Forecasting the Next Recession: How Severe Will the Next Recession Be?

预测下一次经济衰退:下一次经济衰退会有多严重?

2019/04/09 00:00
对照中文英文原文
我们的经济衰退概率模型在2019年第一季度的所有视野中均有所上升。虽然近期经济衰退的可能性有限,但未来24个月发生经济衰退的可能性增加了一倍以上。

Recession Outlook Summary

经济衰退展望摘要

  • Our Recession Probability Model rose across all horizons in the first quarter of 2019. While near-term recession probability is limited, the probability of a recession occurring over the next 24 months has more than doubled.
  • 我们的经济衰退概率模型在2019年第一季度的所有视野中均有所上升。虽然近期经济衰退的可能性有限,但未来24个月发生经济衰退的可能性增加了一倍以上。
  • The deterioration in leading indicators, inversion of the yield curve, and tightening of monetary policy all contribute to rising recession risks. As we expect these trends to continue in 2019, we should see recession risk rise throughout the year.
  • 领先指标的恶化,收益率曲线的反转以及货币政策的收紧都会导致经济衰退风险上升。由于我们预计这些趋势将在2019年继续,我们应该看到全年经济衰退风险上升。
  • We maintain our view that the recession could begin as early as the first half of 2020, but will be watching for signs that the dovish pivot by the Federal Reserve (Fed) could extend the cycle.
  • 我们认为经济衰退最早可能在2020年上半年开始,但将关注美联储(Fed)温和支点可能延长周期的迹象。
  • The next recession will not be as severe as the last one, but it could be more prolonged than usual because policymakers at home and abroad have limited tools to fight the downturn.
  • 下一次经济衰退不会像上一次那样严重,但可能比平时更加持久,因为国内外政策制定者在应对经济衰退方面的工具有限。
  • Credit markets are likely to be hit harder than usual in the recession. This stems from the record high ratio of corporate debt to GDP and the likelihood of a massive fallen angel wave.
  • 在经济衰退期间,信贷市场可能会比平时受到更大的打击。这源于公司债务与GDP的创纪录高比率以及大规模堕落天使浪潮的可能性。
  • When recessions hit, the magnitude of the associated bear market in stocks is driven by how high valuations were in the preceding bull market. Given that valuations reached elevated levels in this cycle, we expect a severe bear market of 40–50 percent in the next recession.
  • 经济衰退到来之后,股市相关熊市的幅度受到前一个牛市估值偏高的推动。鉴于估值在此周期中达到了较高水平,我们预计在下一次经济衰退中将出现40-50%的严重熊市。

Recession Expectations Go Mainstream

经济衰退期望成为主流

Recession fears resurfaced at the end of 2018 as a combination of negative data surprises, communication blunders by the Fed, slowing growth overseas, and rising trade tensions triggered a selloff in risk assets that led many in the market to fear a recession was imminent. While more dovish Fed communication and the recent market rebound have helped allay these fears, many are still left wondering if a recession is around the next corner. We don’t think so. Our recession forecasting tools continue to point to the same timing as they have over the past year and a half: recession risk in the near term is moderate, but the next recession could begin as early as the first half of 2020.

经济衰退的担忧在2018年底重新浮现,因为负面数据意外,美联储的沟通失误,海外经济增长放缓以及贸易紧张局势加剧引发风险资产抛售,导致许多市场担心经济衰退迫在眉睫。虽然美联储更加温和的沟通以及最近的市场反弹有助于缓解这些担忧,但许多人仍然不知道经济衰退是否会在下一个角落出现。我们不这么认为。我们的经济衰退预测工具继续指向与过去一年半相同的时间:短期内的衰退风险是温和的,但下一次衰退可能早在2020年上半年开始。

Recession Fears Have Mounted Recently

最近出现了经济衰退的担忧

Our Recession Probability Model rose across all horizons in the first quarter of 2019. Near-term recession probability remains subdued, but over the next 24 months recession probability more than doubled compared to the third quarter reading. The deterioration in leading indicators, further flattening of the yield curve, and tightening of monetary policy all contributed to rising recession risks through the first quarter. As we expect these trends to continue and growth to weaken in 2019, we should see recession risk rise throughout the year.

我们的经济衰退概率模型在2019年第一季度的所有视野中都有所上升。近期衰退的概率仍然低迷,但在未来24个月内,经济衰退的可能性比第三季度的读数增加了一倍多。领先指标的恶化,收益率曲线进一步趋于平缓以及货币政策收紧都导致第一季度经济衰退风险上升。由于我们预计这些趋势将在2019年继续并且增长趋缓,我们应该看到全年经济衰退风险上升。

Our Recession Dashboard also continues to point to a recession starting by mid-2020. The pace of decline in the unemployment rate is beginning to slow, with the unemployment rate holding steady, on net, over the last nine months. Past Fed rate increases and balance sheet runoff mean that monetary policy may already be tight enough to induce a recession. Yield curve flattening is now back in line with the average of prior cycles, with the three-month to 10-year Treasury yield curve having inverted recently (see our previous report, The Yield Curve Doesn’t Lie, for our analysis showing that the yield curve may not be unduly flat due to quantitative easing, but rather unduly steep due to outsized Treasury issuance). The strength of the Leading Economic Index has faded, putting it in line with the range of prior cycles. Hours worked and real retail sales have also cooled, and we expect these trends will continue this year as fading fiscal stimulus, tighter financial conditions, and rising policy uncertainty increasingly weigh on economic activity.

我们的经济衰退仪表板也将继续指向2020年中期开始的经济衰退。失业率下降的步伐开始放缓,失业率在过去九个月内保持稳定。过去的美联储加息和资产负债表径流意味着货币政策可能已经足够紧张以引发经济衰退。收益率曲线扁平化现在与先前周期的平均值一致,最近三个月至10年期国债收益率曲线已经反转(参见我们之前的报告,收益率曲线不会说谎,因为我们的分析显示由于量化宽松政策,收益率曲线可能不会过度持平,但由于国库券发行量过大,收益率曲线可能过于陡峭。领先经济指数的强势已经消退,使其与先前周期的范围保持一致。工作小时数和实际零售额也有所降温,我们预计这些趋势将在今年继续,因为财政刺激措施的减弱,金融环境趋紧以及政策不确定性上升对经济活动的影响日益加剧。

The Fed’s recent dovish shift raises the possibility of a more extended business cycle, but at this point it has not changed our baseline recession forecast. The pause in rate hikes comes in the wake of weaker economic data both domestically and abroad, as well as financial conditions that have proven to be more sensitive to tightening monetary policy than they were earlier in the hiking cycle. Both factors could be signaling a lower short-run neutral rate than previously forecast. Uncertainty over the exact level of the terminal rate was a function of both inflation and the neutral rate estimate, but the current outlook is consistent with our longstanding view on the range for the terminal rate. Moreover, even if the Fed is done raising rates, the lagged impact of cumulative Fed hikes, balance sheet runoff and slowing QE abroad could continue to weigh on growth. Fiscal policy tailwinds also seem to have faded sooner than anticipated. Whether, and to what extent, Congress agrees to lift the federal spending caps for fiscal year 2020 in the third quarter will have important consequences for the growth outlook.

美联储最近温和的转变提高了商业周期延长的可能性,但此时并没有改变我们的基线衰退预测。由于国内外经济数据疲弱,以及事实证明对紧缩货币政策更为敏感的金融状况比之前在远足周期更为敏感,因此加息暂停。这两个因素都可能表明短期中性利率低于之前的预测。终端费率确切水平的不确定性是通货膨胀和中性利率估计的函数,但目前的前景与我们对终端费率范围的长期观点一致。此外,即使美联储加息,美联储累计加息,资产负债表径流和国外QE放缓的滞后影响可能继续拖累经济增长。财政政策的顺风似乎也比预期的更早消退。国会是否以及在多大程度上同意在第三季度取消2020财政年度的联邦支出上限,这将对增长前景产生重要影响。

What Will the Next Recession Look Like?

下一次经济衰退会是什么样子?

Our Quantitative Approach Points to Average Severity

我们的定量方法指向平均严重性

With our recession forecasting tools indicating the next U.S. recession will begin by mid-2020, we are now focused on what the recession will look like. Memories of the global financial crisis are still fresh in many people’s minds, creating fears of another crisis when the economy enters a downturn. Our work shows that the next recession will not be as severe as the last one, but it could be more prolonged than usual because policymakers at home and abroad have limited tools to fight the downturn.

随着我们的衰退预测工具表明下一次美国经济衰退将在2020年中期开始,我们现在关注经济衰退将会是什么样子。全球金融危机的记忆在许多人心目中仍然是新鲜的,在经济陷入低迷时引发了对另一场危机的担忧。我们的工作表明,下一次经济衰退不会像上一次那样严重,但可能会比平时更加持久,因为国内外政策制定者在应对经济衰退方面的工具有限。

Recession severity can be defined a number of ways: either by focusing on the magnitude of the contraction (the peak to trough decline in real gross domestic product (GDP)), the size of the output gap (the difference between real GDP and potential output), the peak unemployment rate relative to the natural rate, or the length of time the recession lasts. We combined these four indicators to create a recession severity indicator that shows unsurprising results: the 2007–2009 recession was one of the worst of the post-war period, exceeded only by the “double dip” recession of 1980–1981. In contrast, the 2001 recession was mild by comparison.

经济衰退的严重程度可以通过多种方式来定义:要么关注收缩的幅度(实际国内生产总值(GDP)的峰值到谷值的下降),产出缺口的大小(实际GDP与潜在产出之间的差异) ),相对于自然率的高峰失业率,或经济衰退持续的时间长度。我们将这四个指标结合起来制定了经济衰退严重程度指标,显示出不足为奇的结果:2007 - 2009年经济衰退是战后最严重的经济衰退之一,仅超过1980 - 1981年的“双底”衰退。相比之下,相比之下,2001年的经济衰退相对温和。

Several factors play a role in determining the severity of a recession. From a sectoral basis, an overheated housing market has a strong relationship with severe recessions, reflecting the fact that housing is the largest asset for most households and is closely tied to the banking system. A related factor is stress on the banking system, which also makes recessions worse. Beyond housing, overinvestment (as measured by the private capital stock relative to GDP) contributes to more severe downturns.

有几个因素在决定经济衰退的严重程度方面发挥了作用。从部门的角度来看,过热的住房市场与严重的经济衰退有着密切的关系,反映出住房是大多数家庭的最大资产,并且与银行系统密切相关。相关因素是对银行系统的压力,这也使经济衰退恶化。除住房外,过度投资(以私人资本存量相对于GDP衡量)会导致更严重的经济衰退。

Other factors that can make recessions worse are monetary policy tightness (and degree of subsequent easing) and weaker global growth. Perhaps surprisingly, we find that neither the length nor the magnitude of an expansion seem to have a relationship with the severity of the subsequent contraction, a conclusion supported by recent research by the Cleveland Fed. Also contrary to conventional wisdom, there is not a straightforward relationship between debt levels and recession severity, whether debt is measured by sector or from a total economy perspective. This is likely due to debt cycles lasting longer than business cycles, as the negative effects of debt accumulation can sometimes be put off in a downturn as borrowers simply take on even more debt.

其他可能导致经济衰退恶化的因素是货币政策紧缩(以及随后的宽松程度)和全球经济增长疲软。也许令人惊讶的是,我们发现扩张的长度和幅度似乎都与后续收缩的严重程度无关,这一结论得到了克利夫兰联邦储备委员会最近的研究支持。与传统观点相反,债务水平与经济衰退严重程度之间没有明确的关系,无论债务是按部门还是从整体经济角度衡量。这可能是由于债务周期持续时间长于商业周期,因为债务累积的负面影响有时会在经济衰退时推迟,因为借款人只需承担更多债务。

Our analysis of these factors indicates that the next recession should be about average. On the positive side, the housing market is not currently overheated, the banking system is sound, and the capital stock is only somewhat elevated. In addition, Fed policymakers will likely act more quickly in response to signs of a slowdown than in the prior cycles, as evidenced by the recent Fed reaction to weaker economic data.

我们对这些因素的分析表明,下一次经济衰退应该是平均水平。从积极的方面来看,房地产市场目前并未过热,银行体系健全,资本存量仅略有提升。此外,美联储政策制定者可能会更快地采取行动,以应对经济放缓的迹象而不是之前的周期,最近美联储对经济数据疲弱的反应证明了这一点。

Fundamentals Suggest the Severity of the Next Recession Will be Average

基本面建议下一次经济衰退的严重程度将是平均水平

Guggenheim Recession Severity Indicator

古根海姆经济衰退严重程度指标

Source: Guggenheim Investments, Haver Analytics. Data as of 12.31.2018. Hypothetical Illustration: The Recession Severity Indicator is a new model with no prior history of forecasting the severity of recessions. Actual results may vary significantly from the results shown.

资料来源:Guggenheim Investments,Haver Analytics。截至12.31.2018的数据。假设说明:经济衰退严重程度指标是一种新模型,没有预测经济衰退严重程度的历史。实际结果可能与显示的结果有很大不同。

Qualitative Factors Indicate Greater Downside Risks

定性因素表明下行风险较大

On the negative side, we worry about the limited scope for policy response once the recession hits. From a monetary policy perspective, Fed policymakers will be unable to ease to the same degree that they have in previous recessions, as cumulative rate cuts have averaged 5.5 percentage points in past downturns. Even with another hike or two in this cycle, per the Fed’s March 2019 Summary of Economic Projections, the Fed would have less than 3 percentage points of rate cuts available to combat the next recession.

从消极方面来看,一旦经济衰退到来,我们担心政策反应的范围有限。从货币政策的角度来看,美联储政策制定者将无法放松到之前经济衰退的程度,因为在过去的经济衰退中累计降息平均为5.5个百分点。即使在这个周期中再次加息一两次,根据美联储2019年3月的经济预测摘要,美联储将有不到3个百分点的降息可用于对抗下一次经济衰退。

The Fed Lacks Rate Cut Ammunition

美联储缺乏减息弹药

Change in Fed Funds Rate During Past Recessions, in Percentage Points*

过去经济衰退期间联邦基金利率变动的百分比*

Source: Guggenheim Investments, BCA, Janet Yellen “The Federal Reserve’s Monetary Policy Toolkit: Past, Present, and Future”.

资料来源:古根海姆投资公司,BCA,珍妮特耶伦“美联储货币政策工具包:过去,现在和未来”。

With limited room to cut rates, it is likely the Fed will again turn to unconventional policy tools, namely forward rate guidance and quantitative easing (QE). While another round of QE will undoubtedly provide some incremental stimulus, the efficacy of QE remains in question. QE could also again come under fire from politicians looking to blame the Fed for economic woes, which could limit the size or duration of future QE programs. Moreover, we expect problems to center on corporate credit markets in the next downturn, but unlike some other central banks, the Fed lacks statutory authority to buy corporate debt or loans. Policymakers are not likely to seek—nor would we expect Congress to pass—changes to the Federal Reserve Act that would permit the Fed to buy corporates. With these limitations in mind, the Fed is embarking on a review of its policy framework in 2019. This review will explore, among other things, the possibility of adding additional tools to the toolkit. These could include a version of Japan’s yield curve control policy and/or negative short-term rates, though both face hurdles to being deployed in the United States.

由于降息空间有限,美联储可能会再次转向非常规政策工具,即远期汇率指引和量化宽松政策(QE)。虽然另一轮量化宽松无疑会提供一些增量刺激,但量化宽松的功效仍然存在问题。量化宽松也可能再次遭到政界人士的抨击,他们希望将美联储归咎于经济危机,这可能会限制未来量化宽松计划的规模或持续时间。此外,我们预计在下一次经济衰退时,问题将集中在企业信贷市场,但与其他一些央行不同,美联储缺乏购买公司债券或贷款的法定权力。政策制定者不太可能寻求 - 我们也不希望国会通过改变美联储法案,允许美联储购买企业。考虑到这些限制,美联储正在着手于2019年对其政策框架进行审查。该审查将探讨在工具包中增加额外工具的可能性。这些可能包括日本的收益率曲线控制政策版本和/或负短期利率,但两者都面临在美国部署的障碍。

The Budget Deficit Has Less Room to Expand When the Downturn Hits

在经济低迷时期,预算赤字有较小的扩展空间

Source: Guggenheim Investments, Haver Analytics. Data as of 12.31.2018. Shaded areas represent periods of recession.

资料来源:Guggenheim Investments,Haver Analytics。截至12.31.2018的数据。阴影区域代表经济衰退时期。

At the same time that monetary policy’s ability to stimulate the economy is limited, we also worry that fiscal policy will be constrained. Typically, the fiscal balance is countercyclical, meaning that when economic times are good we have small deficits or even surpluses that allow us to run large deficits when recessions occur, in part due to automatic stabilizers, and in part due to discretionary stimulus. However, over the past few years this relationship has reversed, with deficits widening even as the economy has strengthened due to discretionary spending increases and tax cuts.

在货币政策刺激经济的能力有限的同时,我们也担心财政政策会受到限制。通常情况下,财政平衡是反周期的,这意味着当经济时期良好时,我们会出现小额赤字甚至盈余,这使得我们在经济衰退发生时可能会出现巨额赤字,部分原因是自动稳定,部分原因是自由裁量刺激。然而,在过去几年中,这种关系已经逆转,即使经济因可自由支配的开支增加和减税而增强,赤字仍在扩大。

Political Polarization Could Impede Fiscal Policy Response

政治极化可能导致财政政策反应

Presidential Approval: Spread Between President’s Party and Opposition Party Voters

总统批准:在总统党和反对党选民之间传播

Source: Guggenheim Investments, Gallup. Data as of 2.8.2019. Blue shading denotes Democrat presidents, red shading denotes Republican presidents.

资料来源:古根海姆投资公司,盖洛普。截至2.8.2019的数据。蓝色阴影表示民主党总统,红色阴影表示共和党总统。

When the recession hits, the starting point for the federal deficit will likely be much worse than it typically is at the end of an expansion, raising the prospect that fiscal hawks will resurface to raise concerns about deficits and debt. Furthermore, our expectation for recession timing comes at a particularly challenging time in the political calendar given the presidential election in November 2020. If growth continues to slow, will the Democrat-controlled House really want to pass a spending bill that would stimulate the economy right before the election? We see significant obstacles to the bipartisan enactment of proactive fiscal policy measures, which is informed by our analysis of polling data that reveals a historically high degree of political polarization.

当经济衰退到来时,联邦赤字的起点可能会比通常在扩张结束时更糟糕,这增加了财政鹰派重新出现以增加对赤字和债务的担忧的前景。此外,鉴于2020年11月的总统大选,我们对经济衰退时机的预期正处于政治日历中一个特别具有挑战性的时期。如果经济增长继续放缓,民主党控制的众议院是否真的希望通过刺激经济权利的支出法案选举前?我们认为,两党制定积极的财政政策措施存在重大障碍,我们通过对民意调查数据的分析得出结论,这些数据揭示了历史上高度的政治两极分化。

Monetary Policy Is More Constrained Overseas than in the United States

货币政策在海外比在美国更受限制

Source: Guggenheim Investments, Haver. Data as of 3.31.2019 for policy rates, 12.31.2018 for balance sheets.

资料来源:Guggenheim Investments,Haver。截至3.31.2019的数据为政策利率,12.31.2018为资产负债表。

Policy space is even more limited overseas. As constrained as Fed policy is likely to be, the problem is much worse for the European Central Bank (ECB) and Bank of Japan (BOJ), where the starting point for inflation is lower, policy rates are still negative, and central bank balance sheets hold a much larger share of eligible assets. Given the Japanese yen’s status as a global safe-haven asset, the BOJ faces an especially difficult challenge in fending off what will likely be a deflationary exchange rate appreciation, with fiscal policy unlikely to offer much support.

政策空间在海外更为有限。由于美联储的政策可能受到限制,欧洲央行(ECB)和日本央行(BOJ)的问题更为严重,因为通胀的起点较低,政策利率仍然为负,央行存款余额较大资产负债表中的资产份额要大得多。鉴于日元作为全球避险资产的地位,日本央行面临着抵御可能出现通缩汇率升值的特别困难的挑战,财政政策不太可能提供太多支持。

Nor is fiscal policy the answer in northern Europe, where austerian ideas still hold sway. In southern Europe, fiscal tools are limited as political pressure from the north and sovereign spread widening will likely force pro-cyclical belt-tightening measures. Meanwhile, the ECB will have limited ability to cushion the downturn. If politicians in Spain, Portugal, Greece and especially Italy are not able to deliver the fiscal tightening that markets will demand, then concerns about the viability of the eurozone are likely to resurface. Advanced economies are therefore likely to be mired in a protracted downturn, spilling back into the U.S. economy by way of weak export demand, tighter financial conditions and potential concerns about exposures to weaker foreign banks.

财政政策也不是北欧的答案,奥斯特里亚的想法仍然占据主导地位。在南欧,财政工具受到限制,因为来自北方的政治压力和主权扩张可能会推动顺周期的紧缩措施。与此同时,欧洲央行在缓解经济衰退方面的能力有限。如果西班牙,葡萄牙,希腊,特别是意大利的政治家无法实现市场需求的财政紧缩政策,那么对欧元区可行性的担忧可能会重新出现。因此,发达经济体可能会陷入持续低迷的状态,由于出口需求疲软,金融环境趋紧以及对外国银行面临风险的担忧可能导致美国经济复苏。

Additionally, during the last recession a major source of global stimulus was China’s massive credit easing and infrastructure spending, without which the global recession would have been even more severe. China has, until recently, actively been working to deleverage its economy, where debt growth over the past 10 years has been on par with some of the biggest debt bubbles in history. When the global economy slows, Chinese policymakers are unlikely to deliver nearly as much stimulus as last time around, even if China manages to avoid a debt crisis or “hard landing” scenario. Other emerging markets (EM) are also unlikely to deliver the needed global stimulus, as balance of payments pressures in many EM countries will limit domestic policy space and force them to intervene in foreign exchange markets to avoid disorderly currency depreciations. This would reduce their net demand for U.S. Treasury and Agency securities, which could further complicate the Fed’s ability to deliver an appropriate degree of monetary stimulus.

此外,在上一次经济衰退期间,全球经济刺激计划的主要来源是中国的大规模信贷宽松和基础设施支出,否则全球经济衰退将更加严重。直到最近,中国一直在努力去杠杆化经济,过去10年的债务增长与历史上一些最大的债务泡沫相当。当全球经济放缓时,即使中国设法避免债务危机或“硬着陆”情景,中国政策制定者也不可能提供与上次相近的刺激措施。其他新兴市场(EM)也不太可能提供所需的全球刺激措施,因为许多新兴市场国家的国际收支压力将限制国内政策空间并迫使它们干预外汇市场以避免货币贬值无序。这将减少他们对美国财政部和机构证券的净需求,这可能使美联储提供适当程度的货币刺激措施的能力进一步复杂化。

China’s Debt Buildup Is Massive on Both a Local and Global Scale

中国的债务增长在地方和全球范围内都是巨大的

Credit to the Private Nonfinancial Sector, % of GDP

归功于私营非金融部门占GDP的百分比

Source: Guggenheim Investments, Haver Analytics. Data as of 9.30.2018. *Note: Asia includes Malaysia, Thailand, Korea, and Indonesia. Europe Periphery includes Greece, Italy, Ireland, Portugal, and Spain.

资料来源:Guggenheim Investments,Haver Analytics。截至9.30.2018的数据。 *注意:亚洲包括马来西亚,泰国,韩国和印度尼西亚。欧洲周边地区包括希腊,意大利,爱尔兰,葡萄牙和西班牙。

Taking these factors together, we anticipate a scenario where the magnitude of the decline in the U.S. economy is not especially severe when the recession hits, given the lack of major imbalances and relative soundness of the banking system. However, this downturn is likely to be more prolonged than usual, given the limited ability of policy to respond and the potential spillback from economic weakness abroad. The result could be a cycle that is more “U-shaped” than “V-shaped”.

综合考虑这些因素,我们预计,由于缺乏严重的不平衡和银行系统的相对稳健,在经济衰退到来时,美国经济下滑的幅度并不是特别严重。然而,由于政策应对能力有限以及国外经济疲软可能带来的溢出效应,这种低迷可能会比平时更加持久。结果可能是比“V形”更“U形”的循环。

Investment Implications

投资意义

Prepare for a Steep Decline in Risk Assets

准备风险资产的急剧下降

On the surface, this scenario may not seem particularly dire for investors. But we would caution that market behavior is only loosely correlated with economic conditions, and a moderate recession does not mean moderate market movements. On the contrary, years of low interest rates have served to amplify the financial cycle over the past few decades, and this amplification has been further heightened in the current cycle by asset purchases by global central banks.

从表面上看,这种情况对投资者来说似乎并不是特别可怕。但我们要提醒的是,市场行为只与经济状况松散相关,温和的经济衰退并不意味着适度的市场走势。相反,多年来的低利率在过去几十年中有助于放大金融周期,而且在当前周期中,全球中央银行的资产购买进一步加剧了这种放大。

Low Rates Have Amplified the Financial Cycle in Recent Decades

低利率放大了近几十年的金融周期

Household Net Worth, % of Disposable Income

家庭净值,可支配收入的百分比

Source: Guggenheim Investments, Haver Analytics. Data as of 9.30.2018. Shaded areas represent periods of recession.

资料来源:Guggenheim Investments,Haver Analytics。截至9.30.2018的数据。阴影区域代表经济衰退时期。

Our work shows that when recessions hit, the severity of the downturn has a relatively minor impact on the magnitude of the associated bear market in stocks. A far more important factor is how high valuations were in the preceding bull market. A good example is the 2001 recession, which was relatively modest economically, but saw one of the worst bear markets on record given the sky-high valuations of the tech bubble. Given that valuations reached elevated levels in this cycle, we expect a severe equity bear market of 40–50 percent in the next recession, consistent with our previous analysis that pointed to low expected returns over the next 10 years.

我们的工作表明,当经济衰退来临时,经济衰退的严重程度对相关的股市熊市的影响相对较小。更重要的因素是前期牛市的估值如何。一个很好的例子是2001年的经济衰退相对温和的经济衰退,但鉴于科技泡沫的高估值,它看到了有史以来最严重的熊市之一。鉴于估值在此周期内达到较高水平,我们预计在下一次经济衰退中将出现40-50%的严重股票熊市,这与我们之前的分析结果一致,该分析指出未来10年的预期回报率较低。

High Valuations Portend a Severe Bear Market in Stocks

高估值预示着股市的严重熊市

S&P 500 Peak to Trough Decline in Recessions: Actual vs. Guggenheim Model Estimate

标准普尔500指数在衰退中从高峰到低谷下跌:实际与古根海姆模型估计相对应

Source: Guggenheim Investments, Haver Analytics. Data as of 1.31.2019. Hypothetical Illustration. The Guggenheim model is a new model with no prior history of forecasting valuations. Actual results may vary significantly from the results shown.

资料来源:Guggenheim Investments,Haver Analytics。截至1.31.2019的数据。假设的插图。古根海姆模型是一种新模型,没有预测估值的历史。实际结果可能与显示的结果有很大不同。

Credit markets are also likely to be hit harder than usual in the recession. This stems from the record high ratio of corporate debt to GDP and the likelihood of a massive fallen angel wave that could cause forced selling in an environment where liquidity will already be poor. The 2001 recession offers a relevant case study, as cumulative corporate defaults and realized credit losses were greater than in 2008, which saw a much more severe recession and a higher peak in the annual default rate.

经济衰退期间,信贷市场也可能比平时受到更大的打击。这源于企业债务与GDP之比创下历史新高,以及在流动性已经很差的环境中可能导致强制抛售的大规模堕落天使浪潮的可能性。 2001年的经济衰退提供了一个相关的案例研究,因为累计的公司违约和实现的信贷损失大于2008年,后者出现了更严重的经济衰退和更高的年度违约率峰值。

Credit Losses Were More Severe in 2001 Recession than 2008-2009

2001年经济衰退比2008 - 2009年更加严重

Cumulative Three-Year Credit Loss Rate

累计三年信用损失率

Source: Guggenheim Investments, Moody’s. Data as of 12.31.2017. Shaded areas represent periods of recession.

资料来源:古根海姆投资公司,穆迪公司。截至12.31.2017的数据。阴影区域代表经济衰退时期。

Given this historical lesson and the fact that the exits tend to shrink when investors need them most, we have been steadily upgrading portfolio credit quality and reducing spread duration in the lead up to the next recession. As noted in our first quarter 2019 Fixed-Income Outlook, the Fed’s dovish pivot has supported risk assets, which affords us a window of opportunity to further recession-proof client portfolios. We will be looking to add rate duration this year given our view that policy rates will return to the zero lower bound during the upcoming recession.

鉴于这一历史教训以及当投资者最需要退出时出口趋于萎缩的事实,我们一直在稳步提升投资组合信用质量,并在下一次衰退之前缩短期限。正如我们在2019年第一季度固定收益展望中所指出的那样,美联储的鸽派支持风险资产,这为我们提供了进一步发展经济衰退的客户组合的机会之窗。鉴于我们认为在即将到来的经济衰退期间政策利率将回归零下限,我们将考虑增加今年的利率期限。

Guggenheim Investments’ Recession Probability Model

古根海姆投资公司的经济衰退概率模型

Our view that the next recession will begin as early as the first half of 2020 remains intact in the latest update of our Recession Dashboard and Recession Probability Model. Recession probability rose across all horizons in the fourth quarter of 2018, most notably in the 24 month time frame. The Dashboard on the next page shows a loss of downward momentum in the unemployment rate, a flat yield curve, and slowing economic activity.

在我们的经济衰退仪表板和经济衰退概率模型的最新更新中,我们认为下一次衰退将在2020年上半年开始。经济衰退的可能性在2018年第四季度的所有视野中都有所上升,尤其是在24个月的时间范围内。下页的仪表板显示失业率下降势头,收益率曲线持平以及经济活动放缓。

Recession Probability Model

衰退概率模型

Recession Risk Is Rising

经济衰退风险正在上升

Hypothetical Illustration. The Recession Probability Model is a new model with no prior history of forecasting recessions. Actual results may vary significantly from the results shown. Source: Guggenheim Investments, Haver Analytics, Bloomberg. Data as of 3.31.2019. Shaded areas represent periods of recession.

假设的插图。经济衰退概率模型是一种新模型,没有预测经济衰退的历史。实际结果可能与显示的结果有很大不同。资料来源:Guggenheim Investments,Haver Analytics,Bloomberg。截至3.31.2019的数据。阴影区域代表经济衰退时期。

Guggenheim Investments’ Recession Dashboard

古根海姆投资公司的经济衰退仪表板

The six indicators in our Recession Dashboard have exhibited consistent cyclical behavior that can be tracked relatively well in real time. We compare these indicators during the last five cycles that are similar in length to the current one, overlaying the current cycle. Taken together, they suggest that the expansion still has room to run for approximately 12 more months.

我们的经济衰退仪表板中的六个指标表现出一致的周期性行为,可以实时跟踪相对较好。我们在过去五个周期中比较这些指标,这些指标的长度与当前周期相似,覆盖当前周期。总的来说,他们认为扩张仍有大约12个月的空间。

Unemployment Gap (Unemployment Rate – Natural Rate of Unemployment)

失业率差距(失业率 - 自然失业率)

Real Fed Funds Rate – Natural Rate of Interest (r*)

实际联邦基金利率 - 自然利率(r *)

Three Month–10 Year Treasury Yield Curve (Basis Points)

三个月 - 10年期国债收益率曲线(基点)

Leading Economic Index, YoY % Change

领先经济指数,同比变化

Aggregate Weekly Hours Worked, YoY % Change

每周工作总时数,同比变化

Real Retail Sales, YoY % Change

实际零售额,同比变化

Source all charts: Haver Analytics, Bloomberg, Guggenheim Investments. Data as of 1.31.2019 for real fed funds, 02.28.2019 for LEI and retail sales, 3.31.2019 for unemployment, yield curve, and aggregate hours. Includes cycles ending in 1970, 1980, 1990, 2001, and 2007. Past performance does not guarantee future results.

来源所有图表:Haver Analytics,Bloomberg,Guggenheim Investments。截至1.31.2019的实际联邦基金数据,02.28.2019的LEI和零售销售数据,3.31.2019的失业率,收益率曲线和总小时数据。包括1970年,1980年,1990年,2001年和2007年结束的周期。过去的表现不保证未来的结果。

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