@HomoLiberalis True, but high inertia historically best captures ECB policy. Btw, I don't usea Taylor rule as a forecasting tool. Only to estimate what the ECB rate could be in this or that scenario.
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Arne Petimezas
18.8K posts
Arne Petimezas
@APetimezas
Head of research at AFS Group in Amsterdam.
Amsterdam, The Netherlands Katılım Mart 2013
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@APetimezas Nice chart, but the ECB reaction is normally forward-looking, while this is a mechanical backward-looking smoothing.
Also, inertia is assumed (not estimated) and does all the work. Small tweaks to ρ materially shift the implied ECB DFR.
Copenhagen Beach, MI 🇺🇸 English
Unadjusted Taylor rule gives a 4.0% ECB DFR, assuming core rises to 3.0% in a strong pass-through scenario (big if). However, only a high inertia Taylor rule tracks actual ECB rates well, and that gives a 2.5% DFR. ESTRs are at 2.75, overpricing the ECB response to the war.
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@Ch2Christo Maybe Oman widened 20-30bps or so? That's not a lot. Won't get much cheaper.
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@APetimezas do you think one should add or wait for spreads to widen more ?
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@Ch2Christo Even though it trades tight, I like Oman the most. Good fiscal and external metrics not captured by the rating.
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@APetimezas Also we are thinking of stop buying bonds for a while
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Hartstikke leuk om weer bij @IEXnl te mogen aanschuiven. Over een oorlog die niemand wil. En een crisis die de ECB nu dwingt tot renteverhogingen. iex.nl/Video/858660/I…
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Well, seven hours left let's see what happens: x.com/ryangrim/statu…
Ryan Grim@ryangrim
Source tells me that Naval Special Warfare teams were also given deployment orders yesterday, as well as a bunch of Tier 1 operators. That plus the 82nd Airborne deployment plus Netanyahu's obvious feint that he expects a ceasefire agreement this weekend suggests all the pieces are in place for a ground operation within day.
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*KUSHNER: SUSPENDED RAISING NEW FUND TO WORK WITH TRUMP ON IRAN>>>> Translation: I stop taking bribes for a few weeks
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That's a typo - baseline is 2.2%, not 2.4%. Core would rise to 2.7%
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ECB adverse scenario best captures current oil futures pricing. In 2027, core inflation would rise to 2.9% (2.4% baseline, 0.5ppt for adverse shock), a full 1ppt increase compared to the Dec. 2025 forecast. That's quite the pass-through. They can't 'look through' such a shock.
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Arne Petimezas retweetledi
There will likely be a cease fire soon and I don't think Trump will try to take Kharg Island. I call it sitting duck island for a reason. afsgroup.nl/markets-blog
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@JAXCapital It is a Pavlovian response. Had it so many times during Trump 1.0 trade war. Last year too.
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@APetimezas for sure, but Q is, will markets ramp again??
i'm sure there's a lot of people who bought the pump that are now underwater....
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So, whats' the Iran war equivalent of Trump's 2018/2019/2025 'trade talks are going well' market pump and dump?
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