is not a normal cycle...

I have argued this for many many months now (looking at economic trends).

And NOW monetary policy cycles are starting to look highly unusual too (central banks and yields curves are on the move)

= THREAD

It is not just in the US, that things are suddenly moving VERY fast on the monetary policy and interest rate pricing front.

In the UK, short rates (2y) have moved 40bp in a month. It is the fastest repricing we have seen in more than a decade. Yes, WOW!
Oct 12, 2021 9 tweets 3 min read
The dollar is not what it used to be.

A specific example: the correlation to oil...

(short THREAD) There used to be many arguments why the dollar was NEGATIVELY correlated to oil

1/ The US is more energy intensive
2/ Petro-dollar flow supports other currencies
3/ Other central banks are more sensitive to headline inflation (=energy) than the Fed
Oct 6, 2021 9 tweets 2 min read
Is it a coincidence that bitcoin has broken $50K at the same time as the news media is full of stories about a potential US default as a function of failure to raise the debt ceiling in October?

The chart shows that $BTC (white) spiked exactly as US T-bill yields (yellow) spiked That is, bitcoin prices moved sharply higher exactly at the same time as short-dated T-bill yields (those maturing after October 18, when Yellen has said Treasury funds will run out) spiked, and embedding a 'default premium'
Oct 3, 2021 20 tweets 5 min read
It did a purely anecdotal thread on inflation yesterday, just to illustrate basic aspects of 'inflation psychology'

I got some pushback, so I will add a bit more color. WHAT IS DIFFERENT ABOUT INFLATION IN 2021

First, I am not a person who always worry about inflation. I have been observing how central banks in the period 2008-2019 persistently OVERestimated inflation. Hence, I am always skeptical when I see a confidently aggressive inflation forecast.
Oct 2, 2021 4 tweets 1 min read
I run a business @ExanteData. I have always been thinking of the price of our product/service as only a function of its quality.

But now, as some our our cost rise rapidly (heath care up >10%, IT equipment > 30%), I start thinking that there has to be a cost adjustment too. It is just an anecdote. But when the supply chain issues and other cost pressure are so broad and long-lasting, it is not crazy to think that there will he 2nd and 3rd round effects from the inflation we observe now.
Sep 25, 2021 12 tweets 3 min read
Last week was a serious one. Today, I will try to go in the other direction.

This is partly because a FinTwit guy (see proof below) just said I have ‘humor’ & because I hope to make the next @donnelly_brent top 10 list for funny twitter people.



=THREAD I may be joking about all this, maybe not (your call)

Economists being funny is all about managing expectations, and I am certainly not joking about that.

I will tell you one brief anecdote, and you will see what I mean.

Here we go...
Sep 23, 2021 18 tweets 4 min read
I had been planning to do a daily China thread this week. But things got a little busy, so I am behind schedule. In any case, here are some observations on why the Renminbi (CNY) is so stable, despite the risk aversion around Evergrande... Let us start with a recap:

white line is usdcnh (the cnh is holding at around the strongest level since 2018 [low is strong])

yellow line is CNY vs basket (the CNY is strong on a broad basis, around a 5y high [high is strong on this metric]
Sep 20, 2021 9 tweets 2 min read
Just a few more observations on Evergrande/China Contagion.

Last week, saw the Evergrande tension spreading through the real estate sector (but not much beyond, except Iron ore)

This week, there is already broader based pain... 1/ Today, we have seen Chinese financials are under pressure (in stock space, down >4%

Regional banks down >5% on the day (not shown in table)

Sep 19, 2021 25 tweets 6 min read
Yesterday, I did a mini-thread on what is going on under the surface in Chinese High Yield credit (and it generated A LOT of feedback).

Hence, here is a follow up thread on the structural issues in Chinese real estate, and differences to the US in 2008.
Today, I will show some background data on the structural problem in Chinese real estate, and offer some basic perspectives on how the situation differs from the US in 2008 (not better or worse, but simple different)
Sep 18, 2021 19 tweets 6 min read
There is a huge amount of focus on China contagion/Evergrande at the moment. Hence, it is a time to be precise. I will not do a comprehensive thread (yet). But just provide some specific color on the High Yield credit moves, which themselves are generating a lot of attention. It is true that China (USD) credit indices moved a lot last week, after stabilizing briefly in early September.

And there are lots of fintwit comments on that: Here is a good (and sober) example: