欧洲央行资产购买计划的国际维度

2019/02/23 21:27
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认为大型发达经济体的资产购买计划助长了有害的货币战争的观点是误导性的。货币政策这一维度不是各国央行交战并争夺优势的领域。

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此为欧洲央行新行长热门人选——科雷的演讲译稿之一(双语版)。

前言

Large-scale asset purchase programmes have become an integral part of the set of unconventional tools central banks use to achieve their domestic objectives.

大规模资产购买计划已成为中央银行用来实现其国内政策目标的整一套非常规工具的一个组成部分。

When faced with negative output gaps and policy interest rates approaching their effective lower bound, these programmes have given central banks an essential tool to continue providing additional monetary accommodation, and prevent their domestic economies from falling into a deflationary trap.

在面对负的产出缺口和政策利率接近其有效下限的约束时(此处指零利率下限,译者注),这些计划为央行提供了一个重要工具,以继续提供额外的货币宽松,并防止其国内经济陷入通缩陷阱。

Yet, in a world of integrated financial markets, purchase programmes do not only have domestic effects. This has been recognised by policymakers in the past. For example, there has been a lively debate about the effects of the Federal Reserve’s purchase programmes on financing conditions in emerging market economies. However, less attention has been paid to this aspect in the case of the euro area – that is, the international spillovers of the ECB’s asset purchase programme (APP).

然而,在一个高度全球化的金融市场当中,资产购买计划不仅包含国内因素。过去的决策者已经认识到这一点。比如,有关美联储(Fed)的资产购买计划对新兴市场经济体的金融状况的影响引发了激烈争论。而对欧元区的这方面的关注较少,我所说的即欧洲央行的资产购买计划(下文简称APP)产生的国际外溢效应。

This is what I would like to discuss in my remarks today. Specifically, I plan to cover two topics. First, I will review what we know about the APP’s effect on net capital flows out of the euro area. And second, I will look at whether these capital flows have depressed exchange rates and, as a result, diverted demand away from other economies.

这就是我今天发言要讨论的问题。具体来说,我计划涵盖两个主题。首先,我要回顾一下我们对APP对净资本从欧元区外流的了解。其次,我将研究这些资本流动是否压低了汇率,从而转移了对其他经济体的需求。

My main message is that the ECB’s APP does appear to have triggered substantial capital flows across borders. But it is far from clear whether this explains the depreciation in the effective exchange rate of the euro. In fact, asset purchases affect the exchange rate in broadly the same way as conventional monetary policy –through expectations of interest rate differentials.

我想传达的主要信息是,欧洲央行的APP的确引发了大量的跨境资本流动。但尚不清楚这是否解释了欧元汇率的下跌。事实上,资产购买计划通过与常规货币政策大致相同的方式来影响汇率,即通过两国利差的预期平。

Moreover, while unconventional monetary policies may drive down exchange rates, it does not make them a zero-sum game. The evidence suggests that the demand-boosting effects dominate – that is, the spillovers from our unconventional monetary policies have boosted growth and inflation prospects, not only in the euro area but also globally.

此外,尽管非常规货币政策可能会压低汇率,但它不会使其成为一项零和游戏(货币战争)。有证据显示,需求提振效应发挥了至关重要的主导作用,即我们的非常规货币政策的溢出效应促进了全球的经济增长和通胀前景。

Post-APP international capital flows

APP之后的国际资本流动

Let’s start, then, by trying to get a sense of how strong international capital flows have been since we began our large-scale asset purchases. In other words, to what extent has there been a rebalancing towards foreign assets? Here some stylised facts from the euro area balance of payments data are instructive.

那么,让我们先来看看大规模资产购买以来的国际资本流动有多么强劲。换言之,在多大程度上实现了对外国资产的再平衡?一些典型的欧元区国际收支数据具有启发性。

On slide 1 you can see that capital flows have indeed been considerable in the past few years. At their peak around the middle of 2016, net capital outflows – measured here in terms of 12-month moving sums – reached nearly 5% of euro area GDP. Never before in the history of the euro area have capital flows been so high.

在第一张图片中,你可以看到资本流动在过去几年中确实相当可观。在2016年年中达至顶峰时,净资本流出——按12个月的流动总量来衡量,规模达到欧元区GDP的近5%。欧元区历史上从未有过如此高的资本流动规模。

Of course, in the absence of a counterfactual, we do not know how much of this is actually the result of our monetary policy measures. After all, investment decisions reflect a number of factors, including risk perceptions and, importantly, the yield that investors can earn abroad. Often, capital flows also simply reflect new investments and savings – just think about the euro area’s growing current account surplus – or they can be distorted by tax and regulatory arbitrage.

当然,在没有反事实的情况下,我们不知道这其中有多少是我们的货币政策措施的结果。毕竟,投资决策中包括一系列需要考虑的因素,包括风险认知,以及投资者在国外可以获得的收益。通常,资本流动也仅仅反映了新的投资和储蓄;只要想想欧元区日益增长的经常账户盈余就知道了;此外,资本流动也可能被税收套利和监管套利所扭曲。

Yet, it is striking to see that the turnaround in capital flows from net inflows to net outflows started in mid- 2014, just when we had announced our credit easing package and when expectations were gradually building among market participants that we would also begin purchasing government bonds.

然而,令人吃惊的是,欧元区的资本流动从净流入转为净流出的逆转始于2014年中期,当时欧洲央行刚刚宣布了信贷宽松计划,市场参与者也逐步建立起了新的预期——即欧洲央行也将开始购买政府债券。

Slide 1 also tells a second story – that among the various investment opportunities available to investors, virtually all net capital outflows have been concentrated in purchases of foreign long-term debt securities. Equity investment, by contrast, has hardly changed in net terms over time.

第一张图片中还讲述了另一个故事:在投资者所拥有的各种投资机会中,几乎所有的净资本流出都集中在购买外国长期债务证券上。相比之下,随着时间的推移,股票投资则几乎没有变化。

At face value, this suggests one tentative conclusion: large-scale purchases of sovereign bonds encouraged some investors to rebalance their portfolios towards the closest substitute – bonds issued by other sovereigns. This could be described as textbook quantitative easing (QE)[3], not least because these flows likely reflect the impact of our measures on bond prices in the euro area. According to ECB estimates, our monetary policy measures have contributed to reducing euro-area long-term risk-free rates by around 80 basis points since June 2014. As a result, spreads over bonds issued by non-euro area sovereigns have increased notably.

从面值上看,这暗示了一个初步结论:大规模购买主权债券鼓励了一些投资者再平衡其投资组合,使其转向最接近的替代投资品种——由其他国家所发行的债券。这可以被描述为教科书式的量化宽松(QE),尤其是因为这些资本流动可能反映了我们的措施对欧元区债券价格的影响。根据欧洲央行的估计,自2014年6月起,我们的货币政策措施助力将欧元区长期无风险利率降低了约80个基点。因此,非欧元区国家发行的债券(相较于欧元区同类债券)利差显著增加。

For example, towards the end of last year the spread between ten-year US Treasuries and equivalent German Bunds hit levels above 200 basis points – its highest level since the fall of the Berlin Wall. On average last year, the spread was around 60 basis points higher than during the six months leading up to the launch of our credit easing package. And the observed spread already reflects the likely impact that increased purchases of foreign bonds has had on their prices. In other words, while our measures can be expected to have contributed to a widening of spreads, foreign rebalancing is likely to have caused the spreads to narrow. The net effect is what we see reflected in prices today.

比如,去年底,十年期美国国债相对于十年期德国国债的利差已经超过200个基点——这是自柏林墙倒塌以来的最高水平。平均而言,去年的利差比推出信贷宽松计划之前的6个月高出约60个基点。而观测到的扩散已经预示了增加购买外国债券可能对它们的价格产生的影响。换句话说,尽管我们的措施可能有助于扩大利差,但投资者进行的外国再平衡可能已经导致利差在收窄。我们今天看到的价格变化就是我们政策净效果的体现。

ECB internal model analysis confirms that yield spreads are an important driver of international portfolio flows.[5] On slide 2 you can see that yield differentials between euro area government bonds and those issued by non-euro area governments of advanced economies can explain a significant part of net debt outflows over the course of last year. Risk aversion can explain much of the remainder.

欧洲央行内部模型的分析认为,收益率差是国际投资组合流动的重要推动力。在上图2中,你可以看到欧元区政府债券和非欧元区发达经济体的政府发行的债券之间的收益率差,这可以解释去年净债务资本外流的一部分。风险厌恶可以解释余下的大部分原因。

Now, net outflows in debt securities can mean two things: either euro area investors increasingly moved domestic funds abroad, or foreign investors – those resident outside the euro area – have sold euro area bonds. Both mechanisms are part of the type of portfolio rebalancing that policymakers typically have in mind when thinking about asset purchases. In practice, they can reinforce each other and this is what we have been seeing in the euro area.

现在,债务证券的净外流可能意味着两件事:要么欧元区投资者越来越多地向国外转移国内资金,要么外国投资者——居住在欧元区以外的人——出售了欧元区债券。这两种机制都是投资组合再平衡的一部分,政策制定者在考虑资产购买时,通常会谨记这一点。实际上,两种机制可以相互加强,而我们在欧元区看到的正是这一点。

Consider slide 3. Here you can see that euro area investors have been a major driving force behind the net outflows. In fact, since the start of the APP in March 2015, net purchases by domestic investors have been almost entirely in the form of long-term foreign fixed income securities. There have been anticipation effects, but the chart strongly suggests that net debt outflows accelerated as the APP continued and decelerated only when we decided to reduce the pace of our monthly purchases in December last year.

以图3为例。在这里,你可以看到欧元区投资者是净资本外流背后的主要推动力。事实上,自2015年3月APP启动以来,国内投资者的净购买几乎完全以长期外国固定收益证券的形式发生。这当中存在预期引发的“抢跑”,但图表有力地表明,随着APP政策的延续,净债务外流在加速;而只有在我们于去年12月决定降低月度购买速度时,净债务外流才减速。

Although it is unclear to what extent these flows ultimately influence bond prices, the pattern of international capital flows at least encourages discussion about the stock versus flow effects of central bank asset purchases – an interesting angle that should be explored further in future research.

尽管目前尚不清楚这些资本流动最终在多大程度上体现在了债券价格上,但国际资本的流动模式至少鼓励人们讨论起央行资产购买的存量效应与流量效应的问题——这是一个有趣的角度,需要在未来的研究中进一步深入。

On slide 4 you can see that euro area investors did not only choose to rebalance into the closest substitute, namely government bonds, but also predominately into the safest of the issuers. Around two-thirds of net outflows went into securities issued by issuers in the United States, United Kingdom, Japan, Sweden and Canada. By contrast, and contrary to what has often been discussed in the wake of the Federal Reserve’s asset purchase programmes, there was hardly any investment into emerging market economies, including the BRICs – Brazil, Russia, India and China.

在图4中,我们可以看到,欧元区投资者不仅选择再平衡到最接近的替代品,即政府债券,而且还会大量选择那些最安全的发行者(所发行的资产)。约三分之二的净资本外流流入了美国、英国、日本、瑞典和加拿大的发行者发行的证券。相反,与美联储(Fed)资产购买计划后经常讨论的情况相反,几乎没有对新兴市场经济体(包括金砖四国、巴西、俄罗斯、印度和中国)的投资。

So euro area investors deliberately chose to redirect some of their funds into the closest substitute. Slide 5 shows the extent of this rebalancing more clearly. Since the start of the APP, euro area investors alone accounted for more than half of foreign purchases of US debt securities. History suggests that these shares are unusual for the euro area.

欧元区投资者慎重地将其部分资金转用于最接近的替代品。图5清楚地表明了这种再平衡的程度。自APP启动以来,单是欧元区投资者就占了美国债券中外资购买的一半以上。历史表明这个比重对于欧元区而言是不寻常的。

The other side of the coin is the behaviour of non-euro area investors. You can see this on slide 6. In net terms, foreign investors have been neither large sellers nor large buyers of euro area assets in recent months – the solid blue line is close to balance.

资本流动机制的另一面是非欧元区投资者的行为。请看图6。按净值计算,近几个月来,外国投资者既不是大卖家,也不是欧元区资产的大买家。图中的蓝线接近平衡状态。

But this masks a significant difference between asset classes: foreign investors have been large buyers of euro area equity, while they were actively selling euro area bonds throughout most of last year, thereby reinforcing the actions of domestic investors.

但这掩盖了资产类别之间的结构性差异:外国投资者一直是欧元区股票的大买家,而在去年大部分时间里,他们一直在积极地出售欧元区债券,从而加强了国内投资者的行动。

Broadly speaking, this means two things: first, our policy measures have boosted confidence in the euro area’s growth prospects, which has brought foreign investors back to euro area stock markets. This confidence effect has also been confirmed in empirical studies.[6]

广义而言,这意味着两点:我们的政策措施推动了对欧元区经济增长前景的信心,使外国投资者回到了欧元区的股市。信心效应也在实证研究中得到了证实。

You can see clearly on slide 6 that this trend essentially started after the announcement of the outright monetary transaction (OMT) programme in mid-2012 and that inflows accelerated further in the aftermath of our credit easing package of June 2014. By the end of 2014, shortly before we announced purchases of government bonds, annual inflows into euro area stock markets by non-residents had reached 4% of euro area GDP – the highest on record. Policy stimulus and measures to repair the bank lending channel were clearly seen as having a positive effect overall on the euro area economy.

在图6上可以清楚地看到,这一趋势主要始于2012年年中宣布直接货币交易(OMT)计划之后,而在2014年6月出台的信贷宽松计划之后,流入的趋势进一步加速。到2014年底,就在我们宣布购买政府债券前不久,非欧元区居民进入欧元区股市的年流量达到欧元区GDP的4%,创下历史最高水平。政策刺激以及修复银行贷款渠道的措施明显被视为对欧元区经济具有正面的影响。

The second thing to note is that some selling of euro area bonds by non-residents is a mechanical feature of the ECB’s asset purchase programme. What I mean by that is that foreign investors are holding a relatively large share of outstanding euro area government bonds. For example, when we started the APP in March 2015, non-euro area investors were holding nearly 75% of German Bunds with maturities of seven to ten years. So it should not come as a surprise that around 45% of our purchases of government bonds have been with investors resident outside the euro area.[7] And if these foreign investors decide not to reinvest the proceeds from the sale in the euro area, a net outflow is recorded.[8]

第二个值得注意的点是,一些非欧元区居民出售欧元区债券是欧洲央行资产购买计划的机制特征。我的意思是,外国投资者持有的欧元地区政府债券相对较多。例如,当我们在2015年3月启动APP时,非欧元区投资者持有近75%的德国国债,期限为七至十年。因此,我们所购买的政府债券中大约45%是从欧元区以外的投资者手中购入的,这并不令人感到意外。如果这些外国投资者决定不再将出售所得在欧元区进行再投资,那么此时一笔净资本流出才会被记录。

This feature makes the ECB’s asset purchase programme structurally different from its counterpart in Japan, for example, where at the start of the Bank of Japan’s quantitative and qualitative monetary easing (QQE) in April 2013 less than 10% of outstanding Japanese government bonds ( JGBs) were held by foreign investors. As a result, it is mainly domestic investors that have significantly reduced their JGB holdings in response to QQE.

这一特质使欧元区的APP与日本的APP存在着结构性的差异。当2013年4月日本启动QQE(量化与质化宽松)时,仅不到10%的日本国债为外国投资者持有。因此,日本央行实施的QQE主要减少的是日本国内投资者的国债持有量,而非国外投资者。

And as you can see on slide 7, they did not rebalance their portfolios towards foreign bonds: in the first two years after the start of QQE there were hardly any net outflows in debt securities despite a massive widening in international spreads following the US “taper tantrum” in mid-2013. Instead, QQE initially led to strong inflows into Japanese equities – a confidence effect similar to the one I have just described for the euro area. However, these inflows reversed relatively quickly.[9]

正如你所看到的那样,他们没有将投资组合再平衡为外国国债:QQE启动两年后,即便2013年中期因美联储采取了“削减恐慌”(taper tantrum)而使得美日利差大幅扩大,但却并未出现类似欧元区的较大规模之以出售本国国债为形式的净资本外流。相反,QQE最初导致日本股市走强,其价值相当于我刚才描述过的欧元区。然而,这些情况在相对快速的逆转中。

In the United States, by contrast, the holding structure of the Treasury market is more similar to that of the euro area bond market, but actual purchase patterns are notably different. Specifically, although non- residents owned around 60% of marketable US Treasuries in 2008, empirical evidence suggests that they were not the ones selling directly and indirectly to the Federal Reserve under its various rounds of QE.[10] You can see this on slide 8. In fact, perhaps with the exception of the first round (“QE-1”), foreign investors continued to pile into US Treasuries, in particular after the third round (“QE-3”).

美国的情况则更加有趣。美国国债市场的国债持有结构与欧元区国债市场的国债持有结构更相似(外国持有者居多),但实际的购买特征却大相径庭。2008年,非美国居民持有的流通美国国债占总量的近60%,但在美联储启动几轮QE后,他们却并未直接或间接将这些国债卖给美联储。除了QE1外,在随后几轮QE启动后,外国投资者不但没有出售美国国债,反而继续加码购买美国国债,这在QE3后尤其明显。(请看图8)

This is not to say that quantitative easing by the Federal Reserve did not boost international capital flows. In fact, numerous studies, albeit mostly reliant on event studies over short periods of time, tend to suggest that it triggered sizeable flows into emerging markets, in particular after QE-2.[11] Yet, net portfolio flows, as you can see on slide 8, paint a broadly different picture of post-QE portfolio rebalancing than that seen in the euro area.

这并不是说美联储的量化宽松没有刺激国际资本流动。事实上,许多研究虽然主要依赖短期的事件研究,但倾向于认为,它触发了相当可观的资金进入新兴市场,尤其是在QE2之后。然而,从图8中可以看出,净投资组合流动的模式比和欧元区的特征大不相同。

I see three main factors that can explain the difference in post-QE debt flows in the United States and the euro area.

有三大因素可以解释QE以后债务资本流动在美国和欧元区之间的差异。

First, the yield differential: ten-year US Treasuries and equivalent German Bunds were generating, on average, broadly the same return, in local currency, during the Fed’s QE programmes from late 2008 to early 2013. But, as I hinted at before, yield differentials were quite different in recent times. Since the start of the APP in March 2015, ten-year US Treasuries have been yielding, on average, around 170 basis points more than ten-year Bunds – an enormous difference that, to a large extent, reflects the divergence in monetary policy cycles that emerged in the wake of the euro area’s sovereign debt crisis. As a result, portfolio rebalancing during the ECB’s asset purchase programme has been more attractive for investors than it was during the Fed’s QE programmes.

首先,10年期美国国债和10年期德国国债的收益率——平均而言,在2008年底至2013年初美联储实施QE计划期间,以当地货币计算的收益率大体一致。但是,正如我之前所指出的,最近,收益率差出现了变化。自APP于2015年3月启动以来,10年期美国国债的收益率平均为170个基点,超过了10年期德国国债的收益率;在很大程度上,这一巨大的收益率差,反映了欧元区主权债务危机之后货币政策周期与美联储的分化。因此,欧洲央行资产购买计划期间,投资组合再平衡对投资者的吸引力超过了美联储量化宽松计划的吸引力。

The second factor is negative rates. In addition to yield differentials, the absolute yield level may also matter for investors, particularly if rates are negative. It may be no coincidence that net bond outflows were among the largest when ten-year German Bund yields hit a low of nearly -20 basis points last summer. In a recent survey among foreign central banks, 70% of the respondents reported that negative interest rates in the euro area had encouraged them to adjust their allocations to the euro.[12]

第二个因素是负利率。除了收益率差之外,绝对收益率水平对投资者来说可能也很重要,尤其是利率为负时。当德国10年期国债收益率去年夏天触及近-20个基点时,净债券资本外流是最大的,这或许并非巧合。在最近一次针对外国央行的调查中,70%的受访者表示,欧元区的负利率促使他们调整对欧元的配置。

This emphasises the strong amplifier effect of negative rates – they are highly effective in boosting portfolio rebalancing effects, both domestically and across borders, exactly when monetary accommodation might be needed the most.

这凸显了负利率的强化效应,无论是在国内还是跨境前提下推动投资组合再平衡,且恰恰是在最需要货币宽松政策的时候。

And third, we have political uncertainty and the role of the US dollar in the international financial system. The US dollar is the main reserve currency and US Treasuries are the world’s most important safe haven asset, and as such benefit from a liquidity advantage. Hence, in periods of elevated uncertainty, such as after Brexit, investors may overweight US Treasuries and underweight European assets. So, rebalancing out of US Treasuries is always likely to be more limited than out of any other safe security.

第三,欧元区存在较高的政治不确定性,而美元在国际金融体系中的作用不可替代。美元是主要的储备货币,而美国国债是世界上最重要的安全避险资产,因此也受益于流动性上的优势。因此,在不确定性加剧的时期,比如英国退欧后,投资者可能会增持美国国债,并降低欧洲资产的比重。因此,对美国国债的再平衡(即卖出美债进行组合再平衡)总是比出于其他安全证券的考虑更为有限。

At this point I would like to draw three preliminary conclusions.

现在,我想指出三点小结:

One is that unconventional policy measures can significantly boost confidence, leading foreign investors to review their international portfolio allocations, in particular with regard to equity.

其一,非常规货币政策措施有助于大幅提振投资者的信心,吸引外国投资者重新审视其国际投资组合配置,尤其是股票市场。

A second conclusion is that the extent to which investors rebalance their portfolios towards foreign bonds is likely to depend on the structure of local bond markets, in particular the holding composition, and the risk- adjusted return investors can expect to receive from switching domestic and foreign bonds.

其二,投资者将在多大程度上再平衡其债券资产组合(比如出售本国债券购买外国债券),相当意义上取决于当地债券市场的结构,尤其是持有结构,以及投资者可以预期到的从本国债券切换至外国债券的风险调整回报。

这一点可进一步引申发现,ECB的APP实际上对欧元区各具体成员国之债市的影响也是不同的,下图显示了2015年1月以来日本投资者对法德债券的购买情况,可见在APP开始后,日本投资者开始购买大量法国债券(16年底以后法国资本内流大幅减少之原因或为总统大选引发的政治担忧),而与此同时却在抛售大量德国债券(正为购买,负为抛售)

This means that there can also be noticeable differences between euro area countries, as can clearly be seen when looking at the recent behaviour of Japanese investors. Slide 9 shows that Japanese investors accumulated large positions in French securities in the aftermath of the launch of the APP, while at the same time selling German Bunds – a rebalancing within the currency union that likely reflected yield and safety considerations.

这意味着欧元区国家之间也存在明显的差异,从日本投资者最近的行为可以看出这一点。图9,在APP启动后,日本投资者在法国证券上积累了大量头寸,同时出售了德国国债——这就是欧元区货币联盟内部的再平衡,这可能反映了收益率和安全上的考量。

And a third conclusion, more specific to the euro area, is that any future decline in the pace of our asset purchases is unlikely to have much direct negative impact on emerging markets, given that flows have been very limited.

第三个结论是,详就欧元区而言,即便未来ECB开始逐渐减少资产购买,对新兴市场也不太可能造成太大的直接负面影响,因为两者间的金融资本流动规模本来就比较有限。

Capital flows and exchange rates

资本流动与汇率

So, the evidence is fairly clear that asset purchase programmes are associated with net capital flows, and probably also with changes in relative asset prices. This brings me to the second part of my remarks: the cross-border effect of asset purchases on exchange rates.

上述的证据相当清楚地表明,资产购买计划与净资本流动有关,可能也与相对资产价格的变化有关。这就引出了我们将要探讨的第二个问题:资产购买的跨境影响对汇率的影响。

Two questions stand out. Do large-scale asset purchase programmes lead to exchange rate depreciation in the initiating country? And, if so, does monetary easing produce a beggar-thy-neighbour effect for other economies?

这可以被细分为两个问题。APP启动国的大规模资产购买计划是否会导致该国汇率贬值?如果答案是肯定的,那么货币宽松会不会为其他经济体带来以邻为壑的负面效应,从而成为货币战争的导火索?

The first point to note is that, during announcements of asset purchase programmes, the currencies of all major central banks have indeed tended to depreciate. You can see this on slide 10, which shows, for all countries, the cumulative short-term impact of selected major announcements of asset purchase programmes and negative rates, or both.

针对第一个问题,答案是当央行宣布资产购买计划时,主要央行的本国货币确实会贬值,参见下图:该图显示,就所有国家而言,某些重大资产购买计划的公布以及负利率,或两者兼而有之,都会产生累积的短期影响。

Of course, exchange rates often change before actual announcements in anticipation of policy actions. In the case of the euro area, for example, studies of a larger number of events that include such prior signals and comments by policymakers find that the APP may have led to a depreciation of the euro of up to 12% against the US dollar.[14]

当然,汇率常常在实际政策行动得以宣布以前发生变化。例如,相关研究表明,在ECB正式公布APP之前,欧元兑美元汇率已贬值达12%。

What is more, ECB in-house research suggests that negative rates not only amplify portfolio flows, they also amplify exchange rate movements. ECB staff estimate that the reduction in the deposit facility rate from 0% to -0.2% in the second half of 2014 led, cumulatively, to a 1.9% depreciation of the euro against the US dollar, of which 0.5 percentage points were due to the non-linear effects of interest rates moving into negative territory.

此外,欧洲央行的内部研究表明,负利率不仅放大了投资组合流动,而且还放大了汇率波动。欧洲央行的工作人员估计,在2014年的下半年,存款便利工具利率从0%下调-0.2%变化累计导致欧元对美元贬值1.9%,其中0.5个百分点是由于利率进入负区间的非线性效应。

These non-linear effects could be related to the amplification of the carry trade channel, where currencies with negative funding costs may become the preferred short leg for carry trade strategies.[15] Negative rates can therefore amplify the initial volatility-supressing effect of asset purchases on carry trades. The lower the rates, the stronger these effects can be expected to be. This applies not only to the euro area but, as you can see on slide 10, also to Japan.

这些非线性效应可能与套利交易渠道的加强有关,而负融资成本的货币可能成为套利交易策略的首选货币腿(空投)。因此,负利率可以放大资产购买对套利交易的初始波动抑制效应。利率越低,影响越强大。这不仅适用于欧元区,而且正如您在图10中所看到的那样,也适用于日本。

It is tempting to think that currency movements related to asset purchase programmes are a direct consequence of their impact on the supply of and demand for currency when investors rebalance their portfolios across borders. The truth, however, is that the direction of causality is much less clear in practice. Indeed, a recent Deutsche Bundesbank study finds that actual purchases under the APP have not led to statistically significant euro exchange rate movements.[16]

诱人的想法是,当投资者跨国界再平衡投资组合时,与资产购买计划有关的货币波动只是资产购买计划对货币供求影响的结果。然而,实际情况是,因果关系的方向在实践中并不明确。事实上,德意志银行最近的一项研究表明,APP下的实际购买并未导致统计意义上显著的欧元汇率波动。

I see two main reasons for this.

我认为有两个主要原因。

First, since exchange rates are asset prices that react in real time, they incorporate forward-looking expectations – most importantly expectations about short-term interest rate differentials. For instance, as you can see on slide 11, since the launch of the APP, the EUR/USD exchange rate has often closely mirrored two- year interest rate differentials between Germany and the United States.[17] Capital flows, by contrast, have tended to respond to interest rate differentials with a delay.

首先,由于汇率是实时反应的资产价格,它们包含了前瞻性的预期——最重要的就是对短期利率差的预期。例如,从图11中可以看出,自APP推出以来,欧元/美元汇率常常密切反映了德国和美国的两年期利率。相反,资本流动倾向于对利率做出更为滞后的反应。

In other words, rather than driving exchange rate depreciation, capital flows typically take place after this depreciation has already happened. One reason for this delayed response may be that, during asset purchase announcements, asset managers achieve an immediate change in portfolio weights without active sales or purchases via “passive” rebalancing – that is, the change in the exchange rate and asset prices.[18]

换言之,资本流动实际上并非货币贬值的因,而是货币贬值的果。对于资本流动滞后性的一种解释为,在APP正式公布时,资产管理公司往往通过被动的再平衡来即刻改变投资组合内的权重配比,而不必通过主动买卖来实现——再平衡通过汇率和资产价格的变化实现。

This disconnect between the exchange rate and capital flows is consistent with the empirical finding that the exchange rate is mostly affected by the signalling channel of monetary policy – that is how policy decisions affect the expected future path of short-term interest rates. ECB research finds that the depreciation of the euro exchange rate in response to the APP announcement in January 2015 occurred mainly through this signalling channel, including the added credibility asset purchases provide to that expected path.[19] The portfolio rebalancing channel, by contrast, played much less of a role.[20] In this sense, the effect of asset purchases on exchange rates is not fundamentally different from conventional interest rate policy.

汇率和资本流动之间的脱节与实证经验相符,即汇率主要受货币政策信号传导渠道的影响,即政策如何决定未来的短期利率走势。欧洲央行的研究认为,2015年1月APP计划的公布导致欧元汇率贬值主要通过这一信号渠道发挥作用,包括增加购买资产按照给定的预期路径执行所带来的政策可信度。相比之下,投资组合再平衡渠道所起的作用要小得多。从这个意义上说,购买资产对汇率的影响效果在根本上与传统的利率政策没有太大区别。

The second reason to be sceptical about capital flows affecting the exchange rate is linked more to the structure of foreign exchange markets. For example, a large share of euro foreign exchange transactions – 84% – is initiated outside the euro area, notably in the City of London.[21] As a result, they do not necessarily give rise to capital flows that affect the euro area. They are undertaken offshore.[22] The fact that foreign exchange trading in euro is so active in financial centres outside the euro area helps explain why there is often little correlation between cross-border capital flows and the euro’s exchange rate in the short to medium term.

对资本流动对利率产生影响这一观点持怀疑态度的第二个原因与外汇市场的结构有关。例如,很大一部分欧元的外汇交易是在欧元区以外进行的,特别是在伦敦。因此,它们并不一定会促升影响欧元区的资本流动。以离岸交易为主,在欧元区以外的金融中心,欧元外汇交易如此活跃,这一事实可以解释为什么跨境资本流动与欧元的短期和中期汇率之间往往没有多少关联。

In addition, portfolio outflows from the euro area – although large in size relative to economic activity – remain very small relative to overall transactions in euros in the foreign exchange market. They account at most for 0.2% of daily transactions in the euro-dollar pair, for instance.[23] And to the extent that such investments are hedged, the link between capital flows and exchange rate becomes even more tenuous.

此外,在欧元区的投资组合外流中,尽管相对于经济活动的规模巨大,但相对于外汇市场的欧元交易总量仍然非常小。例如,它们最多占欧元对美元每日交易额的0.2%。而且,当这种投资被对冲外汇风险时,资本流动与汇率之间的联系就变得更加脆弱。

Exchange rate spillovers and currency wars

汇率外溢效应和货币战争

Still, even if other effects of unconventional monetary policy, rather than capital flows, are the main influence on the euro exchange rate, the question of economic spillovers remains. This brings us to the “currency war” criticism of monetary policy.[24]

假设我们抛开资本流动的影响,其他非常规货币政策的影响是欧元汇率的主要影响因素,经济外溢性的问题仍然存在。这就引出了货币战争的争论,以及对以邻为壑式货币政策的批评。

Those taking this line argue that currency depreciation caused by unconventional policy easing can divert domestic expenditure away from foreign imports, thus creating a zero-sum game.

持这一观点的人认为,非常规货币政策宽松导致的货币贬值可能使国内支出转移外国进口,从而引发了一场零和游戏。

Clearly such arguments need qualifying.

显然,这些论点需要被证明。

One way to do so is to use NiGEM, a well-known global macroeconomic model with an articulated external sector and international trade and financial linkages. Given the difficulties of capturing large-scale asset purchases in this model, policy easing at the lower bound is proxied by central banks imposing negative interest rates.

一种方法是利用NiGEM,一种众所周知的全球宏观经济模型,它拥有清晰的外部部门和国际贸易以及金融联系。考虑到在这一模型中难以捕捉到大规模资产购买,利率下限约束时政策宽松由央行实施负利率政策作为代理。

What you can see on slide 12 are two things. Scenario 1 portrays the impact of a multilateral, simultaneous cut in policy rates by the G-3 central banks, bringing rates into negative territory in all jurisdictions, including in the US. Scenario 2 involves a deepening of negative rates in the euro area only.

在图12中你可以看到亮点。情景1描述了G-3各国央行同时实行多边政策利率下调的影响,导致包括美国在内的所有辖区利率出现负值。情景2只涉及欧元区的负利率深入负值。

The scenarios illustrate two things.

这些情景说明了两点。

First, the exchange rate channel is less important than most observers believe. Look at how similar the response of economic activity in the euro area is under the two scenarios, even though the exchange rate depreciation is less than half under the multilateral case. Clearly, the expansionary effect of monetary policy easing is the dominant factor – in practice probably even more so as evidence is growing that the exchange rate pass-through to final consumer prices has steadily fallen in recent years.[25]

首先,汇率渠道不像大多数观察者所认为的那样重要。看看两种情况对欧元区经济活动的反应是多么类似,尽管多边情况下的汇率贬值还不到一半。显然,货币政策宽松的扩张效应才是主导因素。实际上,随着越来越多的证据显示,近几年来,汇率到最终消费价格的传导一直在稳步下降。

Second, unilateral policy actions are not a zero-sum game. Scenario 2 demonstrates that, although the currencies of our trading partners appreciate, a unilateral cut in the euro area interest rate is a net positive for all countries individually, and for the global economy as a whole. That is, if unconventional monetary policy helps prevent a country stuck at the lower bound from being a drag on global demand, all countries can benefit. This has also been well documented in the academic literature.[26]

第二,单方面的政策行动不是零和游戏。情景2表明,尽管我们的贸易伙伴货币升值,但单方面降低欧元区利率对所有国家以及整个全球经济都是净正面影响。也就是说,如果非常规货币政策有助于防止处于利率下限约束状态的国家拖累全球需求,所有的国家都能获得好处。一些学术文献也详细记载了这一点。

In the case of the euro area, the demand-augmenting effects are clearly visible. For example, since we introduced our credit easing package in mid-2014, net exports have hardly contributed to GDP growth. The recovery has been driven almost entirely by domestic demand, supported by a virtuous circle between rising employment, labour income and consumption.

在欧元区,需求增加效应显然是显而易见的。例如,自从我们于2014年年中推出信贷宽松一揽子计划以来,净出口几乎没有对GDP增长做出贡献。经济复苏几乎完全受到国内需求的驱动,就业增加、劳动收入和消费增加之间产生良性循环支持了经济。

Certainly, if we abstract for a moment from the fact that mark-up adjustments could have taken place, the fall in the euro exchange rate may have helped exporters hold onto their market shares as world trade stalled.

当然,如果我们暂时从加价调整的事实中抽离出来,在世界贸易量停滞时,欧元汇率的下跌可能有助于出口商保住自己的市场份额。

But by far the most dominant effect of our monetary policy has been to encourage these domestic growth forces.

但到目前为止,我们的货币政策最重要的就是鼓励这些本土的增长力量。

In other words, far from “beggaring its neighbours”, monetary policy easing by the ECB has added to global demand and thereby stabilised the global economy, in particular after the euro area had been a major drag on global growth for many years. In the last three years the euro area’s share of global growth has become much more significant, contributing 0.5 percentage points, on average, to the 1.9% growth in advanced economies.

换言之,ECB推出的宽松的货币政策不仅不是损人利己以邻为壑的政策,相反还为提振全球总需求作出了很大贡献,并因此为稳定全球经济作出了努力。过去3年来,欧元区在全球经济增长中所占份额已显著改善,在发达经济体增长的1.9%中,欧元区平均贡献了0.5%。而在之前的多年间,欧元区一直是全球经济增长的拖累者。

Moreover, we also responded to a number of significant common, global shocks, such as the protracted period of low oil prices and the slowdown in growth in emerging market economies, which threatened not only the achievement of our price stability objective, but also that of many other central banks. So, the combined effects of stabilising the euro area economy – a significant source of demand for many countries – and cushioning global shocks contributed to putting global growth back on it current path.

此外,我们还对一些普遍的全球性冲击做出了回应,比如长期低油价和新兴市场经济体增长放缓,这不仅威胁到我们价格稳定目标的实现,也威胁到许多其他央行的目标。因此,稳定欧元区经济的综合因素——成为了其他国家需求的重要来源——也作为全球冲击的有效缓冲,促使全球经济增长回到了当前轨道。

Conclusion

结论

Let me conclude.

最后,请允许我做一下总结。

Asset purchase programmes have been instrumental in easing monetary policy at the effective lower bound in major advanced economies. A wealth of evidence suggests that these policies have successfully boosted economic growth and inflation prospects. At the same time, they have clearly had spillover effects on other countries via capital flows and relative asset price movements.

资产购买计划有助于在主要经济体处于有效利率下限约束的条件中放松货币政策。大量证据表明,这些政策成功地刺激了经济增长和通胀前景。与此同时,它们显然通过资本流动和相对资产价格变动对其他国家产生了溢出效应。

The evidence does not suggest, however, that these capital flows have led to major exchange rate movements. Rather, exchange rates have responded to forward-looking interest rate differentials. Asset purchase programmes, together with negative interest rates, may have exacerbated those differentials through signalling and non-linear effects, but their effect on exchange rates is, by and large, not fundamentally different from conventional policy.

然而,证据并未表明这些资本流动已经导致了汇率的大幅波动。相反,汇率对前瞻利率差做出了回应。资产购买计划,加上负利率,可能通过信号和非线性效应来加剧了前瞻利差,但它们对汇率的影响大体和常规政策没有根本差异。

What is more, currency depreciation is a side-effect of policy and neither its main transmission channel, nor its objective. Monetary policy actions aimed at supporting domestic price stability objectives in advanced economies have been clearly positive for the global economy, mainly by stimulating employment, incomes and, ultimately, economic growth.

此外,货币贬值是政策的副作用,既不是主要的传导渠道,也并非政策的目标。旨在支持发达经济体国内价格稳定目标的货币政策行动显然对全球经济有利,主要是刺激就业、收入,并最终刺激经济增长。

This is particularly the case in the euro area, which, thanks to a rich set of carefully calibrated monetary policy measures, is now adding to, rather than subtracting from, global growth. In this sense, the view that asset purchase programmes in large advanced economies have encouraged harmful currency wars is misleading. The world of monetary policy is not an arena where central banks engage and compete for advantage.

欧元区的情况尤其如此,由于一系列精心调整的货币政策措施,欧元区正在增加而不是减少全球增长。从这个意义上说,认为大型发达经济体的资产购买计划助长了有害的货币战争的观点是误导性的。货币政策这一维度不是各国央行交战并争夺优势的领域。

Thank you for your attention.

谢谢。

来源:https://www.ecb.europa.eu/press/key/date/2017/html/ecb.sp170711.en.html