Why volatility could be worse

为什么波动性可能更高?

2019/05/19 17:36
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对照中文英文原文
贝莱德全球配置团队的投资组合经理拉斯•克斯特里奇(Russ Koesterich)讨论了为什么在增长放缓的情况下,波动性没有变得更严重。

With one Sunday afternoon tweet, President Trump reintroduced what had recently vanished from financial markets: volatility.  By Thursday May 9th, the VIX Index, which measures implied volatility on the S&P 500, had reached a four-month high. With a trade deal with China now in doubt, or at least less imminent, investors are reassessing their views on the economy and financial markets.

在周日下午的一条推特上,特朗普总统再次提到了最近从金融市场上消失的东西:波动性。到5月9日星期四,衡量标准普尔500指数隐含波动率的VIX指数已经达到四个月来的最高点。由于与中国的贸易协定目前尚不确定,或者至少不那么迫在眉睫,投资者正在重新评估他们对经济和金融市场的看法。

How much worse can things get?

事情还能变得更糟吗?

To answer that, investors should focus on two factors, which are more quantifiable than the day-to-day news flow: expected growth and financial conditions. For now, the latter offers some comfort. While it is true that a complete collapse in trade negotiations would send stocks much lower and volatility much higher, easy financial conditions are one reason the recent pullback has not been more severe.  Even at 23 the VIX is well below its December peak and less than half the level it reached in February 2018 (see Chart 1).

要回答这个问题,投资者应该关注两个因素:预期增长和金融状况。这两个因素比每天的新闻流量更容易量化。目前,后者提供了一些安慰。尽管贸易谈判的彻底失败确实会导致股市大幅下跌,波动性大幅上升,但宽松的金融环境是近期回调没有变得更严重的原因之一。即使VIX指数为23,也远低于去年12月的峰值,不到2018年2月水平的一半(见图表1)。

A few weeks back I discussed the interplay between financial conditions and the growth outlook. The key message was that financial conditions are central for assessing market volatility.  This is even truer when growth is soft, as it is today.  Fortunately, while growth is tepid financial conditions are considerably easier than they were late last year.

几周前,我讨论了金融状况与增长前景之间的相互作用。关键信息是,金融状况是评估市场波动性的核心。当经济增长疲软时,这一点就更明显了,就像今天一样。幸运的是,尽管增长不温不火,但金融环境比去年末要宽松得多。

For example, high yield spreads remain about 25 basis points (bps, or 0.25% points) below the level from late March and 150 bps below the December peak. Long-term interest rates have also pulled back. At 2.45% U.S. 10-year yields are approximately 80 bps below the 2018 peak. Finally, while the dollar has strengthened a bit since, the Dollar Index (DXY) remains within its recent range. The bottom line: Outside of the stock market, most measures of financial conditions have eased. This is why most broad based measures of financial stress look much healthier than a few months ago.

例如,高收益债券息差仍比3月底的水平低约25个基点(基点或0.25%),比去年12月的峰值低150个基点。长期利率也有所回落。美国10年期国债收益率目前为2.45%,较2018年的峰值低了约80个基点。最后,尽管美元自那以后有所走强,但美元指数(DXY)仍在近期区间内。一句话:在股市之外,大多数衡量金融状况的指标都有所放松。这就是为什么大多数基于金融压力的广泛衡量指标看上去比几个月前健康得多。

Why is this important?

为什么这很重要?

As I discussed back in April financial conditions ultimately explain the lion’s share of the variation in equity market volatility. In fact, a simple two-factor model, including high yield credit spreads and the St. Louis Financial Stress Indicator, has explained roughly 80% of the variation in the VIX during the past 17 years. What is it suggesting today? Assuming no change in financial conditions, volatility looks too high.

正如我在4月份讨论过的那样,金融状况最终解释了股市波动性变化的主要原因。事实上,一个简单的双因子模型,包括高收益信贷息差和圣路易斯金融压力指数,解释了波动率指数在过去17年里约80%的波动。这说明了什么?假设金融状况没有变化,波动性看上去就太高了。

However, even in a post-QE world, financial conditions are not the only driver of markets; growth matters as well. The key risk is that the potential drag from tariffs is occurring at a time when economies outside of the United States are just starting to stabilize. Another disruptive period of trade friction represents a major risk for Europe and China. Should this occur, central banks may have little choice but to ease even more.

然而,即便是在后量化宽松时代,金融状况也不是市场的唯一驱动因素;增长也很重要。关键的风险在于,关税可能带来的拖累发生在美国以外的经济体刚刚开始企稳之际。另一个贸易摩擦的破坏性时期对欧洲和中国来说是一个重大风险。如果出现这种情况,央行可能别无选择,只能进一步放松货币政策。

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