Bottom Line

要点

Global wheat prices are increasingly determined by Black Sea production.

全球小麦的价格越来越取决于黑海地区小麦产量的影响；
China exerts a strong, indirect influence on wheat prices via energy, metals and foreign exchange rates.

中国通过影响能源、工业金属的价格以及汇率的走势而对小麦价格施加了非常大的间接影响；
Australian currency movements buffer only a small amount of wheat’s volatility.

澳元汇率的波动只能抵消小麦价格波动中很小一部分波幅；
China’s economy may slow down as a result of high debt and demographics.

中国经济的增长势头有可能因债务增加和人口结构变化的影响而减速；
Any Chinese slowing could weaken AUD as well as wheat and other commodity prices.

中国经济出现的任何减速均有可能导致澳元汇率以及小麦和其他大宗商品的价格下行。

Like their US and South American counterparts, Australian wheat farmers are increasingly at the mercy of economic events in places such as China and Russia. While Australia is undeniably an important wheat producer (around 3% of global total) and exporter (about 1.9% of global production), it’s role now pales in comparison to the rising dominance of the Black Sea region (Figures 1 and 2). The global cost of wheat production is heavily influenced by events in the Black Sea area, and the Russian ruble.

就像其美国和南美的竞争对手一样，澳大利亚的小麦农场主越来越受到中国和俄罗斯这些国家所发生事件的影响。虽然澳大利亚是一个重要性无可质疑的小麦生产国和出口国，其小麦产量和出口量分别占全世界的3%和1.9%左右，但与黑海区域各国日益增长的影响力相比，澳大利亚如今在全球小麦市场的地位已经相形见绌了。全球小麦生产的成本受黑海区域各国所发生的事件以及俄罗斯卢布汇率的影响很大。

Figure 1: Black Sea Production Now Dominates.

Figure 2: Black Sea Region Wheat Exports Outpace Other Producing Regions.

Given the dominance of the Black Sea region’s production, it comes as little surprise that wheat prices in U.S. dollars (USD) broadly sway with the ups and downs of the Russian ruble (RUBUSD). Since Russia and neighboring Ukraine are by far the world’s biggest wheat exporters, changes in the value of their currencies go a long way towards changing the marginal cost of production for wheat (Figure 3), corn and other commodities.

鉴于黑海区域各国在全球小麦总产量的主导地位，看到以美元标价的小麦价格基本上总是随着俄罗斯卢布/美元汇率的起起伏伏而波动也就没那么令人感到奇怪了。由于俄罗斯以及邻国乌克兰是当今全球最大的小麦出口国，其币值的波动对于小麦、玉米以及其他大宗商品的边际生产成本的变动有很大影响。

Figure 3: The Ruble Helps to Determine Wheat’s Global Cost of Production.

Australian wheat farmers can find some solace in the fact that the Australian currency partially buffers them from movements in wheat prices. Figure 4 shows a significant degree of co-movement: when wheat prices fall, the Australian Dollar (AUD) tends to weaken and vice versa. As such, locally denominated costs for Australian farmers such as wages, salaries and property taxes tend to move in the same direction as the global price of wheat. What is harder to discern from Figure 4, however, is the degree of relative volatility with the AUD’s actual volatility magnified by the choice of scale.

能让澳大利亚的小麦农场主感到欣慰的是澳大利亚元的汇率波动可以在一定程度上抵消小麦价格的波动。下图4显示的是一种相当明显的联动关系，当小麦价格出现下跌，澳元汇率往往会走弱，反之亦然。因此，澳大利亚农场主的本地成本，如薪酬、工资和资产税的变化通常会与全球小麦价格同向波动。但是通过图4很难看清楚小麦价格相对于澳元汇率的波动幅度，因所采用的计量单位的问题，澳元汇率的实际波幅被夸大了。

Figure 4: The Australian Dollar Absorbs Some of the Australian Wheat Farmers’ Price Risk.

Wheat prices are about 3.5x as volatile as the AUDUSD (Figure 5). As such, the co-movement of the AUDUSD with wheat prices absorbs less than 30% of the risk from the movement in wheat prices. Moreover, it’s not helpful in buffering any global costs of wheat production such as the price of fuel, pesticide, fertilizer, farm equipment and other products. As such, if one assumes that roughly half of the cost of farming is locally determined and the other half determined globally, the co-movement of AUDUSD with the price of wheat probably absorbs only about 15% of an Australian farmer’s overall price risk. This implies that hedging can still be useful.

图5显示，小麦价格的波动幅度相当于澳元/美元汇率波幅的3.5倍。因此，澳元/美元汇率相对于小麦价格的波动会消化小麦价格不到30%波幅。除此之外，澳元/美元汇率的变化无法消化小麦生产成本中任何来自国外的影响，比如油价、农药、肥料、农业机械设备和其他产品价格的变化。因此，如果假设小麦生产成本中的一半左右是来自于本地，另一半是来自其他国家，那么澳元/美元汇率相对于小麦价格的波动可能只能消化掉澳大利亚的小麦农场主全部生产成本中的约15%，这种情况说明利用期权或期货合约对小麦价格进行对冲应仍是有效的做法。

Figure 5: Wheat Prices Are 3.5x as Volatile as the AUDUSD Exchange Rate.

Despite their differences in volatility, AUDUSD, RUBUSD and wheat prices all share a common denominator: they respond strongly to economic conditions in China. When China’s growth picks up, it tends to send the price of energy and industrial metals higher, which, in turn, strengthens the currencies of major resource exporters such as Russia, Brazil and Australia. Stronger commodity exporting currencies increase the marginal cost of production for wheat, corn, soy oil and other agricultural commodities. The opposite happens when China slows: weaker growth reduces demand for energy and metals, typically lowers the value of commodity-exporting currencies and thereby lowers the marginal cost of production for key agricultural products, including wheat.

尽管在波动率方面有所不同，澳元和俄罗斯卢布对美元的汇率以及小麦价格都有一个共同的影响因素，即其汇率或价格的波动均大大地受到中国经济状况的影响。当中国经济加速增长之时，往往会拉升能源和工业金属的价格，进而让主要的自然资源出口国，如俄罗斯、巴西和澳大利亚等国的货币对美元的汇率走高。大宗商品出口国的货币升值会增加小麦、玉米、豆油和其他农产品的边际生产成本。如果中国经济增速放缓，相反的情况就会发生：能源和工业金属的需求出现下降，大宗商品出口国的货币汇率会走低，进而降低包括小麦在内的主要农产品的边际生产成本。

There are several ways to measure Chinese growth. While the official gross domestic product is the most widely observed yardstick of China’s economic progress, alternative measures like the “Li Keqiang Index” correlate strongly with subsequent, one-year-ahead movements in exchange rates and commodity price levels (Figure 6). The Li Keqiang measure is especially useful because it targets the performance of China’s industrial economy by focusing on electricity consumption, rail freight volumes and the amount of bank loans. The industrial economy, much more so than the services sector, influences global demand for energy and industrial metals and by extension commodity-exporting currencies and agricultural production costs.

有几个方法可以衡量中国经济的增长状况。虽然官方发布的GDP数据是最常见的衡量中国经济状况的指标，其他可替代的指标比如“LIKEQIANG指数”也与滞后期为一年的汇率和大宗商品的价格水平高度相关，见图6。LIKEQIANG指数的预测效果犹为有效，因为该指数反映的是中国经济中工业板块的表现，主要关注的是用电量、铁路货运量和银行新增贷款。工业对全球能源和工业金属需求乃至对大宗商品出口国货币的汇率以及农产品价格的影响程度远超服务业。

Figure 6: RUBUSD, Wheat Prices and AUDUSD Respond to Fluctuations in Chinese Growth.

While official Chinese GDP has shown a high degree of stability for the past seven years, owing in large part to the increased role of services and domestic consumption in the economy and a reduced reliance on exports, the Li Keqiang index shows a much greater variance of economic growth, with a much steeper slowdown from 2011-2016 and a much sharper rebound in 2016-17, followed by some further slowing since (Figure 7). Wheat prices tend to follow these movements with a lag of about a year (Figures 8 and 9).

虽然中国官方过去七年公布的GDP数据显示出高度的稳定性，很大程度上是因为服务业和国内消费的重要性在增加以及对出口的依赖在减少，但LIKEQIANG指数却揭示中国的经济增长过程具有很大的波动性，2011-2016年中国经济的放缓速度很快，而在2016-2017年期间的反弹速度更快，之后又有一些深幅放缓，见图7。小麦价格往往会滞后大约一年才会跟上LIKEQIANG指数的波动，见图8和图9。

Figure 7: The Li Keqiang Index Shows a Wide Variance of Industrial Growth Rates in China.

Figure 8: Wheat Prices Often Respond to Chinese Growth Rates With a Delay of About One Year.

Figure 9: Chinese Growth-Wheat Correlation Peak Out After About 4-6 Quarters.

Macroeconomic Outlook for Wheat

小麦市场的宏观经济前景

Australian wheat farmers can take some comfort from the robust fiscal conditions in Russia. The Kremlin runs a budget surplus of 2-3% of GDP and has extremely low levels of debt. It’s fiscal health could make the ruble a relatively strong currency among emerging markets to the likely benefit of wheat farmers in the US, Australia and elsewhere. That said, Russia is still extremely reliant on commodity exports, and China’s economy still plays an outsized role. China’s GDP is 5x India’s, 6x Brazil’s and 7x Russia’s. It consumes 40-50% of most industrial metals and 67% of iron ore, one of Australia’s two biggest exports along with coal. In short, no other country or group of countries can easily replace China’s demand should it falter.

澳大利亚的小麦农场主可因俄罗斯强劲的财政状况而稍感欣慰。俄罗斯政府的预算盈余相当于本国GDP的2-3%，政府债务水平相当低。健康的财政现状应会令俄罗斯卢布成为新兴市场货币中走势相对较强的货币，而这将有可能利好美国、澳大利亚和其他各国的小麦农场主。话虽如此，但俄罗斯仍极端依赖其大宗商品的出口，而中国经济仍将发挥至关重要的影响。中国的GDP总量相当于印度的5倍，巴西的6倍，俄罗斯的7倍，中国消化了全球大多数工业金属品种的总产量的40-50%及铁矿石产量中的67%，而铁矿石是澳大利亚两项最大出口商品之一，另一个是煤炭。简而言之，如果中国的需求开始减退，没有任何一个国家或几个国家加起来能轻而易举地替代中国的需求。

While China’s economy has held up well under the trade war – China’s stimulus measures have largely offset the negative impact of higher US tariffs – the country during the 2020s must confront several structural issues, including a decline of 5% in the working age population by 2030, a slowing of productivity gains from the rural-urban transition and extremely high levels of debt (Figure 10). These factors could contribute to a significant slowing of the Chinese economy in the 2020s irrespective of the outcome of the trade war.

虽然中国经济在贸易战以来表现不错，中国的经济刺激措施在很大程度上抵消了美国加征关税带来的不利影响，但中国在2020年代肯定会遇到几个结构性的问题，其中包括中国的劳动人口总数到了2030年将下降5%，农村人口流向城市的速度减慢导致劳动效率提升速度放缓，以及已经非常高的债务水平，见图10。不管贸易战的结局如何，以上这些因素均有可能会导致中国的经济增速在2020年代出现放缓。

Figure 10: Chinese Debt & Demographics Could be a Negative for Australian Wheat in the 2020s.

What happens in Washington also matters, especially since the USD is the other side of the AUDUSD exchange rate. For the past eight years, USD has been a strong currency, rallying against AUD and most other currencies since 2011. A weaker AUD has helped Australian farmers to maintain competitiveness despite the decline in USD prices for wheat. Expanding US budget and trade deficits could cause USD to weaken. If so, that could put the USD price of wheat under upward pressure, perhaps counteracting some of the negative impact from any slowing in China.

华盛顿这边发生的情况也很关键，尤其是因为美元是澳元/美元汇率报价的另一端。在过去八年中美元一直是一个很强的货币，2011年以来美元对澳元和其他大多数货币的汇率均在上扬。澳元汇率走弱有助于澳大利亚农场主在美元标价的小麦价格下跌时仍能保持竞争力。美国预算和贸易赤字的扩大有可能会导致美元汇率走弱，如果情况果真如此，将对以美元标价的小麦价格产生上涨压力，也许能抵消中国经济放缓带来的一些负面冲击。

What happens to the AUD price of wheat depends on whether AUD benefits from the USD’s weakness. It seems likely that the main beneficiaries of USD weakness would be low-interest-rate currencies whose central banks will have a difficult time easing further, such as the euro, pound, Swiss franc and yen. Given Australia’s reliance on China to buy its exports and the particular vulnerability of Australia’s two main exports (coal and iron ore), Australia’s wheat farmers might survive a bout of USD weakness so long as AUD doesn’t strengthen significantly.

以澳元标价的小麦价格会发生何种情况要取决于澳元汇率能否从美元的贬值中受益。美元贬值的最大受益者看起来似乎应该是那些本国央行很难进一步进行货币宽松的低息货币，如欧元、英镑、瑞士法郎和日元。考虑到澳大利亚对中国进口其商品的依赖程度以及澳大利亚两项最主要出口商品——煤炭和铁矿石尤为脆弱的市场状况，只要澳元汇率没有大规模升值，澳大利亚小麦农场主应能躲过美元汇率贬值带来的不利影响。

译者王为

By Erik Norland